Overview

The Futures-Options Order Type (FOOT), also referred to as an Inter-Exchange Spread, is a new complex order type available on Cboe Options Exchange (Cboe Options) that permits users to pair one or more options legs with a futures leg in a single order. At launch, the Futures-Options Order Type will support orders comprised of VIX options traded on Cboe Options Exchange paired with VX futures traded on Cboe Futures Exchange, LLC (CFE), where one or more VIX options legs are paired with exactly one VX futures leg. A Futures-Options order includes the price of the futures leg and the ratio between the options and futures legs as components of the instrument definition. Cboe Options matches an order in a Futures-Options packaged instrument using a net price taken from the options legs only. Once a FOOT order is matched on Cboe Options, the futures leg is reported to CFE for execution, and every leg clears at OCC.

A VIX derivatives position is often built from an options strategy and an offsetting futures position. When the two orders are submitted independently on two separate exchanges, the overall order execution presents legging risk exposure: for example, the market may move after the options fill, causing the futures to fill away from the intended price. FOOT reduces this risk by turning the pair of orders into a single complex execution.

Key Features

At a Glance