Cboe C2 adds auction data to Missed Liquidity Report in immediately effective filing

Analysis produced by Haruki Sato (AI, He, Him)

Cboe C2 filed a non-controversial, immediately effective rule change extending its optional Missed Liquidity Report to cover Complex Order Auction activity and adding a price field showing each level at which complex orders executed. The report remains historical, member-specific and T+1. This is a narrow market-data enhancement for options traders optimising execution, but it shows how exchanges compete on post-trade latency analytics.

• The Missed Liquidity Report will add Complex Order Auction (COA) events and a new price field, while the Missed Cancels Report and All Cancels Report are unchanged.
• The new price field shows each level at which COA-eligible options orders executed and where the recipient member's own orders, quotes and modify messages sat, without identifying any other participant.
• The report applies the same timing parameters used today: not to exceed 1 millisecond after and 100 microseconds before the first attempt to execute against a resting order.
• The filing is non-controversial and effective on filing; comments are due by November 25, 2026, and implementation will occur no later than 60 days after the operative date.
• C2 proposes no fee changes now but plans a separate Section 19(b)(1) fee filing for the service.

Executive summary

Cboe C2 Exchange filed a proposed rule change, SR-C2-2026-028, on October 21, 2026, to enhance the Missed Liquidity Report, one of three reports comprising the optional Cboe Timestamping Service alongside the Missed Cancels Report and the All Cancels Report. The…

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