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 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 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 Instrument Definition Expanded messages are used to map the 6 character feed Complex Instrument ID (CID) to the complex instrument definition. A complex instrument definition consists of two or more option legs. 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 Instrument Definition Expanded 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.