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Queuing Period Expected Opening Information

During a portion of the Queuing Period, Options Auction Update messages are disseminated on TOP, PITCH and Opening Process (C1 only) data feeds with information regarding expected opening price, size and imbalances. The table below presents the Options Auction Update message fields (see the Cboe Titanium U.S. Equities/Options Multicast Depth of Book (PITCH) Specification for more detail).

Table 1. Auction Update Message Fields
FieldDescription
Auction-Only PriceUncollared VMIM price computed on the queuing book only.
Reference Price
  • Collared VMIM price computed on the queuing book only.
  • Reference Price will be zero if there is no crossing interest within the opening collars and/or the collar reference price cannot be calculated (i.e. there is no composite market or the composite market is crossed).
Indicative Price
  • Collared VMIM price computed on the combined queuing book and the continuous book. For opening scenarios that do not include a continuous book trading (i.e., Multi-list and non-GTH Proprietary) the Indicative Price and the Reference Price are identical.
  • Indicative Price will be zero if there is no crossing interest within the opening collars and/or the collar reference price cannot be calculated (i.e. there is no composite market or the composite market is crossed).
Buy Contracts
  • Cumulative Buy contracts at the Indicative Price and above.
  • If Indicative Price is zero and Auction-Only Price is non-zero, then the Buy Contracts will be calculated from the perspective of the Auction-Only Price.
Sell Contracts
  • Cumulative Sell contracts at the Indicative Price and below.
  • If Indicative Price is zero and Auction-Only Price is non-zero, then the Buy Contracts will be displayed from the perspective of the Auction-Only Price.
Opening ConditionIndication of the state of the opening process. "Would open" indicates that width checks and collars will not prevent opening. "Need quote to Open" indicates that the width check failed and the opening will not occur until the relevant market width narrows. "Need more buyers" and "Need more sellers" are used specifically in the context of Volatility Openings where unfilled Market order contracts and collar violations prevent series openings. "Crossed Composite Market" indicates that the Composite Market is crossed, which is a condition under which series will not open.
Composite Market Bid PriceBid price of the prevailing Composite Market.
Composite Market Offer PriceOffer Price of the prevailing Composite Market.
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