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Volatility Opening Process (Constituent Series) (C1 Only)

Constituent Series of a Volatility Opening are series of GTH-Enabled proprietary classes that participate in the special RTH opening used to calculate the settlement price for expiring VIX derivatives in the Volatility Expiration Special Opening Quote (SOQ). These series open for GTH session trading in the same manner as all other GTH-Enabled proprietary series. The RTH opening of Constituent Series differs from RTH opening of other GTH-Enabled proprietary series in the following ways:

  • Tighter Maximum Composite Width values for Volatility Openings (defined below).
  • Tighter Opening Collar Width values for Volatility Openings (defined below).
  • Series do not open if the uncollared VMIM price exceeds prevailing collar prices. Options Auction Update messages are disseminated with Need more buyers/ Need more sellers indications to solicit liquidity for limit orders priced more aggressively than opposite side collars.
  • Series do not open if there are unfilled Market Order contracts (including both RTH Only and Market on Open). Options Auction Update messages are disseminated with Need more buyers/ Need more sellers indications to solicit liquidity for unfilled market order contracts.
  • A time point prior to the Opening Trigger of the RTH opening known as the Cutoff Time exists after which a special order type called Settlement Liquidity on Open (SLOO) orders are accepted and order types other than Appointed Market Maker Quotes submitted before the cutoff cannot be modified.
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