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Length

From

To

Datatype

Format

Description and Comments

2

1

2

AN

X(2)

Record ID - "81"

3

3

5

AN

X(3)

Exchange Acronym

10

6

15

AN

X(10)

Commodity (Product) Code

10

16

25

AN

X(10)

Underlying Commodity (Product) Code5

3

26

28

AN

X(3)

Product Type Code7

1

29

29

AN

X

Option Right Code - for an option only: P for Put or C for Call

6

30

35

N

9(6)

Futures Contract Month as CCYYMM

2

36

37

AN

X(2)

Futures Contract Day or Week Code4

1

38

38

-

-

Filler

6

39

44

N

9(6)

Option Contract Month as CCYYMM

2

45

46

AN

X(2)

Option Contract Day or Week Code4

1

47

47

-

-

Filler

7

48

54

N

9(7)

Option Strike Price

5

55

59

N

9(5)

Array Value 1: Futures No Change / Volatility Up1,2,3

1

60

60

AN

X

Sign for Array Value 1 ("+" or "-")

5

61

65

N

9(5)

Array Value 2: Futures No Change / Volatility Down

1

66

66

AN

X

Sign for Array Value 2 ("+" or "-")

5

67

71

N

9(5)

Array Value 3: Futures Up 1/3 / Volatility Up

1

72

72

AN

X

Sign for Array Value 3 ("+" or "-")

5

73

77

N

9(5)

Array Value 4: Futures Up 1/3 / Volatility Down

1

78

78

AN

X

Sign for Array Value 4 ("+" or "-")

5

79

83

N

9(5)

Array Value 5: Futures Down 1/3 / Volatility Up

1

84

84

AN

X

Sign for Array Value 5 ("+" or "-")

5

85

89

N

9(5)

Array Value 6: Futures Down 1/3 / Volatility Down

1

90

90

AN

X

Sign for Array Value 6 ("+" or "-")

5

91

95

N

9(5)

Array Value 7: Futures Up 2/3 / Volatility Up

1

96

96

AN

X

Sign for Array Value 7 ("+" or "-")

5

97

101

N

9(5)

Array Value 8: Futures Up 2/3 / Volatility Down

1

102

102

AN

X

Sign for Array Value 8 ("+" or "-")

5

103

107

N

9(5)

Array Value 9: Futures Down 2/3 / Volatility Up

1

108

108

AN

X

Sign for Array Value 9 ("+" or "-")

14109122N9(14)High-Precision Settlement Price
1123123ANXHigh-Precision Settlement Price Flag - N means that the High-Precision Settlement Price is populated but the price may be read either from this field or from the regular Settlement Price field, Y means that the High-Precision Settlement Price field is populated and the price can only be read from the high-precision field

Type "82" record - Second Physical record - Expanded Format

Length

From

To

Datatype

Format

Description and Comments

2

1

2

AN

X(2)

Record ID - "82"

3

3

5

AN

X(3)

Exchange Acronym

10

6

15

AN

X(10)

Commodity (Product) Code

10

16

25

AN

X(10)

Underlying Commodity (Product) Code5

3

26

28

AN

X(3)

Product Type Code7

1

29

29

AN

X

Option Right Code - for an option only: P for Put or C for Call

6

30

35

N

9(6)

Futures Contract Month as CCYYMM

2

36

37

AN

X(2)

Futures Contract Day or Week Code4

1

38

38

-

-

Filler

6

39

44

N

9(6)

Option Contract Month as CCYYMM

2

45

46

AN

X(2)

Option Contract Day or Week Code4

1

47

47

-

-

Filler

7

48

54

N

9(7)

Option Strike Price

5

55

59

N

9(5)

Array Value 10: Futures Down 2/3 / Volatility Down

1

60

60

AN

X

Sign for Array Value 10 ("+" or "-")

5

61

65

N

9(5)

Array Value 11: Futures Up 3/3 / Volatility Up

1

66

66

AN

X

Sign for Array Value 11 ("+" or "-")

5

67

71

N

9(5)

Array Value 12: Futures Up 3/3 / Volatility Down

1

72

72

AN

X

Sign for Array Value 12 ("+" or "-")

5

73

77

N

9(5)

Array Value 13: Futures Down 3/3 / Volatility Up

1

78

78

AN

X

Sign for Array Value 13 ("+" or "-")

5

79

83

N

9(5)

Array Value 14: Futures Down 3/3 / Volatility Down

1

84

84

AN

X

Sign for Array Value 14 ("+" or "-")

5

85

89

N

9(5)

Array Value 15: Futures Up Extreme - Cover Fraction

1

90

90

AN

X

Sign for Array Value 15 ("+" or "-")

5

91

95

N

9(5)

Array Value 16: Futures Down Extreme - Cover Fraction

1

96

96

AN

X

Sign for Array Value 16 ("+" or "-")

5

97

101

N

9V9(4)

SPAN Composite Delta

1

102

102

AN

X

Sign for SPAN Composite Delta ("+" or "-")

8

103

110

N

99V9(6)

Implied Volatility as decimal fraction6

7

111

117

N

9(7)

Settlement Price

1

118

118

AN

X

Sign for Settlement Price (blank, "+" or "-")

1

119

119

AN

X

Sign for Strike Price (blank, "+" or "-")

5

120

124

N

9V9(4)

Current Delta

1

125

125

AN

X

Sign for Current Delta (blank, "+" or "-")

1

126

126

AN

X

Current Delta Business-Day Flag -- "C" means this is today's end-of-day delta, "I" means this is an intraday theoretical delta for today, "P" means this is the previous day's end-of-day delta, and "X" or any other value means that no delta is available.

7

127

133

N

9(7)

Start of Day Price

1

134

134

AN

X

Sign for Start of Day Price (blank, "+" or "-")

2

135

136

N

9(2)

Implied Volatility Exponent

1

137

137

AN

X

Sign for Implied Volatility Exponent (blank, "+" or "-")

14138151N9(7)V9(7)Contract-specific Contract Value Factor (for variable tick options only)
2152153N9(2)Contract-specific Contract Value Factor Exponent (for variable tick options only)
1154154ANXSign for Contract-specific Contract Value Factor Exponent (blank, "+" or "-") (for variable tick options only)
14155168N9(7)V9(7)Contract-specific Strike Value Factor (for variable tick options only)
2169170N9(2)Contract-specific Strike Value Factor Exponent (for variable tick options only)
1171171ANXSign for Contract-specific Strike Value Factor Exponent (blank, "+" or "-") (for variable tick options only)

Type "83" record - First Physical record (float arrays) - Expanded Format

Length

From

To

Datatype

Format

Description and Comments

2

1

2

AN

X(2)

Record ID - "83"

3

3

5

AN

X(3)

Exchange Acronym

10

6

15

AN

X(10)

Commodity (Product) Code

10

16

25

AN

X(10)

Underlying Commodity (Product) Code55

3

26

28

AN

X(3)

Product Type Code7

1

29

29

AN

X

Option Right Code - for an option only: P for Put or C for Call

6

30

35

N

9(6)

Futures Contract Month as CCYYMM

2

36

37

AN

X(2)

Futures Contract Day or Week Code4

1

38

38

-

-

Filler

6

39

44

N

9(6)

Option Contract Month as CCYYMM

2

45

46

AN

X(2)

Option Contract Day or Week Code4

1

47

47

-

-

Filler

7

48

54

N

9(7)

Option Strike Price

8

55

62

N

9(8)

Array Value 1: Futures No Change / Volatility Up1,2,3,8

1

63

63

AN

X

Sign for Array Value 1 ("+" or "-")

8

64

71

N

9(8)

Array Value 2: Futures No Change / Volatility Down

1

72

72

AN

X

Sign for Array Value 2 ("+" or "-")

8

73

80

N

9(8)

Array Value 3: Futures Up 1/3 / Volatility Up

1

81

81

AN

X

Sign for Array Value 3 ("+" or "-")

8

82

89

N

9(8)

Array Value 4: Futures Up 1/3 / Volatility Down

1

90

90

AN

X

Sign for Array Value 4 ("+" or "-")

8

91

98

N

9(8)

Array Value 5: Futures Down 1/3 / Volatility Up

1

99

99

AN

X

Sign for Array Value 5 ("+" or "-")

8

100

107

N

9(8)

Array Value 6: Futures Down 1/3 / Volatility Down

1

108

108

AN

X

Sign for Array Value 6 ("+" or "-")

8

109

116

N

9(8)

Array Value 7: Futures Up 2/3 / Volatility Up

1

117

117

AN

X

Sign for Array Value 7 ("+" or "-")

8

118

125

N

9(8)

Array Value 8: Futures Up 2/3 / Volatility Down

1

126

126

AN

X

Sign for Array Value 8 ("+" or "-")

8

127

134

N

9(8)

Array Value 9: Futures Down 2/3 / Volatility Up

1

135

135

AN

X

Sign for Array Value 9 ("+" or "-")

14136149N9(14)High-Precision Settlement Price
1150150ANXHigh-Precision Settlement Price Flag - N means that the High-Precision Settlement Price is populated but the price may be read either from this field or from the regular Settlement Price field, Y means that the High-Precision Settlement Price field is populated and the price can only be read from the high-precision field. 

Type "84" record - Second Physical record (float arrays) - Expanded Format

Length

From

To

Datatype

Format

Description and Comments

2

1

2

AN

X(2)

Record ID - "84"

3

3

5

AN

X(3)

Exchange Acronym

10

6

15

AN

X(10)

Commodity (Product) Code

10

16

25

AN

X(10)

Underlying Commodity (Product) Code55

3

26

28

AN

X(3)

Product Type Code7

1

29

29

AN

X

Option Right Code - for an option only: P for Put or C for Call

6

30

35

N

9(6)

Futures Contract Month as CCYYMM

2

36

37

AN

X(2)

Futures Contract Day or Week Code4

1

38

38

-

-

Filler

6

39

44

N

9(6)

Option Contract Month as CCYYMM

2

45

46

AN

X(2)

Option Contract Day or Week Code4

1

47

47

-

-

Filler

7

48

54

N

9(7)

Option Strike Price

8

55

62

N

9(8)

Array Value 10: Futures Down 2/3 / Volatility Down

1

63

63

AN

X

Sign for Array Value 10 ("+" or "-")

8

64

71

N

9(8)

Array Value 11: Futures Up 3/3 / Volatility Up

1

72

72

AN

X

Sign for Array Value 11 ("+" or "-")

8

73

80

N

9(8)

Array Value 12: Futures Up 3/3 / Volatility Down

1

81

81

AN

X

Sign for Array Value 12 ("+" or "-")

8

82

89

N

9(8)

Array Value 13: Futures Down 3/3 / Volatility Up

1

90

90

AN

X

Sign for Array Value 13 ("+" or "-")

8

91

98

N

9(8)

Array Value 14: Futures Down 3/3 / Volatility Down

1

99

99

AN

X

Sign for Array Value 14 ("+" or "-")

8

100

107

N

9(8)

Array Value 15: Futures Up Extreme - Cover Fraction

1

108

108

AN

X

Sign for Array Value 15 ("+" or "-")

8

109

116

N

9(8)

Array Value 16: Futures Down Extreme - Cover Fraction

1

117

117

AN

X

Sign for Array Value 16 ("+" or "-")

5

118

122

N

9V9(4)

Composite Delta

1

123

123

AN

X

Sign for Composite Delta ("+" or "-")

8

124

131

N

99V9(6)

Implied Volatility as decimal fraction6

7

132

138

N

9(7)

Settlement Price

1

139

139

AN

X

Sign for Settlement Price (blank, "+" or "-")

1

140

140

AN

X

Sign for Strike Price (blank, "+" or "-")

5

141

145

N

9V9(4)

Current Delta

1

146

146

AN

X

Sign for Current Delta (blank, "+" or "-")

1

147

147

AN

X

Current Delta Business-Day Flag -- "C" means this is today's end-of-day delta, "I" means this is an intraday theoretical delta for today, "P" means this is the previous day's end-of-day delta, and "X" or any other value means that no delta is available.

7

148

154

N

9(7)

Start of Day Price

1

155

155

AN

X

Sign for Start of Day Price (blank, "+" or "-")

2

156

157

N

9(2)

Implied Volatility Exponent

1

158

158

AN

X

Sign for Implied Volatility Exponent (blank, "+" or "-")

14159172N9(7)V9(7)Contract-specific Contract Value Factor (for variable tick options only)
2173174N9(2)Contract-specific Contract Value Factor Exponent (for variable tick options only)
1175175ANXSign for Contract-specific Contract Value Factor Exponent (blank, "+" or "-") (for variable tick options only)
14176189N9(7)V9(7)Contract-specific Strike Value Factor (for variable tick options only)
2190191N9(2)Contract-specific Strike Value Factor Exponent (for variable tick options only)
1192192ANXSign for Contract-specific Strike Value Factor Exponent (blank, "+" or "-") (for variable tick options only)

Notes:

  1. By convention, a positive risk array value represents a loss for a single long position, and a negative risk array value represents a gain for a single long position. "Long" in this context means long the instrument, not the market; a long put is a long position.
  2. Risk array values are denominated in the performance bond currency for the combined commodity in which the specified contract is contained.
  3. If the Risk Array Exponent specified on the type 2 record for the combined commodity in which this contract is contained is not zero, then the risk array values specified in the file must be multiplied by 10 to raised to Risk Array Exponent power. In other words, shift the decimal point rightward this number of places.
  4. The Option Contract Day or Week Code field is used to distinguish option series which expire at different times than the standard monthly options.  For standard monthly options, this field will contain zeros or blanks.  For other options, this field will typically contain "W1", "W2", etc. - for weekly options expiring in week 1 of the month, week 2 of the month, etc. - or a two-digit day of the month, for flex options or other options for which the exact expiration day is specified.  The Futures Contract Day or Week Code is intended to be used analogously to distinguish futures which expire at different times than standard monthly futures.
  5. The Underlying Commodity (Product) Code field is an optional field and is not required for the performance bond calculation. If present for any particular option, it indicates the product code of the underlying future, combination, or cash instrument.
  6. The Implied Volatility field is optional. Implied volatilities may be as large as 9999% and may be expressed to a precision of .0001%. For example, 00157235 means 15.7235%.
  7. Product type codes are PHY for PhysicalFUT for FutureCMB for CombinationOOP for Option on PhysicalOOF for Option on FutureOOC for Option on Combination.
  8. For a given product family, either type "81" and "82" records are provided, or type "83" and "84" records are provided.   If a non-zero value is defined for the risk array decimal locator on the type "2" record for this product family, then type "83" and "84" records are provided.  Otherwise the standard type "81" and "82" records are provided.

    Type "83" and "84" records allow risk array values to be specified with up to 8 digits of precision and with a specified assumed number of decimal places.  So they would typically be used if risk array values need to be specified to the penny or even to greater levels of precision.
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