Cboe Options Introduces Wide Market Protection for SPX/SPXW Options and Updates Drill-Through Iteration Time Interval

Reference ID: C2025120800

Applicable Cboe Exchange: Cboe Options

Overview

Effective December 15, 2025, pursuant to Rule 5.34 (as amended by SR-CBOE-2025-081), Cboe Options Exchange (C1) will introduce Wide Market Protection (WMP) functionality for SPX and SPXW options to reduce the risk of orders executing at adverse prices.

When triggered, WMP will display eligible market and marketable limit orders at an initial Benchmark Price and iterate them toward more aggressive prices in 200 millisecond (ms) intervals using existing drill-through functionality. WMP will be initiated when an eligible order is received into the Book when the NBBO is deemed wide. Stop and stop-limit orders held by the Exchange that are marketable upon election, as well as new inbound marketable orders, will be subject to WMP handling with some exceptions, as noted below.

Please note:

  • Certain order types, including Immediate or Cancel orders, Intermarket Sweep Orders and all Market Maker (MM) quotes and Market Maker orders with a Time-in-Force of Day, will not be subject to WMP and will enter the book unabated.

  • Protected orders will automatically move to match more aggressive same-side Market Maker quotes.

  • WMP will operate during all trading sessions except the final 30 seconds of the Regular Trading Hours session and the final 30 seconds of the Curb Trading Hours session.

  • Cboe may adjust WMP parameters at any time based on market conditions and will communicate the changes via trade desk notice.

Technical Details

A market or marketable limit order becomes a protected order upon receipt into the book when the NBBO is deemed wide based on the WMP Determinant (see table below). The same applies to stop/stop-limit orders held by the Exchange that become marketable when triggered and the post-trigger NBBO is wide.

Triggering Events

Cboe will initiate WMP upon the following events:

  1. A market or marketable limit order is received when the NBBO is deemed wide.

  2. A stop/stop-limit order held by the Exchange becomes marketable when triggered and the NBBO immediately after the triggering event is deemed wide.

Operation of WMP

Once WMP is triggered:

  • The order is displayed at its Benchmark Price.

  • Existing drill-through functionality (Rule 5.34(a)(4)) iterates the displayed price every 200 ms. The drill-through interval for SPX/SPXW prior to WMP was 1000 ms.

  • The order continues iterating until reaching its limit price or until fully executed or until cancelled by the entering firm.

Benchmark Price Determination

The Benchmark Price at which protected orders will be initially displayed will be the least aggressive of:

  1. Last trade price, if more aggressive than or equal to the same-side NBBO

  2. NBBO midpoint

  3. Same-side NBB/NBO +/- the NBBO Adjustment Amount (NAA), as follows:

    1. Buy orders: NBB + NAA

    2. Sell orders: NBO - NAA

    3. If there is no NBO, sell orders use NBB + WMP Determinant

Table 1. Wide Market Protection Determinants
NBB PriceWMP DeterminantNBBO Adjustment Amount
<= $3.00>= $1.50$0.75
$3.10-$5.00>= $2.00$1.25
$5.10-$10.00>= $2.50$1.50
$10.10-$20.00>= $4.00$2.50
$20.10-$50.00>= $6.00$3.00
$50.10-$100.00>= $10.00$4.50
$100.10-$200.00>= $23.00$6.00
$200.10+>= $36.00$6.00

Example

This example demonstrates how a buy Stop order that becomes marketable during a wide NBBO will be handled under the new WMP functionality for SPX/SPXW options. When triggered in a wide market, the order is paused at the Benchmark Price and enters drill-through iteration, preventing executions at excessively aggressive prices. For purposes of this example, assume the market is considered wide if the NBBO width is greater than or equal to $1.50.

Order and Market Conditions:

  • Order 1: Stop order to buy 5 @ market. Stop Price = $2.00

  • MM1 Quote: $1.95 - $3.75 5x5

  • MM2 Quote: $1.95 - $2.30 5x5 (NBBO, not wide)

Order Flow:

  1. Order 2: Buy 5 @ $2.30.

  2. Order 2 trades with the MM2 quote at $2.30, electing Order 1.

  3. After the triggering event, the NBBO becomes $1.95 - $3.75 (NBBO width equal to $1.80, wide per the Wide Market Protection Determinants table).

  4. Order 1 becomes a protected market order under WMP and is initially displayed at the Benchmark Price of $2.30.

  5. Order 1 is moved to more aggressive price levels at the defined interval until it is either fully executed or reaches its limit price or is cancelled by the entering firm.

Benchmark Price Determination:

The Benchmark Price is $2.30, which is calculated as the least aggressive of the following:

  • NBB + NAA: $1.95 + $0.75 = $2.70

  • Last trade price: $2.30

  • Midpoint: ($1.95 + $3.75) / 2 = $2.85

Benchmark Price = $2.30

Testing Opportunities

This functionality is currently available to test in the C1 certification environment.