Table of contents

Options Data

Last modified 11:21, 4 Nov 2012
Table of contents

Options Data Types

The Options Data included in Your SOFTWARE contains a number of fields.

Each of these fields can be included in a custom view created for the tables of options contained in the Option Chain work-page and other locations in Your SOFTWARE:

 

The symbol for each option series.

Option Symbol

 

Option symbol codes normally consist of between 3 and 6 letters or numbers The first letters identify the underlying security and the last two letters or numbers are uniquely assigned to that option class (put or call), particular strike price and expiry month.

Type

The type of option - either Put or Call

Underlying

The symbol for the underlying security.

Description

The long description of the option series, expressed as using other data types <in brackets> as follows: <Strike Price> <Type> Option Expiring <Expiry Date>

Abbreviated Desc.

An abbreviated description of the option series, expressed as using other data types <in brackets> as follows:   <Expiry Date> <Type> Opt <Strike Price>

Short Desc.

A short description of the option series, expressed using its own code:   the first four places describe the month and year of expiry: MMYY, the next letter indicates whether it is a put or call: P or C, the remaining numbers are the strike price: <Strike Price>

ISIN

 

International Securities Identification Number - A unique code used to identify all securities and derivatives products. This consists of a two letter country code, a nine character (letter or digits) existing national security number for the security (padded to left with zeros) and a one digit check number.

Multiplier

 

The number by which the underlying value being traded in must be multiplied by in order to determine the dollar value of the contract.

Generally 100 in most markets.

Expire

 

The month and year of the date on which the option expires expressed as: MMM YY 

For example DEC 05 for options expiring on 22-December-2005.

Ex Type Code

 

The Expiry Type on the option.

This can be either American (A) or European (E) and determines whether the option can be exercised prior to expiry.

First Active Date

The first date the option is available for trading.

Last Active Date

The last date the option is available for trading.

Strike

The strike price, i.e. the price at which the underlying security may be bought or sold by exercise of the option.

Open

The first traded price of the option during the trading interval.

High

The highest traded price of the option during the trading interval.

Low

The lowest traded price of the option during the trading interval.

Last

The price at which an option last traded.

Sales Value

The total value in dollars of the last sale transaction.

Open Interest

The Open Interest for the option, i.e. how many contracts are currently open for the option series.

Volume

The number of options contracts traded during the trading interval.

Last Traded Date

The date the last on-market price was captured.

Last Traded Time

The time the last on-market price was effected. On market reflects trading between 10.00 am and 4.00 pm on a normal business day.

Bid

The last price at which someone is prepared to buy the option.

Ask

The last price at which someone is prepared to sell the option.

Intrinsic Value

The difference between the market value of the underlying security and the exercise price of the option.

Number Sellers

The number of Sellers recorded at the Current Ask Price.

Number Buyers

The number of Buyers recorded at the Current Bid Price.

Broker

The code of the user's broker set for the market.

Money

Whether the option is in the money (ITM), at the money (ATM) or out of the money (OTM), based on strike price of the option compared to the share price of the underlying security.

Model

The Fair Price as calculated using the model selected by the user in the Option Model dialog box: Binomial and Black-Scholes model types are available.

Volatility

The volatility level of the option. It is calculated using the volatility type set in the Option Model dialog box.

The type of volatility used in the calculation.

IV Type

The volatility type is set in the Option Model dialog box: Implied Average, Implied Skew, Manual and Historical are available.

Last IV

The Implied Volatility calculated using the IV Type (see above) of the Last Price.

Bid IV

The Implied Volatility calculated using the IV Type (see above) of the Bid Price.

Ask IV

The Implied Volatility calculated using the IV Type (see above) of the Ask Price.

Mid IV

The Implied Volatility calculated using the IV Type (see above) of the Mid (the mid-point of the Bid-Ask spread) Price.

Delta

The Delta for the option.

Gamma

The Gamma for the option.

Theta

The Theta for the option.

Vega

The Vega for the option.

Rho

The Rho for the option

% to D

The percentage of the underlying instrument’s price movement for the option to double in value.

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