Option Symbology Initiative
Introduction
Beginning in 2006, working groups comprised of brokers, exchanges, clearing houses and vendors were formed in order to represent each of the U.S. and Canadian securities industries in a multi-year effort to develop a revised data format for representing listed option symbols. These efforts, referred to as the Option Symbology Initiatives (OSIs), are intended to provide the following benefits:
-
Decrease the number of errors in the front, middle and back office processes.
-
Represent the vast majority of listed option contracts using the same symbol as the underlying security to reduce investor confusion.
-
Reduce corporate action symbol conversions.
-
Eliminate wrap symbols.
-
Eliminate the need for LEAP rollover process.
-
Reduce the frequency of coordination among exchanges for symbol elections.
-
Support the growth in product listings through additional expiration events and more flexible strike price designations.
The following article provides background information regarding the products impacted by the OSI, the revised data format, project timeline and client impact as well as external links where additional information may be found.
Products Impacted
The table below lists the product classifications of the US and Canadian exchange listed options which are impacted by the OSIs. Note that while the mandated conversion date for Canadian options is identical to that of the US (i.e., February 12, 2010), the conversion of Canadian options was accelerated and completed by us in September 2009.
US | Canadian |
---|---|
Equity | Equity (short cycle, regular full cycle and long term) |
Index | Index |
Yield Based | Foreign Currency |
Short Dated | |
Flex |
OSI Data Format
Each OSI will replace the 5-character code with a 21-character OSI identifier to be used in the transmission of listed option contracts between exchanges, the clearinghouses and their constituents. The 21-character OSI identifier comprises six data elements arranged in logical order, each with a minimum field size. An example is provided in the table below.
5-character Code | 21-character OSI Identifier* | OSI Data Elements (minimum field size) | ||||||
---|---|---|---|---|---|---|---|---|
Option Root Symbol [6]* | Yr [2] | Mo [2] | Day [2] | C/P [1] | Dollar Strike [5] | Decimal Strike [3] | ||
SZVXI | SPX 111216P01900000 | SPX | 11 | 12 | 16 | P | 01900 | 000 |
WMFAW | MSFT 100116C00047500 | MSFT | 10 | 01 | 16 | C | 00047 | 500 |
*If the Option Root Symbol is less than 6 characters, spaces are added to equal the six character minimum.
OSI Timeline & Client Impact
The industry effort has been organized into two phases:
-
The Conversion Phase in which the OPRA code format will be dropped and the 21-character record layout employed to include the expiration day and decimal strike price. This phase was completed on February 12, 2010; and
-
The Consolidation Phase during which LEAPS, wrap, FLEX, short-dated and non-standard delivery contracts will have their symbols consolidated to that of the underlying (e.g. MSQ to MSFT). This phase will take place over the 5 weekends starting March 12, 2010 and ending May 14, 2010. Note that there are certain contracts, referred to by OCC Class Consolidation Exceptions, which will not be consolidated. These contracts include binary and CDO options, options having a 5 character underlying as well as options having unique settlement terms (e.g., settle on open). In addition, adjusted symbols which are the result of a prior corporate action will be consolidated to the new OSI corporate action format at the time the underlying class consolidates.
Outlined in the table below are the key milestone and effective dates for this consolidation phase and the products impacted.
Milestone Date | Action | Issues/Series Impacted | Effective Date |
---|---|---|---|
Friday, March 12, 2010 | Initial group of options representing array of product scenarios to be consolidated (approx 12 classes) | Options associated with a strategic group of underlyings including adjusted and non-standard symbols | Monday, March 15, 2010 |
Saturday, March 20, 2010 | Standard Expiration | ||
Wednesday, March 31, 2010 | Quarterly Expiration | ||
Friday, April 9, 2010 | Consolidation of options whose primary underlying starts with the letters A-C (approx 503 classes) | All options associated with 'A-C' underlyings including adjusted and non-standard symbols | Monday, April 12, 2010 |
Saturday, April 17, 2010 | Standard Expiration | ||
Friday, April 23, 2010 | Consolidation of options whose primary underlying starts with the letters D-I (approx 486 classes) | All options associated with 'D-I' underlyings including adjusted and non-standard symbols | Monday, April 26, 2010 |
Friday, May 7, 2010 | Consolidation of options whose primary underlying starts with the letters J-IR(approx 575 classes) | All options associated with 'J-R' underlyings including adjusted and non-standard symbols | Monday, May 10, 2010 |
Friday, May 14, 2010 | Consolidation of options whose primary underlying starts with the letters S-Z (approx 503 classes) | All options associated with 'S-Z' underlyings including adjusted and non-standard symbols | Monday, May 17, 2010 |
During this consolidation phase Good-till-Canceled (GTC) and Good-till-Date (GTD) orders will need to be canceled for all the option classes which are scheduled to consolidate. To accommodate this exchange mandate, we will cancel all clients GTC and GTD orders on the Sunday of each milestone cycle. Confirmation of these cancellations (outs) will be provided prior to effective date open (Monday) at which point clients may re-enter these orders utilizing the post consolidation symbol.
External Links
For additional information, please visit the symbology initiative sections of the OCC and Montreal Exchange websites.