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  • Type B - Paris Expanded
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LengthFromToDatatypeFormatDescription and Comments
212ANX(2)Record ID - "B "
335ANX(3)Exchange Acronym
12617ANX(12)Commodity Code
51822ANX(5)Product Type Code
62328N9(6)Futures Contract Month as CCYYMM
22930ANX(2)Futures Contract Day or Week Code
63136N9(6)Option Contract Month as CCYYMM
23738ANX(2)Option Contract Day or Week Code
83946N9(8)Base Volatility (as a decimal fraction)
14747N9Base Volatility Decimal Locator
84855N9(8)Volatility Scan Range (as a decimal fraction)
15656N9Volatility Scan Range Decimal Locator
75763N9(5)Futures Price Scan Range
16464N9Futures Price Scan Range Decimal Locator
56569N9(5)Extreme Move Multiplier
17070N9Extreme Move Multiplier Decimal Locator
57175N9(5)Extreme Move Covered Fraction
17676N9Extreme Move Covered Fraction Decimal Locator
57781N9(5)Interest Rate (as a decimal fraction)
18282N9Interest Rate Decimal Locator
78389N9(7)Time to Expiration (in years)
19090N9Time to Expiration Decimal Locator
69196N9(6)Lookahead Time (in years)
19797N9Lookahead Time Decimal Locator
698103N9(6)Delta Scaling Factor
1104104N9Delta Scaling Factor Decimal Locator
8105112N9(8)Expiration (Settlement) Date as CCYYMMDD
12113124ANX(12)Underlying Commodity Code
2125126ANX(2)Pricing Model
5127131N9(5)Dividend Yield (as a decimal fraction)
1132132N9Dividend Yield Decimal Locator
1133 134 AN Interest Rate Sign.  A minus sign means negative, and blank, null, plus sign or any other value means positive. 
133134 AN Dividend Yield Sign.  A minus sign means negative, and blank, null, plus sign or any other value means positive. 

Notes:

  1. "B" records provide delta-scaling factors as well as risk array calculation parameters for either a particular futures contract, or for a particular option series - ie, for all options which are identical except for their put/call code and their strike.

  2. Except for the delta-scaling factors, parameters contained on "B" records are not needed for the SPAN performance bond calculation itself.  If "B" records are not provided for a particular future or option series, the delta-scaling factor for that future or that series should be defaulted to 1.00.

  3. If "B" records are provided, then the "B" records for all products in a combined commodity are typically located in the SPAN file after the "4" record for that combined commodity.

  4. "B" records for a futures contract will contain either zeros or spaces in the Option Contract Month and Option Contract Day fields.

  5. 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.

  6. The Price Scan Range parameter on the "B" record is in the performance bond currency for the combined commodity and must be multiplied by ten raised to the Risk Exponent power for that combined commodity.  The Risk Exponent is taken from the "2" record.

  7. The Expiration (Settlement) Date for a future is the date on which its final marking price is determined.  The Expiration (Settlement) Date for an option series is the last date on which holders of options in that series can elect to exercise those options.  Time to Expiration is determined by taking the number of calendar days between the Expiration Date and the business date of this SPAN file, and dividing by 365, with zero as a minimum value.

  8. Currently supported values for the Pricing Model code are: B for Black (European futures options), BS for Black-Scholes (European physical options with no dividends), M for the generic Merton European option model, WB for "Whaley Black" (the Adesi-Whaley model for American futures options), WS for "Whaley Scholes" (the Adesi-Whaley model for American physical options with no dividends, WI for "Whaley for Indices" (the generic Adesi-Whaley model), and I for Intrinsic.

  9. Product type codes are PHY for PhysicalFUT for FutureCMB for CombinationOOP for Option on PhysicalOOF for Option on FutureOOC for Option on Combination, STOCK for Stocks, DEBT for Debt, and OOS for Option on Equity.
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