Notes on Combination Orders
This page contains notes and tips on creating and transmitting combination orders.
Use SmartRouting to execute legs separately to ensure you get the best price on all legs of your order.
Exchanges that currently support native combination orders (which means they execute the legs together as one transaction) include:
ISE
ONE
DTB (Euro)
To help determine the ratio for a specific combination order, use our Price/Risk Analytics tools. First, edit the model using the Option Modeler, then view model outputs using Option Analytics.
Note on pricing: If you buy a spread and you owe cash (debit spread), enter a positive limit price. If you buy a spread and you receive cash (a credit spread), you must enter a negative limit price. Conversely, if you sell a spread and receive cash, enter a positive limit price. If you sell a spread and owe cash, you must enter a negative limit price.
For example, an April 20.0 xyz call shows
a BID price of 6.60 and an ASK price of 6.70. An April 30 xyz call shows
a BID price of 0.15 and an ASK price of 0.20.
If you buy a "debit" call vertical
spread with the following legs:
Buy 1 OPT APR02 20.0 CALL (6.70),
Sell 1 OPT APR02 30.0 CAL L (0.15)
For this transaction you pay: 6.55
(a debit transaction)
If you invert the legs and buy a "credit"
call vertical spread with the following legs:
Sell 1 OPT APR02 20.0 CALL (6.60)
Buy 1 OPT APR02 30.0 CALL (0.20)
For this transaction you receive 6.40
(a credit transaction, enter a negative price)
When you create a combination order using the Order Ticket window, click Accept (rather than Transmit) to verify your order parameters.
Before you transmit a combination order, carefully review the order parameters from the Order Management line.
Note the following:
For vertical call spreads 5 index points apart (i.e. 1120 call vs 1125 call) the lower stuck leg with strike price between 25 index points below the at-the-money strike and 70 above the at-the-money.
For vertical call spreads 10 index points apart the lower stuck leg with strike price between 25 index points below the at-the-money strike and 65 above the at-the-money.
For vertical call spreads 15 index points apart the lower stuck leg with strike price between 25 index points below the at-the-money strike and 60 above the at-the-money.
For vertical call spreads 20 index points apart the lower stuck leg with strike price between 25 index points below the at-the-money strike and 55 above the at-the-money.
For vertical call spreads 25 index points apart the lower stuck leg with strike price between 25 index points below the at-the-money strike and 50 above the at-the-money.
And:
For vertical put spreads 5 index points apart (i.e. 1125 call vs 1120 call) the lower stuck leg with strike price between 75 index points below the at-the-money strike and 20 above the at-the-money.
For vertical put spreads 10 index points apart the lower stuck leg with strike price between 75 index points below the at-the-money strike and 15 above the at-the-money.
For vertical put spreads 15 index points apart the lower stuck leg with strike price between 75 index points below the at-the-money strike and 10 above the at-the-money.
For vertical put spreads 20 index points apart the lower stuck leg with strike price between 75 index points below the at-the-money strike and 5 above the at-the-money.
For vertical put spreads 25 index points apart the lower stuck leg with strike price between 75 index points below the at-the-money strike, at-the-money.