This topic provides information on Triangulation.
Triangulation provides liquidity between premiumquoted options (PQO), volatilityquoted options (VQO), and the related underlying futures market. Liquidity across order books is supported by implied functionality and standard option pricing model calculations.
Contents
Testing and Certification
Certification via AutoCert+ is not required for Triangulation functionality.
Functionality Overview
This diagram provides an overview of Triangulation functionality.
Product Availability
Only Europeanstyle (2 PM Fix) CME FX options support Triangulation functionality.
The following CME FX futures, weekly options, serial options, and quarterly options combinations will support Triangulation functionality:
 Futures: the first two underlying quarterly futures of listed options
 Weekly Options: all four listed weekly options
 Serial/Quarterly Options: all three listed serial options (only two serials when the front month is a quarterly).
Product  iLink: tag 1151Security Group MDP 3.0: tag 6937Asset 

Japanese Yen  Futures=6J PremiumQuoted Options=JPU, 1JY5JY VolatilityQuoted Options: tag 6937=VXJ, VJAVJE, VJ1VJ5 
British Pound  Futures=6B PremiumQuoted Options=GBU, 1BP5BP VolatilityQuoted Options=VXB, VBAVBE, VG1VG5 
Swiss Franc  Futures=6S PremiumQuoted Options=CHU, 1SF5SF VolatilityQuoted Options=VXS, VSAVSE, VE1VE5 
Canadian Dollar  Futures: tag 6937=6C PremiumQuoted Options=CAU, 1CD5CD VolatilityQuoted Options=VXC, VCAVCE, VC1VC5 
Euro FX  Futures: tag 6937=6E PremiumQuoted Options: tag 6937=EUU, 1EU5EU VolatilityQuoted Options: tag 6937=VXT, VTAVTE, VE1VE5 
Australian Dollar  Futures=6A PremiumQuoted Options=ADU, 1AD5AD VolatilityQuoted Options=VXA, VAAVAE, VA1VA5 
VQO spreads are not supported. PQO spreads and futures spreads are not included in Triangulation functionality.
Market Data
Triangulation functionality has the following market data considerations.
Security Definition
The market data Security Definition message (tag 35MsgType=d) will contain tag 872InstAttribValue bit 19Implied Matching Eligible=1 for VQO, PQO, and futures products with Triangulation, irrespective of whether a strike is inside or outside the configured Triangulation delta range configuration.
An implied eligible instrument is not necessarily Triangulated; Triangulation is only calculated for strikes within the defined delta range of 10 delta to 90 delta.
Delta Range
At the start of a trading session, the initial Triangulation delta range will be configured to only include strikes from 10 delta to 80 delta for Triangulation VQO books. No other strikes will be eligible for Triangulation throughout the trading day.
During the course of the trading day, Triangulation calculation and matching can range from 10 delta to 90 delta as CME Globex dynamically recalculates all option deltas.
Triangulation implied calculations and market data dissemination can activate/deactivate for a given strike during the course of the trading day as CME Globex dynamically recalculates all option deltas.
Beginning of the trading day
Example 1
Australian Dollar European Option (2 PM Fix)  

Strike  Delta  Triangulation Eligibility 
7900  9  No 
7750  20  Yes 
7550  55  Yes 
7500  71  Yes 
Delta value changes during the trading day
Example 2
Australian Dollar European Option (2 PM Fix)  

Strike  Delta  Triangulation Matching Eligibility 
7900  15  Yes 
7750  24  Yes 
7550  62  Yes 
7500  80  Yes 
Example 3
Australian Dollar European Option (2 PM Fix)  

Strike  Delta  Triangulation Eligibility 
7900  4  No 
7750  9  No 
7550  30  Yes 
7500  50  Yes 
Example 4
Australian Dollar European Option (2 PM Fix)  

Strike  Delta  Triangulation Matching Eligibility 
7900  15  Yes 
7750  43  Yes 
7550  91  No 
7500  95  No 
Market and Instrument States
Implied ON/OFF Security Status messages (tag 35MsgType=f) WILL NOT be sent for Triangulation products.
Triangulation Book Dissemination
Only topofbook, best bid, and best offer are disseminated for Triangulation VQO books via the Market Data Incremental (tag 35=X) message with tag 269=E (Implied Bid) or F (Implied Offer) for VQO outrights. VQO Triangulation function implieds will only be published when the related PQO and futures books can both support the VQO 5lot minimum quantity.
There is no topofbook Triangulation implied dissemination for the PQO and futures books because aggressing customer orders against PQO or futures Triangulation implied orders will not always fulfill a related VQO 5lot customer order minimum match event size.
 Customer Order Book Publication  Triangulation Book Publication 

VQO  3deep  Top of book 
PQO  3deep  Not applicable but will calculate / match at top of book 
Futures  10deep  Not applicable but will calculate / match at top of book 
Trade Summary
When a Triangulation implied order matches, Trade Summary messages will be published on each of the channels for the VQO, the PQO and the futures.
 The VQO and PQO market data messages will be published on PQO channel.
 The futures market data messages will be published on the futures channel.
A client representing a VQO customer order, PQO customer order or a futures customer order will not be able to determine from market data messages whether the orders are matched as part of a Triangulation implied match. There is no market data message value to indicate implied match.
Mass Quote Protections
To prevent overfilling across resting mass quotes in multiple VolatilityQuoted Options (VQO) and PremiumQuoted Options (PQO) strike prices, Mass Quote Protections (MQPs) are evaluated interevent for a Triangulation implied trade originating from an aggressing futures order.
Mass Quote Protection Calculation
The following examples illustrate MQP calculations for Triangulation implied trades that occur in the futures order book.
The examples on this page show scenarios in which this feature will apply.
Example 1 – New Quote Fill (X) Protection
Given
Assuming new quote fill protection = 2 for Market Maker 1 at the product Level
Expiry for VQO + PQO strikes = 24 days
Interest Rate = 1.345%
Market Maker 1 has mass quotes in multiple VQO strikes and Market Maker 2 has mass quotes in PQO strikes as shown below:
Strike Price  VQO Bid Book  VQO Ask Book  PQO Bid Book  PQO Ask Book 

Call 9050  20@9.70  20@9.80  20@85  20@86 
Call 9060  20@10.10  20@10.20  20@83  20@84 
Call 9070  20@10.40  20@10.50  20@80  20@81 
VQO Asks & PQO Bids generate the following implied futures bids:
Strike Price  Implied bid in Future  Calculated Delta  

Implied 1  9050  10@9038  0.4845488 
Implied 2  9060  9@9036  0.4650445 
Implied 3  9070  9@9033  0.445424 
When
A futures Sell aggressing order arrives for Qty 100@9030, the order can trade with all resting implied orders.
Then
CME Globex creates 3 trades:
 The transaction is stopped after execution of trade 2, since it violated the MQP setting limit for Market Maker 1
 VQO 9070 MQ (Bid and Ask) is eliminated because of the MQP activation, which also cancels implied 3
 VQO 9050 and 9060 Bids are cancelled
Trades  Description  MQP count for Market Maker 1 after each trade 

Trade 1  With Implied 1 for qty 10@9038  1 
Trade 2  With Implied 2 for qty 9@9036  2 


Example 2 – Execution (Y) Protection
Given
Assuming execution protection = 3 for Market Maker 1 at the product Level
Expiry for VQO + PQO strikes = 24 days
Interest Rate = 1.345%
Market Maker 1 has mass quote in multiple VQO strikes & Market Maker 2 has mass quotes in PQO strikes as shown below:
Strike Price  VQO Bid Book  VQO Ask Book  PQO Bid Book  PQO Ask Book 

Call 9050  20@9.70  40@9.80  40@85  20@86 
Call 9060  20@10.10  40@10.20  20@83 and outright order for 20@83  20@84 
Call 9070  20@10.40  20@10.50  20@80  20@81 
VQO Asks & PQO Bids generate the following implied futures bids:
Strike Price  Implied bid in Future  Calculated Delta  

Implied 1  9050  19@9038  0.4845488 
Implied 2  9060  19@9036  0.4650445 
Implied 3  9070  9@9033  0.445424 
When
 Futures Sell Aggressor 1 arrives for 10@9030 – can trade with implied 1.
 Futures Sell Aggressor 2 arrives for 50@9030 (within MQP interval).
Then
CME Globex creates 5 trades
 Implied 1 trades with multiple aggressors within MQP interval
 Each aggressor fill is counted in execution protection
 Implied 2 trades with the same aggressor for qty 20 and 20, but execution protection is counted as 1 and not 2
 Will stop the execution after Implied 2 trade, since it violated MQP
 MQP activates after implied 2 is completely traded
 VQO 9070 MQ is cancelled, so implied 3 is cancelled
 VQO 9050 bid and VQO 9060 bid are cancelled
 The changes related to per aggressor count are applicable only for the triangulation implied futures
Trades  Description  MQP count after each trade 

Trade 1  With Implied1 for qty 10@9038  1 
Trade 2  With Implied1 for qty 9@9038  2 
Trade 3  With Implied2 for qty 10@9036  3 
Trade 4  With Implied2 for qty 9@9036  3 (Count not incremented since same aggressor is trading with Implied2) 
Example 3 – Traded Quantity (Z) Protection
Given
 Assuming traded quantity protection = 40 for Market Maker 1 at product level
 Expiry for VQO + PQO strikes = 24 days
 Interest Rate = 1.345%
Market Maker 1 has mass quotes in multiple VQO and Market Maker 2 has mass quotes in PQO strikes as shown below:
Strike Price  VQO Bid Book  VQO Ask Book  PQO Bid Book  PQO Ask Book 

Call 9050  20@9.70  20@9.80  20@85  20@86 
Call 9060  40@10.10  40@10.20  20@83 (also a limit buy order for 20@83)  20@84 
Call 9070  20@10.40  20@10.50  20@80  20@81 
VQO Asks & PQO Bids generate the following implied futures bids:
Strike Price  Implied bid in Future  Calculated Delta  

Implied 1  9050  10@9038  0.4845488 
Implied 2  9060 (VQO of 40, PQO MQ of 20 and PQO limit of 20)  19@9036  0.4650445 
Implied 3  9070  9@9033  0.445424 
When
Futures Sell aggressor arrives for qty 50@9030 and can trade with all resting implieds.
Then
CME Globex creates 4 trades:
 Implied 1 fully trades
 Implied 2 has multiple fills – trade 2 and trade 3
 Though MQP is violated after trade 2, trade 3 also goes through since the implied order from the same MQ is traded
 Will stop the execution after trade 3 since it violated MQP
 MQP activates after implied 2 is completely traded
 VQO 9070 MQ is eliminated, so implied 3 is cancelled
 VQO 9050 Bid and VQO 9060 Bid are cancelled
Trades  Description  MQP count after each trade  How is the count calculated? 

Trade 1  With Implied 1 for qty 10@9038  20  VQO1 MQ qty 20 
Trade 2  With Implied 2 for qty 10@9036  40  VQO2 MQ qty 20 + the previous counter value of 20 
Trade 3  With Implied 2 for qty 9@9036  60  VQO2 MQ remaining qty of 20 + the previous counter value of 40 
Example 4 – Buy/Sell Protection
Given
 Assuming buy/sell protection = + 20 for Market Maker 1 at product level
 With interest rate = 1.345%
 Expiry = 24 days
Market Maker 1 has mass quotes in multiple VQO strikes & Market Maker 2 has mass quotes in PQO strikes as shown below:
Strike Price  VQO Bid Book  VQO Ask Book  PQO Bid Book  PQO Ask Book 

Call 9050  20@9.70  20@9.80 (and VQO sell limit for 20@9.80)  40@85  40@86 
Put 9060  40@8.60  40@8.70  20@91  20@92 (and PQO sell limit order for 20@92) 
Call 9070  40@10.40  40@10.50  20@80 (and PQO bid limit order for 20@80)  20@81 
VQO Asks & PQO Bids generate the following implied futures bids:
Strike Price  Implied bid in Future  Calculated Delta  

Implied 1  9050  19@9038  0.4845488 
Implied 2  9060 Put (VQO bid of 8.6 and PQO ask of 92)  22@9036  0.5426779 
Implied 3  9070  18@9033  0.445424 
When
Futures Sell aggressor arrives for qty 100@9030 which can trade with all the resting implied orders.
Then
CME Globex creates 6 trades:
 Implied 1 fully trades – trade 1 and 2
 MQP protection value after implied 1 trade is 20
 MQP activates after trade 2 and stops the execution after trade 2
 VQO Put 9060 and VQO Call 9070 MQs are cancelled, so implied 2 and 3 are cancelled
 VQO Call 9050 Bid side MQ is also cancelled
Trades  Description  MQP count after each trade  How is the count calculated? 

Trade 1  With Implied 1 for qty 10@9038  20  VQO1 sell = 20, 
Trade 2  With Implied 1 for qty 9@9038  20  Same as previous value since there is no trade from VQO MQ 


 


 


 



Self Match Prevention
Self Match Prevention is not available for Triangulation.
Triangulation Implied Functionality
Triangulation only functions when the PQO quantity is at least a minimum quantity and sufficient futures hedge quantity is available.
 A minimum quantity of 5 lots is required for Triangulation execution.
 If the VQO customer order 5lot minimum cannot be satisfied, then the related Triangulation implied match in the PQO or futures will not occur.
 The Triangulation implied for the PQO or futures order books will not be published, but will match, provided an aggressing customer order—into either order book—allows at least one related VQO customer order to match a 5lot minimum.
All VolatilityQuoted Options have a 5lot minimum order size. These minimums are designed to mitigate the risk of a VQO or Triangulated execution without an assigned future.
The maximum number of deltas that a VQO order can be out due to a Triangulation match is 99 deltas per volatility match level basis.
A Triangulated price is calculated and published as a single price value, but the customer order sources to create a triangulated price can be created from multiple orders and/or multiple prices levels.
Only the following combinations are supported:
 VQO implied order = PQO customer order + futures customer order
 PQO implied order = VQO customer order + futures customer order
 Futures implied order = VQO customer order + PQO customer order
When futures customer order(s) are the limiting factor to create an implied VQO or implied PQO then the following formula will be used to create the implied quantity:
Implied VQO quantity = Minimum of (PQO Quantity, Calculated Options Quantity*)
Implied PQO quantity = Minimum of (VQO Quantity, Calculated Options Quantity*)
*Calculated Options Quantity = Round Down ((Future Quantity + 0.50) / Delta)
Note: If the calculated options quantity results in a positive integer, subtract 1 from calculated options quantity (see Example A below).
When a new customer order enters the futures, PQO, or VQO book, CME Globex first determines:
 if there are opposite side resting customer order(s) to match against the incoming order, and
 if Triangulation implied order(s) can match against the incoming customer order.
This table shows all Triangulation implied order matching combinations:
Customer Order  +  Customer Order  =  Triangulation Function Implied 

PQO Call Bid  +  Futures Ask  =  Implied VQO Call Bid 
PQO Call Ask  +  Futures Bid  =  Implied VQO Call Ask 
PQO Put Bid  +  Futures Bid  =  Implied VQO Put Bid 
PQO Put Ask  +  Futures Ask  =  Implied VQO Put Ask 
VQO Call Bid  +  Futures Bid  =  Implied PQO Call Bid 
VQO Call Ask  +  Futures Ask  =  Implied PQO Call Ask 
VQO Put Bid  +  Futures Ask  =  Implied PQO Put Bid 
VQO Put Ask  +  Futures Bid  =  Implied PQO Put Ask 
VQO Call Ask  +  PQO Call Bid  =  Implied Futures Bid 
VQO Call Bid  +  PQO Call Ask  =  Implied Futures Ask 
VQO Put Bid  +  PQO Put Ask  =  Implied Futures Bid 
VQO Put Ask  +  PQO Put Bid  =  Implied Futures Ask 
Option Pricing Inputs
Triangulation is only available to Europeanstyle options and will use the Black 76 model. Please see VolatilityQuoted Options for more details about the CME Globex option pricing model.
The following option pricing model’s inputs are consistent regardless of whether the Triangulation implied match occurred in the VQO, PQO or futures book.
Interest Rate  The daily interest rate will be based on the settlement price of the previous day's Eurodollar futures front month quarterly. If the front month Eurodollar futures is the quarterly month then the next quarterly futures settlement price will be used as the interest rate. Clients will be informed as to the exact interest rate value on www.cmegroup.com. 
Time Decay 

Strike Price  Based on the VQO strike price. 
Aggregated PriceTime Priority
Order Priority
Among Triangulation implied orders, the order priority is based on Aggregated PriceTime, i.e., the implied order priority will be determined using the last timestamp of the customer orders used to generate the implied.
For example, if a VQO customer order was entered at 12:00:00 p.m. CT and a PQO customer order entered at 12:00:01 p.m. CT, and those orders create an implied futures order, then the related timestamp for the implied futures order would be 12:00:01 p.m. CT, and that implied order would have priority over any implied order with a later timestamp.
Matching Priority
1. Within the VQO order book, at a given price level, if there are both customer orders and Triangulation implied orders, then an aggressing VQO order will match against those orders in the following sequence:
 VQO customer orders or VQO Triangulation implied orders based on the Aggregated PriceTime.
2. Within the PQO order book, at a given price level, if there are both customer orders and implied orders (i.e. RFQtriggered implied orders and Triangulation implied orders), then an aggressing PQO order will match against those orders in the following sequence:
 PQO customer orders, PQO implied orders, or PQO Triangulation implied orders based on the Aggregated PriceTime.
A resting order can match without an incoming (aggressing) opposite side customer order entering its book or any of the related Triangulation books in the following scenario:
 at a new Trading Day's market opening, due to a new option pricing model calculation triggered by time decay and/or a new interest rate.
Matching Algorithm
Triangulation products will utilize the match algorithm that they currently employ.
CME Globex Processing Overview
Order entry and market data messaging for Triangulation products are standard CME Globex except where noted.
In this example, the bid in the volatility quoted book and ask in the premium quoted book create an undisseminated implied order in the underlying futures 6AH7 bid, which is matched when the client system submits a Sell 10 order in 6AH7.
Triangulation Implied Matching Examples
The following examples show matching behavior for various Triangulation implied scenarios.
Example 1  Partial VQO Fill, Cancel Remaining VQO Quantity
 Starting VQO book with a customer bid of 20@15.98 and an implied bid of 20@15.98 (implied order has second priority).
 Aggressing Ask for 24 at 15.98 hits VQO order book.
 Aggressing Ask matches for 20 with customer order for 20 at 15.98.
 Since the remaining Ask quantity of 4 does not meet the minimum VQO order quantity of 5, the remaining order quantity is cancelled.
Example 2  Partial PQO Fill, Remaining PQO Quantity Rests on Book
 Starting books with implied Ask order in the PQO book.
 Aggressing Bid for 24 at .0142 hits PQO order book.
 Aggressing Bid matches for 20 with customer Ask order. The minimum Triangulation function match quantity is not met.
 Remaining Bid quantity of 4 rests at .0142 price level on the PQO book.
Example 3  Triangulation Implied Match Occurs in VQO Order Book
In this example the available PQO orders and futures order generate an implied Bid order for 22 @ 13.21 in the VQO order book.
 Starting books with implied Bid order in the VQO book.
 Aggressing Ask for 22 @ 13.21 hits VQO order book
 All VQO, PQO, and futures order fill completely in the following sequence:
iLink Messages for Triangulation Match
 VQO Fill: 8 @ 13.21% (ask)
 Premium Fill: 8 @ $0.0142 (ask)
 tag31LastPX=$0.0142  tag 810UnderlyingPx=$0.7640  tag811OptionDelta=0.1132  tag1188Volatility=13.21%  tag1189ExpiraitonTimeValue=x.x  tag1190RiskFreeRate=x.x%
 Premium Fill: 8 @ $0.0142 (bid)
 Future Fill: 1 @ $0.7639 (bid)
 Future Fill: 1 @ $0.7639 (ask)
 VQO Fill: 3 @ 13.21% (ask)
 Premium Fill: 3 @ $0.0141 (ask)
 tag31LastPX=$0.0141  tag 810UnderlyingPx=$0.7640  tag811OptionDelta=0.1132  tag1188Volatility=13.21%  tag1189ExpiraitonTimeValue=x.x  tag1190RiskFreeRate=x.x%
 Premium Fill: 3 @ $0.0141 (bid)
 VQO Fill: 11 @ 13.21% (ask)
 Premium Fill: 11 @$0.0140 (ask)
 tag31LastPX=$0.0140  tag 810UnderlyingPx=$0.7640  tag811OptionDelta=0.1132  tag1188Volatility=13.21%  tag1189ExpiraitonTimeValue=x.x  tag1190RiskFreeRate=x.x%
 Premium Fill: 11 @ $0.0140 (bid)
 Future Fill: 1 @ $0.7640 (bid)
 Future Fill: 1 @ $0.7640 (ask)
Example 4  Triangulation Implied Match Occurs in PQO Order Book
In this example the available VQO, PQO, and futures orders generate an implied Ask order for 20 @ 0.0139 in the PQO order book.
 Starting books with implied Ask in PQO book.
 Aggressing PQO bid for 11 @ 0.0141 hits the order book, satisfying the implied minimum quantity and matching at improved price of 0.0139.
 Resting order fills:
 PQO bid for 9 @ 0.0142 matches completely at 0.0142.
 Resting VQO ask for 20@13.21 fills completely.
 Resting Futures ask for 2 @ 0.7640 fills completely.
iLink Messages for Triangulation Match
 VQO Fill: 9 @ 13.21% (ask)
 Premium Fill: 9 @ $0.0142 (ask)
 tag31LastPX=$0.0142 tag 810UnderlyingPx=$0.7640  tag811OptionDelta=0.1132  tag1188Volatility=13.21%  tag1189ExpiraitonTimeValue=x.x  tag1190RiskFreeRate=x.x%
 Premium Fill: 9 @ $0.0142 (bid)
 Future Fill: 1 @ $0.7640 (bid)
 Future Fill: 1 @ $0.7640 (ask)
 VQO Fill: 11 @ 13.21% (ask)
 Premium Fill: 11 @$0.0139 (ask)
 tag31LastPX=$0.0139 tag 810UnderlyingPx=$0.7640  tag811OptionDelta=0.1132  tag1188Volatility=13.21%  tag1189ExpiraitonTimeValue=x.x  tag1190RiskFreeRate=x.x%
Additional Implied Order Scenarios
The following examples show scenarios in which Triangulation provides implied order quantity in the VQO, PQO, and Futures order book, depending upon book dynamics.
Example A  VQO implied bid
If the delta is 50 then the VQO Put implied bid will be published as a 24lot: (12lot futures + 0.50) / 50 deltas = 2500 deltas (subtract 100 from 2500 deltas or VQO 24lot implied order).
Bid  

VQO Put  24lot Triangulation implied displayed 
PQO Put (50 delta)  45lot customer order 
Futures  12lot customer order 
Example B  VQO implied bid
If the delta is 55, then the VQO Put implied bid will be published as a 22lot: (12lot futures + 0.50) / 55 deltas = 2272 deltas (rounded down to 2200 deltas or VQO 22lot implied order).
Bid  

VQO Put  22lot Triangulation implied displayed 
PQO Put (55 delta)  45lot customer order 
Futures  12lot customer order 
Example C  Futures implied bid
If the delta is 28 then an 8lot futures will be implied: VQO 30lot * 28 delta = 840 deltas (rounded down to 800 deltas or 8 futures).
Bid  Ask  

VQO Put  30lot customer order  
PQO Put (28 delta)  100lot customer order  
Futures  8lot Triangulation implied displayed 
Examples D through F assume the following book dynamics:
Bid  Ask  

VQO Put  Implied 10.05% (20lot) displayed  10.10% (20lot) 
PQO Put (50 delta)  38 bid (20lot)  Implied 42 ask (20lot) hidden 
Futures  1 bid (10lot)  Implied 2 offer (10lot) hidden 
Example D  Futures impiled ask
 VQO Put of 10.10% Ask (20lot) and PQO Put of 38 Bid (20lot) generates Futures Implied Ask of 2 Ask (10lot)
 Futures goes 2 Bid (10lot) – resulting matches and market data:
 VQO 10.10% (20lot)
 PQO 38 (20lot)
 Futures 2 (10lot)
Example E  VQO implied bid does not meet minimum quantity requirement
 PQO goes 42 Bid (4lot); this calculates to a VQO implied Bid of 10.15% (4lot)
 However, because the VQO implied does not meet the 5lot minimum, no implied is created and no matching occurs.
Example F  PQO implied ask
 VQO Put of 10.10% Ask (20lot) and Futures bid of 1 Bid (20lot) generates PQO Implied Put of 42 Ask (20lot)
 PQO goes goes 42 Bid (20lot) – resulting matches and market data:
 VQO 10.10% (20lot)
 PQO 42 (20lot)
 Futures 1 (10lot)
Example G  VQO implied bid, cancel aggressing order remainder
Bid  

VQO Put  20lot customer order @ 12.20% 22lot Triangulation implied @ 12.20% displayed 
PQO Put (55 delta)  45lot customer order 
Futures  12lot customer order 
If an incoming, aggressing VQO Put Ask 25lot order enters the CLOB @ 12.20% then:
 the resting VQO Put 20lot customer order @ 12.20% will fully match
 CME Globex will cancel the aggressing VQO Put Ask order remaining 5lot.
Below are the rules for how an incoming order progresses through the Triangulation functionality:
 An incoming customer order is evaluated to match against opposite side customer or triangulation implied order(s) in the same book based on the aggregated pricetime.
 If the incoming customer order has remaining quantity, then it, in turn, is evaluated to create Triangulation implied orders.
 The incoming customer order’s participation as part of the Triangulated implied order action occurs regardless of the customer order’s qualifier instructions (e.g. FOK/FAK instructions).
3. If the incoming customer order has remaining quantity, then its order qualifier instructions are applied (e.g. FOK/FAK instructions).
Comparison of Triangulation and Options Implied Processing
The following table compares the behavior of implied processing of Triangulation and Options:
Feature  Triangulation  Options 

Implied Book Levels Disseminated  1 (best implied price only) Only for the VQO book.  1 (best implied price only) 
Frequency / Pace  Streaming  OnDemand driven by RFQs, Configured with Delay + Duration 
Implication Direction  Complementary; INs + OUTs  Complementary; INs + OUTs 
Spread Scope  Not supported  User Defined, limited to 8 spreads, 1:1 ratio 
Order Priority  For the VQO and PQO order books, Aggregated PriceTime with no preferential treatment. For the futures order book, futures customer orders first, futures Triangulation implied orders next, and futures traditional implied orders last.  Aggregated PriceTime with no preferential treatment for customer orders. 
Price Improvement  Aggressor order receives price improvement.  Aggressor order receives price improvement. 
Implied Resolution  VQO order receives price improvement.  Spread receives price improvement. 