Effective October 9, 2022, the Cboe Options Exchange (“C1”) Trade Entry tool will be able to identify conversion, reversal, and jelly roll strategies when the “Original ExecID for Reversal” and “Original Side for Reversal” fields are populated.

C1 automatically identifies three fee-cap-eligible strategies, eliminating the need to manually identify these strategies to realize fee benefits. Conversions, reversals, and jelly rolls are automatically identified in StrategyID (FIX Tag 22002) if there is no strategy ID marked.

Upon the effective date, the “Original ExecID for Reversal” and “Original Side for Reversal” fields must be populated in order for the StrategyID to be accounted for when trade corrections are entered using the Trade Entry tool.

This functionality will be available to test in the C1 certification environment on September 27, 2022.

• Conversion: a strategy established by combining a long position in the underlying security with a long put and a short call position that shares the same strike and expiration.
• Reversal: a strategy established by combining a short security position with a short put and a long call position that shares the same strike and expiration.
• Jelly Roll: a strategy created by entering into two separate positions simultaneously; one position involves buying a put and selling a call with the same strike price and expiration and the second position involves selling a put and buying a call, with the same strike price, but with a different expiration from the first position.