CFE Contract Listings and Product Level System Parameters
Below are daily downloads of CFE contracts listed for trading on a trade date and 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.
| VX | VXT | VXM | VXMT | VA | IBHY | IBIG | IEMD | |
|---|---|---|---|---|---|---|---|---|
| Threshold Width | 10% | None | 10% | None | 10% | 10% | 10% | 10% |
| Market Order Protection | 10% | None | 10% | None | 10% | None | None | None |
| Limit Order Protection (CFE setting) | 10% | None | 10% | None | 10% | 1% | 1% | 1% |
| Limit Up | 70% | None | 70% | None | None | 10% | 10% | 10% |
| Limit Down | 30% | None | 30% | None | None | 10% | 10% | 10% |
| Minimum Price (simple) | 0.05 | -0.5 | 0.01 | -0.5 | 0.5 | 0.01 | 0.01 | 0.01 |
| Maximum Price (simple) | 99,999.95 | 0.5 | 99,999.99 | 0.5 | 99,999.5 | 99,999.99 | 99,999.99 | 99,999.99 |
| OCC Origin Code | 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 |
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 |
| Simple Stop Limit | Yes | No | Yes | No | Yes | Yes | Yes | Yes |
| Simple Tick Increment | 0.05 | 0.01 | 0.01 | 0.01 | 0.5 | 0.01 | 0.01 | 0.01 |
| Spread Tick Increment (applies to net spread price)1 |
0.01 | 0.01 | 0.01 | 0.01 | 0.1 | 0.01 | 0.01 | 0.01 |
| Block Trade/ECRP Tick Increment (applies to simple and spread) |
0.005 | 0.005 | 0.005 | 0.005 | 0.1 | 0.005 | 0.005 | 0.005 |
| Block Trade Minimum Size (simple) | 200 | 200 | 2,000 | 2,000 | 1,500 | 50 | 50 | 100 |
| Block Trade Smallest Leg (spread)2 | 100 | 100 | 1,000 | 1,000 | 1,500 | 50 | 50 | 100 |
| Block Trade Smallest Leg (strip)2 | 100 | 100 | 1,000 | 1,000 | N/A | 50 | 50 | 100 |
| DPM/LMM Allocation | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A |
- Refer to contract specifications for the tick increment for leg prints that result from a spread trade.
- CFE rules also provide for a minimum overall Block Trade quantity for a spread or strip.
Last updated 2024-11-21