Box

Box - An order to simultaneously purchase and sell two synthetics in identical numbers at different strike prices.  For example: Buy 1 April02 95 call, Sell 1 April02 95 put, Sell 1 April02 100 call, Buy 1 April02 100 put.

Price Improvement Auction

For options routed through BOX, you may elect to participate in the Price Improvement Auction to better your price. You can submit nine different types of Price Improvement Auction orders by combining one of three order types (Limit, Relative, Pegged to Stock) with one of three Auction Strategies (Match, Improve, Transparent) described below.

To submit a Price Improvement Auction order

Create an options order routed to BOX.

In the Type field, select either LMT, REL, or PEG STK.

For Limit orders, enter the limit price in the LmtPrice field in penny increments.

For Relative orders, set a relative offset amount (in penny increments) in the AuxPrice field.

For PEG STK orders, you enter the starting price in the AuxPrice field, auction strategy in the AucStrat field, the delta in the Delta field, the optional stock reference price in the StockRefPrice field, the low side of the optional stock range in the StockRangeLow field, the high side of the optional stock range in the StockRangeHigh field.

In the AucStrat field, select from one of three strategies:

Match - matches the current auction price, but will not exceed the calculated price improvement amount.

Improve - enters a bid higher (for SELL order) or lower (for BUY order) than the current auction price, but will not exceed the calculated price improvement amount.

Transparent - enters a price that includes the full calculated price improvement amount.