The Hybrid Opening System (HOSS) disseminates Expected Opening Information (EOI) messages during the Pre-Open and Rotation States until the series move into the OPEN state. Dissemination of EOI messages over Cboe APIs (FIX, CMI2 and CSM) and to this website begins at approximately 7:30 a.m. CT on every trading day.
The messages that may be disseminated are:
- Imbalance Messages (Need More Buyers / Need More Sellers)
These messages indicate that there is an imbalance in the market and more liquidity is needed. An imbalance exists if the quantity to buy (sell) represented by orders and quotes that are entitled to a fill at the current price exceed the available quantity to sell (buy) at that price. The Quantity field displays the additional quantity needed to successfully open the series, and the Price field displays the widest price at which the series is allowed to open given the current mix of orders and quotes.
- Expected Opening Price and Size (EOP/S)
These messages are sent for series that have a quantity to trade at the open and are sent when the system has calculated that a trade will occur at the opening under current conditions.
EOP/S messages provide information as of a point in time prior to the series moving into the OPEN state.
EOP/S messages are not designed to be used as a proxy for the prices of the constituent option series that will be used to calculate the final settlement value for expiring volatility index derivatives.
Cboe publishes volatility index settlement series here: http://cfe.cboe.com/cfe-products/vx-cboe-volatility-index-vix-futures/settlement-information-for-vix-derivatives/vix-settlement-series
These messages are sent when the best quote bid/ask is either not present or too wide to open under rules governing allowable quote width.
Message Dissemination Time Interval
The time interval between dissemination of EOI messages over Cboe APIs is approximately every five (5) seconds on every trading day.
The time interval between dissemination of EOI messages to Cboe’s website will be approximately every fifteen (15) seconds or less on every trading day.
The time interval difference between the dissemination of the messages to Cboe APIs and those posted on the Cboe website is due to a technical limitation. Reduction of the time to post to the website is being explored.
For any additional information or questions concerning the HOSS process, please contact the Cboe Operations Support Center at (312) 786-7100 or email to firstname.lastname@example.org