Cboe to introduce new order type, FLEX Delta Adjusted at Close

Maria Nikolova

DAC orders are limit orders for FLEX options that execute intraday and receive a delta-adjusted price based on that day’s official closing price of the underlying security or index value.

Cboe Options Exchange (C1) is set to introduce a new order type, FLEX Delta-Adjusted at Close (DAC), which will be accepted during the Regular Trading Hours (RTH) session. The launch is scheduled for July 20, 2020, subject to regulatory review.

DAC orders are limit orders for FLEX options that execute intraday and receive a delta-adjusted price based on that day’s official closing price of the underlying security or index value. Both simple and complex FLEX DAC orders will be supported. The maximum number of legs on a FLEX DAC order is 99. This differs from the number of legs supported on FLEX and non-FLEX orders without the DAC instruction, which is 100.

FLEX DAC orders will be supported for ETF/ETN/ETP and index products only.

On the effective date, users will be able to designate a FLEX DAC order by sending the PriceType (FIX Tag 423) = “D” instruction. The designated delta value will be defined in the new Delta (FIX Tag 22023) field. Valid values for FIX Tag 22023 will be from 0 to 1.0000 for call options, or -1.0000 to 0 for put options.

Applying the delta to the trading price could, in limited cases, result in a zero or negative trading price. In such cases, the initial execution price will be adjusted to a minimum value of $0.01

For complex FLEX DAC orders, the new LegDelta (FIX Tag 22024) is specified within the NoLegs repeating group to indicate the specific delta value to apply to each leg.

DAC orders entered electronically via FIX protocol can optionally include a reference price for the underlying security or index. The reference price should be sent in the new ReferencePrice (FIX Tag 22025) field. The System will conduct reasonability checks on the user entered reference price value. If a user chooses not to specify a reference price, the System will apply the current value of the underlying available at the time of order entry as the reference price.

FLEX DAC orders will only be executed via AIM, SAM, and single-sided auctions. FLEX DAC orders will not support FLEX percentage trades, Asian settlement, or Cliquet settlement options.

To support the new DAC FLEX order type, the DAC Auction Notification and DAC Trade messages are being added to the FLEX Feed. DAC single-sided, AIM and SAM auction messages will include the reference price and delta per leg.

The new FLEX DAC order functionality is currently available in the C1 certification environment.

Read this next


Sui Overflow Hackathon Funding Pool Balloons to $1,000,000 as New Sponsors Join

Alibaba Cloud, AngelHack and dWallet are among the latest supporters for the global event.

Institutional FX

Liquidnet launches SuperBlock Matching for equities trading

“The creation of a protected space to trade the most challenging blocks is a direct response to a request from our Membership and is an extension of our existing block trading offering, to facilitate more complex and nuanced trades.”

Retail FX

Midas raises $45 million to expand brokerage beyond Turkey

Midas has raised $45 million in equity funding to expand and roll out three new products: cryptocurrency trading, mutual funds, and savings accounts.

Institutional FX

Appital launches liquidity creation functionality for buyside

“In today’s fragmented market, the likelihood of having natural market contras at size, in multiple days ADV, which also match price ambitions, is incredibly unlikely. What’s more, matching technology alone is no longer enough.”

Crypto Insider

Shiba Inu Secures $12 Million Investment to Advance its Blockchain Technology and Expand Global Ecosystem

Shiba Inu, an expansive digital assets ecosystem constructed on the Ethereum blockchain, featuring the globally recognized cryptocurrency $SHIB, today proudly announced securing a $12 million investment.

Retail FX

99.81% of NAGA shareholders approve merger with CAPEX.com

“Securing this vote will allow us, after the regulatory approvals for the merger, to execute the new business plan. We are expanding the global reach of NAGA and upgrading the SuperApp to offer a true all-in-one user experience, unique in the world of Fintech.”

Market News

Chinese Insurance Giant Leads Market in Face of US Tech Slump

Chinese insurer China Pacific Insurance has emerged as a standout performer amidst the recent flurry of activity in the Asia Pacific markets, capturing the attention of investors and traders alike.

Retail FX

Public strikes deal to acquire Stocktwits

“After launching bonds, a high-yield cash account, and options trading, Public’s platform has earned the right to be the primary brokerage platform for many investors, and we look forward to offering the full breadth of our platform to Stocktwits customers.”


BlockDAG’s Impressive 30,000x ROI Potential and Moon-Based Keynote Captivate Solana And Bitcoin Cash Crypto Investors

Discover BlockDAG’s impressive moon keynote launch and its promise of a 30,000x ROI that is drawing investors from Solana and Bitcoin Cash.