Market Quality Program

The Reward Pool is set at up to $250K / month, segmented as follows by product:

^*Tier A: weeklies, monthlies and quarterlies with a delta between 25 and first ITM (inclusive)
^*Tier B: any option not in Tier A and a delta between 5 and 95 (inclusive)

Aggregation is as follows:

• Each month has ~260K snapshots. Each snapshot has an equal weight of the Reward Pool
• Per snapshot, for each eligible instrument, market quality is scored per orderbook. Bids and asks are equally weighted
• All product groups have N different eligible instruments at any given time. The rewards per instrument are 1/N of the product group

The total reward paid per orderbook snapshot is a function of the level of liquidity:

• Below a minimum threshold of market quality, the orderbook snapshot is not rewarded, i.e. no participant receives a score regardless of having a limit order in the book
• Above the threshold, the total reward scales proportionately to the total level of market quality
• If an orderbook snapshot meets the target level of market quality or surpasses it, the reward is equal to $250K / N_snapshots x Allocation_instrument

Market Quality Scoring:

• Price levels are discounted in function of distance to the Mid Price (“Distance Discounting”). Price scores then get multiplied with order size to yield a metric called Top of Book Equivalent Score (“TOBE” in short).
• Dividing the TOBE of an order by the sum total TOBE of all orders in an order book gives a % score called Market Quality Score (“MQS” in short).
• A participant’s share of the orderbook snapshot reward is the MQS of ones orders.
• The TOBE of an orderbook is a proxy for the quality of visible liquidity of a snapshot and is compared to target values to determine the snapshot reward.
• Daily email reports on a participant’s performance will be available on an opt-in basis.