Complex Order Book Arrives Tomorrow on NYSE Amex Options

By: twilemon

File Under: NYSE Amex, Options

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From Todd Wilemon: NYSE Amex Options is happy to announce the new Complex Order Book going live tomorrow, September 9, 2009. The options trading platform that you love because of the speed, transparency and throughput will now be able to handle your multi-leg complex option trades.

I know you have been enjoying the lightning-fast order handling for single-leg option orders and now you can enjoy all the benefits for your multi-leg complex option trades.

Clients will be able to enter “option only” multi-leg strategy trades of up to five option legs. Coming in Q1 of 2010, clients will be able to enter multi-leg options with an equity leg as well.

You can send up to five option legs. Any strategy you can dream up, as long as it fits within a 3:1, 1:3 ratio! Upon receipt of a Complex Order, NYSE Amex will first check the electronic complex order book for an execution opportunity. If contra-side orders are executable against either individual leg in the consolidated book or a resting complex order, an immediate execution will occur.

NYSE Amex offers riskless execution for options-only complex orders, by matching complex orders within the complex order book or, in the QQQQs, by interacting with the liquid simple markets on the options platform. These complex orders can be priced in pennies. Marketable complex orders will trade immediately, with no auction or delay in processing.

Limit orders are accepted in the QQQQs. For all other issues on NYSE Amex, clients must enter PNP+ Complex orders. PNP+ Complex orders can be Limit or Market. The PNP+ order type for complex orders is a powerful tool. Not only is this order type innovative, it is dynamic in that it always keeps your order at an aggressive price in the market.

PNP+Complex orders are designed to give the sender price improvement over the screen markets. Upon receipt, our matching engine will validate the price of a PNP+Complex order against the leg markets and if the order is marketable against these markets or would post to the book at a price less than one MPV (minimum price variation) away from one of the leg markets, the order will price back one MPV from the derived (net price) BBO (Best Bid or Offer) and post to the complex order book.

The smallest MPV will be used when multiple MPVs are involved so if one leg trades at a .05 MPV and another leg trades with a .10 MPV, the complex order will post at a price that is priced back .05 in price.

Now is that not the niftiest of order types? We at NYSE Amex are all pretty impressed with it! But it gets even better.

If leg markets improve so a resting PNP+ Complex order is marketable, the PNP+ Complex order will be priced back one MPV and repost. If leg markets worsen, the PNP+ Complex order will repost at the more aggressive price, up/down to the net debit or credit price of the order, always remaining one MVP distance from the leg markets.

PNP+ Complex orders will track the screen markets to both better and worse prices, always maintaining a one MPV buffer. A limit order will not track above (buy)/below (sell) it’s limit price, but will back off if the legs move into its resting price. If an incoming marketable order contra side PNP+ Complex order is received, it will immediately trade against the posted order, as long as the execution price is at least 1 MPV away from either side of the complex BBO.

In a nutshell, this means you are ALWAYS guaranteed price improvement over the screen markets, with a dynamic order type that keeps you in the market at an aggressive price! PNP+Complex orders can be sent to NYSE Amex for ALL option symbols.

Orders will not touch the leg markets and therefore the order will be subject to the complex transaction rate of $0.10 per side (order executes against the complex order from another firm). This order type also provides the opportunity for firms to take advantage of the “firm to firm” executions at only $0.05 when they are on both sides of the trade.

Now in order to identify and organize complex instruments and orders, NYSE Arca will disseminate Complex FAST symbols via ArcaBook. FAST Symbols will be created for the order immediately upon receipt from FIX if the instrument does not already exist. An ArcaBook message will be sent that contains the leg definitions of the complex order along with the FAST symbol. Once defined, any further activity in the instrument will be broadcast using the FAST Symbol only. These FAST symbols will be available to ArcaBook users whenever they subscribe, not only at start of day.

A new ArcaBook subscription will be available for the complex order book which will include Top of Book Messages and New Instrument Messages.

You can send in complex orders via FIX or ArcaDirect. Specs are here, here and here.

If you have any further questions do not hesitate to contact your Relationship Manager at relationshipmgt@nyx.com or call the options trade desk at 877-729-7291.

Trade ‘em Up!

TW