Cboe Options Enhancement to AIM and SAM Auctions

Effective January 24, 2025, EDGX Options Exchange (EDGX), and effective trade date January 27, 2025, Cboe Options Exchange (C1) will update the execution price check for AIM and SAM auctions as outlined below.

Currently, the execution price check for AIM and SAM auctions is capped by the initial NBBO on the agency side at the start of the auction. On the effective date, the agency side execution price check will use the local BBO at the end of the auction and disregard any away market prices.

Example 1:

• Away BBO is 1.00 - 1.10 and local BBO is 0.85 - 1.20
  • AIM buy 5 @ 1.05
  • ABBO moves to 0.90 x 1.10
  • Unrelated sell 1 @ 0.95 (Local BBO is now .85 x .95)
  • Response sell 1 @ 0.75
  • AIM Timer Expires, Auction Ends, Away BBO is .90 x 1.10. Local Best Bid of 0.85 is now used for capping execution prices, and away bid of .90 is ignored.
  • AIM Executes 1 contract @ .85 (Today, this would be capped at initial NBB of 1.00).
  • AIM Executes 1 contract @ .95
  • AIM Executes 3 contracts against initial contra @ 1.05

Example 2:

• Initial NBBO is 3.40 x 3.70
  • Agency sell 1 @ 3.50
  • Auction response buy 1 @ 3.70
  • Local BBO at end of auction is 3.30 x 3.60
  • Auction response buy trades 1 vs. Agency sell @ 3.60, capped by local BBO at the end.

This functionality will be available to test in the C1 and EDGX certification environments beginning trade date January 6, 2025.

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