Price Forming Opening Process
A price forming opening process is used on all Cboe U.S. Options Exchanges (BZX, C1, C2, and EDGX Options) to open proprietary and multi-list option series at the beginning of Global Trading Hours (GTH), Regular Trading Hours (RTH), and to re-open after regulatory halts. GTH is only supported on the C1 Exchange.
The price forming opening process applies to the following four distinct categories of classes:
| Option class category | Description |
|---|---|
| Multi-list | Classes that trade on away markets and an Away Best Bid / Offer (ABBO) exists. |
| No-GTH Proprietary | Proprietary classes that trade in RTH only, and as a result, there is no GTH continuous book coincident with the RTH pre-open Queuing book. In addition, these classes do not have a Curb trading session. |
| GTH-Enabled Proprietary (C1 only) | Proprietary classes that trade in GTH and RTH sessions. The same opening process is used for the opening of the GTH and RTH sessions, except for SOQ Constituent series (below). |
| SOQ Constituent Series (C1 only) | A subset of GTH-Enabled Proprietary Classes that on specific dates are constituent series of a Volatility Derivative expiration Special Opening Quote (SOQ). Constituent series RTH opening uses a restrictive form of the Opening Process known as the Volatility Opening Process. |
For all class categories, the following applies:
- Match Trade Prevention (MTP) is not in-effect during the matching phase of crossed-book openings.
- QRM Risk Limits are in-effect during the Opening Process. However, risk limit trips during the matching phase of crossed-book series openings will not interrupt the opening of that series.
- Opening triggers, specific to each category, must be observed in order to initiate the opening process.
- The Volume Maximizing Imbalance Minimizing (VMIM) algorithm is used to determine the opening price for crossed books, with category-specific collars and width checks as defined below.
- For a period of time during the queuing period in all class categories, Options Auction Update messages are disseminated on PITCH, TOP and Opening Process Data Feeds that provide expected opening price, size and imbalance information (see VMIM Algorithm and Accessing Expected Opening Information for more details).
- For SOQ Constituent Series, a cutoff time exits after which special Settlement Liquidity Orders on the Open (SLOO) orders are accepted and restrictions on updates to existing orders are in place (see Cutoff Time and Settlement Liquidity on Open (SLOO) Orders for details).