This innovative algorithm gives liquidity providers a new level of control over how they manage their own exposure as they facilitate block trades on behalf of their options customers.

Liquidity providers can use the Capital Commitment Algorithm to customize their interaction with the marketplace when facilitating customers’ options orders, taking into account factors such as the price committed to such customers and the liquidity providers’ existing positions or capital constraints.

“We’re pleased to be able to respond to client demand for more control over how they facilitate options orders on behalf of their own customers,” said Ben Londergan, Convergex executive managing director and Head of Options Trading and Technology. “This cutting-edge algorithm allows institutional desks to put up their customer facilitation options trades electronically with a new level of customization.”

The Capital Commitment Crossing Algorithm offers two different “touch rate” paths for liquidity providers to manage how much of a given block trade they internalize:

• (CAPMAX) Maximum Cross – Used to maximize touch rate, this option allows traders to sweep all protected quotes before proceeding to facilitate the balance of a block order at one or more exchange auctions; or
• (CAPMIN) Minimum Cross – Used to minimize touch rate, this option utilizes Convergex’s high-powered Pulse™ options algorithm to source as much liquidity from the open market as possible before facilitating the balance of the block order.