Complex Options Specific Symbol Processing

Cboe has implemented a Complex Instrument Creation (CIC) process which enables the dynamic creation of new complex instruments. As a result, new symbol IDs associated with dynamically created instruments may appear on the feed intraday.

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.