Implied options are available on demand for a configurable time interval during a market’s trading session. Implied functionality for options is triggered by an RFQ (customer-initiated or engine-generated) for that instrument, and implied matching is available for the duration of the time interval.
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| There will be no extension to the specified time under any circumstances. RFQs generated while an implied timer is active will have no effect on implied functionality. A new RFQ must be generated to re-enable implied functionality once the current timer has ended. |
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Implied ON/OFF Security Status messages (tag 35-MsgType = f) WILL NOT be sent for Implied Options.
Implied functionality will be indicated by the dissemination of Implied Book Messages (35=X, 269=E and F) for options outrights and options spreads and combinations.
Spread Leg Eligibility
Implied functionality can only be turned on if all instruments in the Product Group are in an OPEN state.
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This section contains information for variable tick products.
VTT Rounding
Variable tick products that create prices across ranges will use the following rounding rules to ensure on-tick price continuity:
- Implied Off-tick Bids are rounded down.
- Implied Off-tick Offers are rounded up.
Example: Implied Off-Tick Bid
- Tick Size = 10
- Price = 9705
- Rounded down to 9700
Example: Implied Off-Tick Offer
- Tick size = 25
- Price = 9720
- Rounded up to 9725
VTT Market Data
When trades take place using rounded implied prices, the following messages will be sent for market data and order entry acknowledgments.
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