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Does option combo guarantee full execution of leg ratios?


 

I want to create a limit order for a BAG contract consisting of 2 SPX option legs. Each contract leg would have a ratio of 5. Order total quantity is 1. Is it guaranteed that this order will only be executed fully, meaning 2x5=10 options, or does it only ensure proportions of each leg, so something like partial fill with only 1 option of each leg is possible?


 

You can still get partial fills like you describe. Then it depends also on which options you choose. Not all combos can be transmitted as guaranteed.


 

Ratio is always guaranteed, but not the quantity. For instance, if your final order is 3 butterflies: +3 CALL 4395?? -6 CALL 4420?? +3 CALL 4445, then you need first to find the smallest leg ratio possible (Greatest Common Factor) and the order would then be: +1 CALL 4395?? -2 CALL 4420?? + 1 CALL 4445 with an order qty of 3.
Maybe only one butterfly will be executed, and 2 will be left working, but for sure the ratio of the 3 legs executed will be respected (+1 -2 +1). A combo contract is executed 'as is' or not.


 

Thank you


 

Quantity 1 with ratio 5 and 5 is invalid.?
You have to change it to quantity 5 with ratio 1 and 1.? And in that case, it would be possible that only 2 out of 5 combos are filled.?