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Type "81" record - First Physical record - Standard Unpacked Format

LengthFromToDatatypeFormatDescription and Comments
212ANX(2)Record ID - "81"
234ANX(2)Exchange Code
256ANX(2)Commodity (Product) Code
177ANXContract Type (Future/Put/Call) Flag: blank for future or combination, C for Calls, or P for Puts
4811N9(4)Futures Contract Month as YYMM
41215N9(4)Option Contract Month as YYMM4
61621N9(6)Option Strike Price
52226N9(5)Array Value 1: Futures No Change / Volatility Up1,2,3
12727ANXSign for Array Value 1 ("+" or "-")
52832N9(5)Array Value 2: Futures No Change / Volatility Down
13333ANXSign for Array Value 2 ("+" or "-")
53438N9(5)Array Value 3: Futures Up 1/3 / Volatility Up
13939ANXSign for Array Value 3 ("+" or "-")
54044N9(5)Array Value 4: Futures Up 1/3 / Volatility Down
14545ANXSign for Array Value 4 ("+" or "-")
54650N9(5)Array Value 5: Futures Down 1/3 / Volatility Up
15151ANXSign for Array Value 5 ("+" or "-")
55256N9(5)Array Value 6: Futures Down 1/3 / Volatility Down
15757ANXSign for Array Value 6 ("+" or "-")
55862N9(5)Array Value 7: Futures Up 2/3 / Volatility Up
16363ANXSign for Array Value 7 ("+" or "-")
56468N9(5)Array Value 8: Futures Up 2/3 / Volatility Down
16969ANXSign for Array Value 8 ("+" or "-")
57074N9(5)Array Value 9: Futures Down 2/3 / Volatility Up
17575ANXSign for Array Value 9 ("+" or "-")
17676ANXCycle Indicator - blankF for Flex, G for Futures, or W for "COMEX weekly"4
27778ANX(2)Underlying Commodity (Product) Code5
27980N9(2)Expiration Day of Month4

Type "82" record - Second Physical record - Standard Unpacked Format

LengthFromToDatatypeFormatDescription and Comments
212ANX(2)Record ID - "82"
234ANX(2)Exchange Code
256ANX(2)Commodity (Product) Code
177ANXContract Type (Future/Put/Call) Flag: blank for future, C for Calls, or P for Puts
4811N9(4)Futures Contract Month as YYMM
41215N9(4)Option Contract Month as YYMM4
61621N9(6)Option Strike Price
52226N9(5)Array Value 10: Futures Down 2/3 / Volatility Down
12727ANXSign for Array Value 10 ("+" or "-")
52832N9(5)Array Value 11: Futures Up 3/3 / Volatility Up
13333ANXSign for Array Value 11 ("+" or "-")
53438N9(5)Array Value 12: Futures Up 3/3 / Volatility Down
13939ANXSign for Array Value 12 ("+" or "-")
54044N9(5)Array Value 13: Futures Down 3/3 / Volatility Up
14545ANXSign for Array Value 13 ("+" or "-")
54650N9(5)Array Value 14: Futures Down 3/3 / Volatility Down
15151ANXSign for Array Value 14 ("+" or "-")
55256N9(5)Array Value 15: Futures Up Extreme - Cover Fraction
15757ANXSign for Array Value 15 ("+" or "-")
55862N9(5)Array Value 16: Futures Down Extreme - Cover Fraction
16363ANXSign for Array Value 16 ("+" or "-")
36466N9V99Composite Delta
16767ANXSign for Composite Delta ("+" or "-")
56872N9V9(4)Implied Volatility as decimal fraction6
77379N9(7)Settlement Price
18080ANXSign for Settlement or Strike Price (blank, "+" or "-", "S")7

Type "8" record - Standard Packed Format

LengthFromToDatatypeFormatDescription and Comments
212ANX(2)Record ID - "81"
234ANX(2)Exchange Code
256ANX(2)Commodity (Product) Code
177ANXContract Type (Future/Put/Call) Flag: blank for future, C for Calls, or P for Puts
3810P9(4)Futures Contract Month as YYMM
31113P9(4)Option Contract Month as YYMM4
41417P9(6)Option Strike Price
31820PS9(5)Array Value 1: Futures No Change / Volatility Up1,2,3
32123NS9(5)Array Value 2: Futures No Change / Volatility Down
32426NS9(5)Array Value 3: Futures Up 1/3 / Volatility Up
32729NS9(5)Array Value 4: Futures Up 1/3 / Volatility Down
33032NS9(5)Array Value 5: Futures Down 1/3 / Volatility Up
33335NS9(5)Array Value 6: Futures Down 1/3 / Volatility Down
33638NS9(5)Array Value 7: Futures Up 2/3 / Volatility Up
33941NS9(5)Array Value 8: Futures Up 2/3 / Volatility Down
34244NS9(5)Array Value 9: Futures Down 2/3 / Volatility Up
34547NS9(5)Array Value 10: Futures Down 2/3 / Volatility Down
34850NS9(5)Array Value 11: Futures Up 3/3 / Volatility Up
35153NS9(5)Array Value 12: Futures Up 3/3 / Volatility Down
35456NS9(5)Array Value 13: Futures Down 3/3 / Volatility Up
35759NS9(5)Array Value 14: Futures Down 3/3 / Volatility Down
36062NS9(5)Array Value 15: Futures Up Extreme - Cover Fraction
36365NS9(5)Array Value 16: Futures Down Extreme - Cover Fraction
26667PS9V99Composite Delta
36870P9V9(4)Implied Volatility as decimal fraction6
47174P9(7)Settlement Price
17575ANXCycle Indicator - blankF for Flex, G for Futures, or W for "COMEX weekly"4
27677ANX(2)Underlying Commodity (Product) Code5
27879N9(2)Expiration Day of Month4
18080--Filler

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.

    1. Risk array values are denominated in the performance bond currency for the combined commodity in which the specified contract is contained.

    1. 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.

    1. If the Cycle Indicator field is blank, then the Option Contract Period consists only of the Option Contract Month field, as a YYMM value, and the Futures Contract Period similarly consists only of the Futures Contract Month field.  In other words, if a future, the contract is a standard monthly future, and if an option, the contract is a standard monthly option on a standard monthly future.. For example, if Cycle Indicator field is blank and the Option Contract Month field is 9812, then the option is the Dec. 98 standard monthly option; the option contract period is 199812.

      But if the Cycle Indicator is F for Flex, then the Expiration Day of Month field must be appended to the Option Contract Month field to yield the full Option Contract Period. For example, if the Cycle Indicator is F, the Option Contract Month is 9812 and the Option Expiration Day of Month is 23, then the option is the December 23rd, 1998, option, and the option contract period is 19981223.

      Prior to the introduction of the F value for Cycle Indicator, the same flexibility was provided for COMEX weekly options via the use of the W (for Weekly) value. A Cycle Indicator of W means that the Option Contract Month field is redefined: instead of providing the YYMM part of the option contract period, it provides the MMDD part. In this case, the year must be inferred by comparing the month of the option with the month of the underlying future: If the two-digit month number for the option is less than or equal to the two-digit month number for the underlying future, then the four-digit year number for the option is equal to the four-digit year number for the future. But if the two-digit month number for the option is greater than two-digit month number for the future, then the four-digit year number for the option is one less than the four-digit year number for the future.

      The new value of G for Cycle Indicator is used for a Futures Contract, and indicates that the contract has an expiration specific to the day.  To obtain the full Futures Period Code in this case, take the Futures Contract Month field, and append the two bytes from the Expiration Day of Month field.


    1. 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.

  1. The Implied Volatility field is optional. Implied volatilities may be as large as 999% and may be expressed to a precision of .01%. For example, 01572 means 15.72%.

  2. The Sign for Settlement Price field in the unpacked-format file can be used to support negative option strike prices, as can sometimes be possible for an option on a combination product such as a spread.  Normally this field is either blanknull, or contains a "+" (plus) sign, meaning that the settlement price for the instrument is a positive value.  A "-" (minus) sign in this field means a negative settlement price, as can occur if this record is for a combination instrument.  We have now introduced a new value in this field:  "S" for strike price.  An "S" in this field, which is only valid for an option record, means that the settlement price is positive (an option can never have a negative price), but that the strike price is negative.  This field is not needed in the packed-format to indicate either a negative instrument price or a a negative strike price, as those fields in that format are in packed-decimal (COBOL COMP-3), which can directly express a negative value.