Options Symbology Change - Reuters

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CHANGE SUMMARY Effective February 12, 2010 the Options Price Reporting Authority (OPRA) and the Options Clearing Corp (OCC) will change the way they name options contracts traded on the seven US options exchanges. To accommodate those changes, Thomson Reuters will change the RICs for those options as well as the symbols used on Reuters Plus and Reuters Station. CHANGE DETAILS On December 5, 2006, the Board of Directors of the OCC approved a plan to change the symbology used in representing listed option contracts in data transmissions between market participants. The plan also calls for elimination of fractional strike prices by converting them to decimal values. The Options Symbology Initiative (OSI) has two major components: • Shift from the OPRA code as a symbol to explicitly defining options based on multiple fields - the options symbol, maturity day, call/put indicator and strike price • Replacing fractional strike prices with decimals The OCC plan defines a minimum 21-character symbol. The OPRA Technical Committee considered the OCC symbol too long for the real time data feed products it offers and decided on a somewhat shorter 17-character symbol. Both provide for using the correct exchange stock ticker symbol for the root code, an explicit strike price capable of rendering prices in pennies, explicit dates and put/call indicators. The current practice of providing multiple root symbols for a single underlying security will be largely eliminated, with some exceptions. The OPRA symbol will be 17 characters as shown below: Root Symbol 5 Expiration Month 1 Expiration Day 2 Expiration Year 2 Strike Price Denominator 1 Strike Price 6 OPRA OPTIONS SYMBOLOGY CHANGE - 2 -
The Strike Price Denominator Code field indicates the position of the floating decimal point. Denominator Code Value Whole Numerator 7 Byte Price Field (number of decimal places) A 10 5 1 B 100 4 2 C 1,000 3 3 D 10,000 2 4 E 100,000 1 5 The schedule calls for OPRA to implement changes in its message format by June 30, 2008 but to still retain information needed by downstream users to continue to identify options using the five-letter code. Then, on February 12, 2010, both OCC and OPRA will cease supplying the information needed to maintain the five-letter code. At that point, all market participants will have to begin using symbols with explicit strike prices and dates. Over the subsequent few weeks, all root codes will be converted to match the ticker symbol of the underlying security. This will eliminate virtually all so-called “wrap” and “leap” symbols. There will be exceptions. The root symbol field in the OPRA message can accommodate a basic symbol up to four letters in length plus a single digit to designate contracts subject to corporate action adjustments for a total of five characters. Because NASDAQ symbols can be five letters or more when a subordinate issue identifier is appended, OPRA will create a separate root code to designate the subordinate issue. Other exceptions may arise and OPRA will notify market participants as needed. Thomson Reuters Implementation OPRA Options RIC Structure Thomson Reuters does not use the five-letter OPRA code for its option RICs. Instead, we use the three- or four-letter root code plus an explicit strike price and a single letter for the month and put/call indicator. Thomson Reuters will change the RIC structure to include more explicit date information. The maximum length of the new options RIC is 17 characters. Maximum length of descriptive elements in our planned RIC structure: Symbol – 5 characters (including Corporate Action) Expiration Month – Call/Put indicator – 1 digit - - Lower case expiration Month for any strike >999 Expiration Day – 2 digits OPRA OPTIONS SYMBOLOGY CHANGE - 3 -
Page 1: Thomson Reuters OPTIONS SYMBOLOGY I
Page 5 and 6: OPRA Options CHAIN RIC Structure: 0
Page 7 and 8: Five Character Root Symbols If opti
Page 9 and 10: Fractional Strike Note: When we hav

Options Symbology Change - Reuters

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