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Beginning February 12, 2010 a number of significant changes come into force for participants trading, reporting and managing options. RealTick fully supports these industry changes, which will make execution in options easier for traders and investors.
These changes relating to option symbology, how the instrument is commonly designated, include:
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A migration from OPRA’s (Options Price Reporting Authority) code to a clear definition based on multiple fields – the option symbol, maturity, day, call/put indicator and strike price
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All equity strikes, currently in fractions, will be decimalized
RealTick has, since mid 2009, been working closely and testing actively with the industry and key partners to ensure full operability, support and a seamless transition to the new symbology for clients.
Further industry background and detail can be view at www.theocc.com
Below are detailed the phased changes to options symbology:
Current TAL Symbol: +RRRnz (OCC root, month & P/C indicator, strike price indicator)
|
Current Representation |
|
Option Symbol |
OPRA Code |
Option Strike |
P/C |
Expiration Date |
TAL Symbol |
|
NQ |
BD |
20.000 |
C |
02/2010 |
+NQBD |
|
NQ |
ND |
20.000 |
P |
02/2010 |
+NQND |
12 February – May: Consolidation Phase TAL Symbol: +RRRddnyss.ss (OCC root, day, month & P/C indicator, year, strike)
|
Market Open As of 2/12/2010 |
|
Option Symbol |
Option Strike |
P/C |
Expiration Date |
TAL Symbol |
|
NQ |
20.000 |
C |
2/20/2010 |
+NQ\20B0\20 |
|
NQ |
20.000 |
P |
2/20/2010 |
+NQ\20N0\20 |
May onwards: Post Consolidation Phase
|
Post Consolidation |
|
Option Symbol |
Option Strike |
P/C |
Expiration Date |
TAL Symbol |
|
INTC |
20.000 |
C |
4/17/2010 |
+INTC\17D0\20 |
|
INTC |
20.000 |
P |
4/17/2010 |
+INTC\17P0\20 |
Following the transition, the Townsend Analytics OSI symbology will be:
Symbology defined:
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UUUUUU = series code, based on underlier, 1-6 characters.
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dd = 2-digit day of month.
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n = month code as in Opra Month Codes, also indicating Put vs Call.
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y = last digit of 4 digit year code (e.g. 2010 = 0, 2011 = 1).
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ss.ss = strike price, normalized to contain the minimum number of decimal places, e.g. 12.5 rather than 12.50.
OPRA Month Codes:
|
Month: |
Call Month Code |
Put Month Code |
|
January |
A |
M |
|
February |
B |
N |
|
March |
C |
O |
|
April |
D |
P |
|
May |
E |
Q |
|
June |
F |
R |
|
July |
G |
S |
|
August |
H |
T |
|
September |
I |
U |
|
October |
J |
V |
|
November |
K |
W |
|
December |
L |
X |
Illustration of symbology code change for INTEL Corp displayed below:
12 February – May: Consolidation Phase
May onwards: Post Consolidation Phase
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