FLEX Delta Adjusted At Close (C1 Only)

FLEX Delta Adjusted At Close (DAC) are limit orders for FLEX options that execute intraday and receive a delta-adjusted price based on that day’s official closing price of the underlying security or index value. FLEX DAC orders can be traded by indicating PriceType (423) = D. FLEX DAC orders are only supported for ETF/ETN/ETP and index products and are only executed via AIM, SAM, and single-sided auctions. The maximum number of legs on a FLEX DAC order is 99. Equity legs are allowed on FLEX orders. FLEX DAC orders allow up to 98 options legs and one equity leg. Complex FLEX DAC Orders may not contain option legs which are not for FLEX options.

FLEX DAC supports trading in all equity, ETF, and index options. Equity single leg options are only permitted to trade within the last 45 minutes of RTH. Equity option, single-leg DAC orders will be prevented from being submitted/executed/closed out on the day of their expiration date. These restrictions do not apply to complex DAC orders in equity options products, or to single-leg or complex DAC orders in ETF or index products.

For FLEX DAC orders, the execution price will be re-calculated at the close based on the following formula:

Initial execution price + (designated delta) x (actual change in underlying reference price versus official closing price)

A = I + (D * (C - R)), where:

• A = Adjusted price
• I = Initial execution price
• D = Delta (positive number for calls; negative number for puts)
• R = Underlying reference price
• C = Closing price for the underlying security or index

After the close, a Trade Cancel/Correct message (UCC message) is sent for each FLEX DAC execution. The message is marked as Correct (ExecTransType = 2) with the CorrectedPrice (9620). The Trade Cancel/Correct message (UCC message) will also include the Delta (22023), ReferencePrice (22025), ClosingPrice (22004), ClearingOptionalData (9324), and FeeCode (9882) fields.