Complex Options Specific Symbol Processing

Cboe has implemented a Complex Instrument Creation (CIC) process due to the seemingly infinite number of combinations that can make up a complex instrument. This allows the Complex Options/Futures Multicast PITCH specification to be consistent with the equities, standard and auction options Multicast PITCH specifications. This CIC process significantly reduces the size of the Complex Options/Futures Multicast PITCH feed and allows customers to use the same feed handler for Cboe equity, options, and futures exchanges.

Real-time CIC messages are available on each unit’s multicast feed. Complex Options Futures Instrument Definition messages are used to map the 6 character feed Complex Instrument ID (CID) to the complex instrument definition. A complex instrument definition consists of one or more option legs plus a futures leg. The complex instrument is valid only for the current trading date on which it was created. Once a complex instrument is created, it cannot be deleted or modified for the remainder of the trading day.

Complex instruments can be created from pre-market through the end of trading. When a complex instrument is created, a sequenced Complex Options Futures Instrument Definition message is disseminated at the time of creation and is sent in a background loop as an unsequenced message for the reminder of the trading day as bandwidth allows.