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Contracts

This report shows all of the eligible contracts for the given Combined Commodities in a portfolio.

Comb Comm:  Combined Commodity

The set of all eligible products used to generate a total requirement for each Exchange Complex within a portfolio.  A Combined Commodity generally consists of all products of the same underlying physical. For example, at the CME, the Eurodollar combined commodity encompasses Mid-Curve options, Eurodollars and Eurodollar options. 

Product:

ID:  Span assigns an internal product ID number to each product within a family 

Alias:  Name that defines the product

Contract

ID:  Span assigns a contract ID number to each contract

Period:   Gives the Contract month and year in yyyymm format.  For options contracts, the Period is displayed slightly differently.  For example, 200110 on 1.00 ES 200112 is one October 2001 option on December 2001 ES futures contract.

C/P:  Call or put

Strike:  The strike price of an option

Price:  The price (premium for an option) of a contract

Value: The underlying value of a contract

Delta:  The delta value of an option

Volatility:  Implied volatility for options

Scale:  This number refers to the scaling of contracts on products that have the same underlying, but differently sized contracts.  For example, the emini ND contract (NQ)  is scaled to 1 and a regular ND is scaled to 5.

Setl. Date:  Settlement date

Time to Exp.:  Time to expiration

FDT:  First trade date

LDT:  Last trade date

Intr. Rate:  Interest rate if supplied

Div. Rate:  Dividend rate if supplied

Look Ahead:  If supplied, the passage of time that Span will use to calculate the risk array's hypothetical gains and losses  (The usual Look Ahead time is a period of one day.  It would be three days on a Friday and four days before a long weekend.)