Maximum Width Checks
Maximum Composite Width (MCW) checks are applied to all Option Class Category openings. MCW checks prevent a given series from opening if the best available Composite Market (CM) for the series is too wide. Further, a series will not open if the CM is crossed (i.e., CM Bid is greater than CM Offer).
A series will not open if the CM is crossed. If a crossed CM exists an Options Auction Update message is disseminated with an Opening Condition value of C (crossed composite market).
On width check failure an Options Auction Update message is disseminated with an Opening Condition value of Q (need quote to open). The system will periodically retry series openings until the width check succeeds.
If the CM is wider than the MCW, a series will still open as long as all of the following three conditions exist:
- The series is not a Constituent Series for a Volatility Opening; and
- There are no quotes/orders that lock or cross with each other; and
- There are no non-Market Maker quotes/orders that cross the CM midpoint.
OTC classes on C1 Options have a MCW that uses a 3.0 multiplier from the base widths that are described in Table 5 for C1 Options.
The table below defines the MCW as a function of the CM bid:
| Composite Market Bid Price |
|
|
|---|---|---|
| 0.00 - 1.99 | 0.50 | 1.50 |
| 2.00 - 5.00 | 0.80 | 2.40 |
| 5.01 - 10.00 | 1.00 | 3.00 |
| 10.01 - 20.00 | 2.00 | 6.00 |
| 20.01 - 50.00 | 3.00 | 9.00 |
| 50.01 - 100.00 | 5.00 | 15.00 |
| 100.01 - 200.00 | 8.00 | 24.00 |
| >= 200.01 | 12.00 | 36.00 |