Risk Root (Symbol) Level

Symbol-level rules are based on the Risk Root. The Risk Root is defined as the underlying symbol.

All Risk Limit Types except Rate Based Risk Trips and Absolute Risk Trips are supported at the Risk Root level. A Risk Root level limit can also be thought of as EFID + Risk Root since a single EFID is required to be identified on each Risk Root rule. This is the most specific level available and allows for rules to operate within the Matching Engine process for a given Risk Root. This provides the most control in preventing unwanted over-execution.

For example, a corporate action can result in multiple OSI roots (XYZ, XYZ1, XYZ2) that share the same underlying symbol (XYZ). Only a single Risk Root (symbol) level rule for underlying XYZ is allowed in this scenario.

On C1 only, while SPX risk rules will apply to SPXO*, SPXW can be configured with separate risk root limits than SPX and SPXO*, even though they share the same underlying symbol (SPX) due to the fact that SPXW exists on a separate Matching Unit than SPX and SPXO*. Customers are recommended to upload separate risk settings for SPX and SPXW options. Due to SPXW being on a separate Matching Unit than SPX and SPXO*, customers should note that a trip on a SPXW risk root level rule will result in a message being sent to trip the other symbols on a best-efforts basis. Likewise, a trip on either SPX or SPXO* will trigger immediate cancellations of SPX and SPXO* and a best-efforts cancellation of SPXW. For example, if a firm trips a rate_count limit on SPX a message will be sent from the SPX Matching Unit to the SPXW Matching Unit and all SPXW orders or quotes will be cancelled on a best-effort basis. Customers are advised that a limit in risk roots on one matching engine (e.g., SPX) will not immediately apply to the others (e.g., SPXW).

Customers must ensure that executing firm ids (EFID) and the risk roots (option underlying) in risk rule specifications are aligned with respect to associated clearinghouse. For example, a risk rule could be specified with an OCC EFID and a risk root corresponding to a CCUS-cleared option. The result of a risk rule configured this way is that the risk rule will never trip. The onus is on the customer to ensure alignment of EFIDs and risk roots with respect to clearinghouse.

*Effective 11/09/26