Thanks Could you please explain this , i know what LMM means , but in this pdf the Matching Algorithm for crude oil options is F ( fifo ) and implied is N ( N -NYMEX FIFO w/LMM ) , i dont get it is it F or N ? http://www.cmegroup.com/globex/files/PriceBanding.pdf
http://www.cmegroup.com/education/interactive/webinars-archived/implied-price-functionality.html Ok so direct options orders will be matched by F , and implied options orders will be matched by N ? i think i got it , will appreciate if someone can give examples for implied orders on crude options ... BTW re eurodollar options the matching algo is Y which if i understand correctly it means it will take forever for retail orders to get filled ( at the bid or offer ) . The Eurodollar Option algorithm (Y) is an enhanced pro-rata algorithm that incorporates an LMM allocation before TOP order and pro-rata allocations. Once each LMM has been allocated their configurable percent, and if priority was established that meets the minimum requirement of 50 lots, the remaining quantity of the aggressor order is allocated to the TOP order until that order's quantity is exhausted. If no TOP order exists or there is remaining quantity from the aggressor order after the Top order has been fulfilled, the remaining quantity will be allocated pro-rata. The Eurodollar Option algorithm follows these stages to match trades: LMM set to configurable percent Assigns a TOP order percent allocation (25% with Min=50) that betters the market Pro-rata with minimum allocation of one lot FIFO for any residual quantity