CFE Product Level System Parameters

Below is a reference chart for various CFE product level system parameters that apply within CFE's trading system. Please refer to CFE rules for additional detail regarding the parameters. For more information please visit cfe.cboe.com.

VX VXT VXM VXMT VU VA VAO IBHY IBHYT IBIG IBIGT AMW AMB1 AMB3
Threshold Width 10% N/A 10% N/A 10% 10% 10% 10% N/A 10% N/A 10% 10% 10%
Market Order Protection 10% N/A 10% N/A 10% 10% 10% 10% N/A N/A N/A N/A N/A N/A
Limit Order Protection (CFE setting) 10% N/A 10% N/A 10% 10% 10% 1% N/A 1% N/A 10% 10% 10%
Limit Up 70% N/A 70% N/A 70% N/A N/A N/A N/A N/A N/A 20% 20% 20%
Limit Down 30% N/A 30% N/A 10% N/A N/A N/A N/A N/A N/A 20% 20% 20%
Minimum Price (simple) 0.05 -0.5 0.05 -0.5 0.05 0.05 0.05 0.01 -0.5 0.01 -0.5 0.25 0.25 0.25
Maximum Price (simple) 99,999.95 0.5 99,999.95 0.5 99,999.95 99,999.95 99,999.95 99,999.99 0.5 99,999.99 0.5 99,999.75 99,999.75 99,999.75
OCC Origin Code Customer
Firm
Customer
Firm
Customer
Firm
Customer
Firm
Customer
Firm
Customer
Firm
Customer
Firm
Customer
Firm
Customer
Firm
Customer
Firm
Customer
Firm
Customer
Firm
Customer
Firm
Customer
Firm
Time in Force Day
IOC
FOK
GTC
GTD
Day
IOC
FOK
Day
IOC
FOK
GTC
GTD
Day
IOC
FOK
Day
IOC
FOK
GTC
GTD
Day
IOC
FOK
GTC
GTD
Day
IOC
FOK
Day
IOC
FOK
GTC
GTD
Day
IOC
FOK
Day
IOC
FOK
GTC
GTD
Day
IOC
FOK
Day
IOC
FOK
GTC
GTD
Day
IOC
FOK
GTC
GTD
Day
IOC
FOK
GTC
GTD
Matching Algorithm Price-Time Priority Price-Time Priority Price-Time Priority Price-Time Priority Price-Time Priority Price-Time Priority Price-Time Priority Price-Time Priority Price-Time Priority Price-Time Priority Price-Time Priority Price-Time Priority Price-Time Priority Price-Time Priority
Simple Stop Limit Yes No Yes No Yes Yes Yes Yes No Yes No Yes Yes Yes
Simple Tick Increment 0.05 0.01 0.05 0.01 0.05 0.05 0.05 0.01 0.005 0.01 0.005 0.25 0.25 0.25
Spread Tick Increment
(applies to net spread price)1
0.01 0.01 0.01 0.01 0.01 0.01 N/A 0.01 0.01 0.01 0.01 0.25 0.25 0.25
Block Trade/ECRP Tick Increment
(applies to simple and spread)
0.005 0.005 0.005 0.005 0.01 0.01 N/A 0.005 0.005 0.005 0.005 0.25 0.25 0.25
Block Trade Minimum Size (simple) 200 200 2,000 2,000 100 50,000 Vega N. N/A 50 50 50 50 500 500 1,000
Block Trade Smallest Leg (spread)2 100 100 1,000 1,000 50 25,000 Vega N. N/A 50 50 50 50 500 500 1,000
Block Trade Smallest Leg (strip)2 100 100 1,000 1,000 50 N/A N/A 50 50 50 50 500 500 1,000
DPM/LMM Allocation N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A

Last updated 2020-09-22

1 Refer to contract specifications for the tick increment for leg prints that result from a spread trade.
2 CFE rules also provide for a minimum overall Block Trade quantity for a spread or strip.