For option orders routed to the Boston Options Exchange (BOX) you may elect to participate in the BOX’s price improvement auction in pennies. All BOX directed price improvement orders are immediately sent from Interactive Brokers to the BOX order book, and when the terms allow, IB will evaluate it for inclusion in a price improvement auction based on price and volume priority. In the auction, your order will have priority over broker-dealer price improvement orders at the same price.

Interactive Brokers offers nine different price improvement orders, composed of one of three different order types and one of three auction strategies. The order type determines the price of your order and the auction strategy determines how a price improvement is applied. Enter your order price in penny increments, and it will be rounded to the nearest listed increment in favor of the order (bids and offers will continue to be listed in increments of $0.05 or $.10) until the start of the auction. Should an auction start, your improvement amount will be the absolute difference of your order price in pennies and your rounded listed price.

Interactive Brokers' customers submitting Smart marketable options orders will have their orders routed to BOX when BOX is at the NBBO, and Interactive Brokers has information that there is an NBBO improvement order on the opposite side of the trade, in which case your order will be exposed to a price improvement auction.

Order Types

Limit: A buy or a sell order at a specified price. Use of a limit order ensures that you will not receive an execution at a price less favorable than the limit price. Enter limit orders in penny increments with your auction improvement amount computed as the difference between your limit order price and the nearest listed increment.

Relative: A buy or a sell order that is set at a fixed offset to the current NBBO (National Best Bid Offer). A buy order price is specified at an offset higher than the current NBB (National Best Bid), and a sell order price is specified at an offset lower than the current NBO (National Best Offer). If you do not enter an offset it will be assumed to be zero. Enter offsets in penny increments which will be used as your auction improvement amount.

Pegged to Stock: A buy or a sell order that adjusts the order price by the product of a signed delta (which is entered as an absolute and assumed to be positive for calls, negative for puts) and the change in price of the option's underlying stock price. A buy or sell call order price is determined by adding the delta times a change in an underlying stock price change to a specified starting price for the call. To determine the change in price, a stock reference price (NBBO midpoint at the time of the order is assumed if no reference price is entered) is subtracted from the current NBBO midpoint. A stock range may also be entered that cancels an order when reached. The delta times the change in stock price will be rounded to the nearest penny in favor of the order and will be used as your auction improvement amount.

Auction Strategies

Transparent: Your full price improvement amount will be submitted at the start of the auction.

Discretionary - Improving: You will participate in the auction by bidding higher or offering lower than the current auction price, but will not exceed your price improvement amount.

Discretionary - Matching: You will participate in the auction by matching the current auction price, but will not exceed your price improvement amount.

If no auction strategy is specified, Discretionary-Matching will be assumed.