Opening Collars
Opening collars are applied to all Option Class Category openings to ensure that the Opening Price falls within a reasonable distance from the midpoint of the CM, and in the case of Multi-list, to ensure that the Opening Price does not violate the Away Market Best Bid and Offer (ABBO).
The collar is the midpoint of the CM plus/minus half of the Opening Collar Width (OCW), with a zero floor. Multi-list option Opening Collars will be set to either the ABBO or the calculated collar prices, whichever is more restrictive to ensure all Multi-list openings occur within the ABBO. Opening trades occur at a VMIM price within the prevailing Opening Collar. The OCW is determined through a table lookup vs. the CM bid, which is defined in the table below.
Note that the Volume-Based Tie Breaker (VBTB) for the VMIM algorithm as presented in Composite Market Definition is set to the midpoint of the Opening Collar for all Option Class Categories. For most situations, the VBTB is the midpoint of the CM. For Multi-list options openings where the ABBO is used for collar prices, then the VBTB is set to the midpoint of the ABBO.
OTC classes on C1 Options have an OCW that uses a 3.0 multiplier from the C1 base widths described in the table below.
The table below defines the OCW as a function of the Composite Market Bid Price:
| 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 |