As indicated in a previous notice, Cboe Options Exchange (“C1”) has identified a limitation in the number of available sequenced messages on the Multicast PITCH proprietary market data feeds for Matching Unit 34 supporting SPXW. This is a result of all proprietary Cboe market data feeds supporting a four (4) byte decimal sequence number which has a maximum value of 4,294,967,295.

Due to current market activity, as of approximately 12:45 pm CT Cboe C1 Options Exchange surpassed 80% of this value and the potential exists to exceed this allowable number during today’s trading at a non-predetermined time. Should C1 exceed 90% of this value, notification will again be provided to market participants. Note that this issue only impacts SPXW market data; all other systems not related to SPXW market data, including all systems supporting SPX, will continue to operate normally. Note also that Cboe does not intend to close trading early in SPXW or any other classes today, nor are there plans to cease floor trading for SPXW or any other class.

In the event C1 exceeds the maximum allowed sequence messages on the Multicast PITCH feed for Matching Unit 34 supporting SPXW, electronic and open outcry trading will remain available for SPXW as well as for all other classes. SPXW simple order book market data will remain available to all market participants via OPRA, via the data walls which will be sourced from OPRA, and via OPRA data on PULSe, but market data for SPXW will be unavailable for the remainder of the day on PAR or via any other proprietary or third-party systems that rely on Cboe proprietary PITCH/TOP data. SPXW proprietary complex order book PITCH/TOP market data and COA market data will remain available and unaffected.

Should SPXW market data become unavailable via PAR, Cboe will send a market data value message to the PAR terminals which will appear as bid/ask prices of 0.01 – 9999.9999, 9999 x 9999. This message will clear any stale data present after SPXW market data becomes unavailable, thereby allowing continued use of the Trade with All, Sweep, Book, and Auction functionality. Note however that Trade with Book functionality will not be available. In addition, the PAR calculator will not provide accurate leg prices and should not be used for this purpose; all SPXW leg prices should be entered manually. PAR brokers are also requested to use the PAR “SWEEP” button to clear any electronic interest that may be resting in the book in the event an open outcry trade might occur at or outside the BBO viewable via OPRA data on PULSe or on the data walls and other market data sources.

Please refer to forthcoming Cboe Regulatory Circulars for more information.

Please contact the Cboe Trade Desk or your director of sales with any questions.

Cboe Trade Desk