NYSE American Options

CUBE (Customer Best Execution)

Electronic price improvement auction mechanism for paired orders of any size. A Principal CUBE will support quantity entry with a minimum size of 1 contract while a Facilitation CUBE will support quantity entry with a minimum size of 50 contracts.

How it Works

  • Paired orders consist of an initiating CUBE order, which may be submitted in any clearing capacity, and an accompanying contra order, which may be submitted by any clearing capacity except for Customer
  • Upon receipt of a CUBE order, the auction will be announced via a Request For Response (“RFR”) message broadcast to all XDP Options subscribers disclosing the price, side, and size of the CUBE order
  • The auction will end after a random duration between 500 and 750 milliseconds
  • RFR responses with Customer account type will take first priority at a price; all other responses will be capped at the initiating order size and executed on a pro-rata basis
  • If only the accompanying contra order and one other RFR response are eligible to trade at the CUBE execution price, each will receive a 50% allocation; otherwise, the accompanying contra order will receive a 40% guaranteed allocation unless more than 60% of the order is price improved by other participants (the accompanying contra will yield priority at a given price once the 40% entitlement is satisfied)

Now Available: Complex CUBE

CUBE auctions are now available for complex orders providing the same key benefits and functionality already available for single-leg options.

Please refer to the CUBE FAQs for additional information.

Key Benefits and Features

  • Price Improvement - Orders have the opportunity to seek price improvement prior to execution
  • Execution Guarantee - Even if there is no price improvement on the CUBE order, the execution is guaranteed upon submission
  • Size Flexibility - Orders of any size may be submitted to CUBE for price improvement, there are no minimum requirements
  • Targeted Response - Using GTX orders Members can apply a special Time In Force designation that can be used for CUBE auction responses
  • Price Accessibility - CUBE auctions can trade in penny increments even when the MPV for the series is higher

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Download FAQs