Market Data "X", how to report price of an Underlying Asset that is good for class of Options?

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Imported from previous forum

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Thank you Hanno. I think you have laid the right direction for my problem. I will adjust it to my specific case. Thank you very much.

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Hi Zak,

you will have to use your rules of engagement to describe what you are communicating. Suggest to use the fact that MDIncrementalRefresh(X) allows you to put multiple instruments into a single message. You can have 4 repeating group entries, one for the underlying asset X followed by 3 for the options Y1, Y2, Y3.

The first one is for the underlying asset:
MDUpdateAction = 0 (New)
MDEntryType = 6 (Settlement Price)
OpenCloseSettlFlag = 1 (session related)
MDEntryPx =
MDEntryDate =
=

You will have to report something for the three options. Minimum is MDUpdateAction = 1 (Change) and the instrument fields relevant to identify the option. Maybe I missed other fields that are conditionally required.

Last not least I would use MDFeedType on the root level to indicate the special feed. The field is a string and hence at your discretion, e.g. “Settlement price for expiry”. I would only bundle a single underlying and its expiring options in a single physical market data message.

Regards,
Hanno.

4

Thanks Yuval.
Let me try to explain further:
Let’s say that I have an Underlying Asset X, and several options on X, named Y1, Y2, Y3 that all expire on date Z.
I need to report the settlement price X for expiration of the options Y1-Y3.
I cannot report the settlement of X, because it is not the settlement price of X. It is only meant to be used for the options calculations. On that date, there is a different price that is considered the settlement price of X, to be used for stock X calculations. Also, the expiration date Z has no meaning for X, since X does not expire on that date. Only Y1-Y3 expire.
I also can’t report it as the settlement prices of options Y1-Y3, since it is not their prices, but rather the price of their underlying asset.
What I want to report, is the settlement price of X for all options on X that expire on Z. I need to identify a class of options that have underlying X, and expire on Z. And for these, I need to report the settlement price of the actual underlying.
What is the common or possible way for reporting this price?

5

Hi Zak,
I am not sure that I understand the problem:
“report the settlement price of an Underlying Asset… he settlement price is not the real settlement price of the Underlying Asset” i.e. please be a bit more specific what is this price? an example might be useful.

Yet I’ll try to help:

To report settlement price the MDEntryType(269)=Settlement price(6)
and the price value is conveyed in: MDEntryType(270)

So I guess that your question is down to identifying the instrument scope…
Symbol(55) is required and I recomend to have the underlying symbol [e.g. “GOLD” / “FTSE100” / “AAPL” ]
MaturityDate(541) to convey the “Options that expire on a specific date”

In addition I would add
NoUnderlyings=1
followed by the definitions and indentifiers of the underlying;
UnderlyingSymbol(311) is the same as the one in Symbol(55)

I hope it helps,
Yuval

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In Market Data message X, how can I report the settlement price of an Underlying Asset that is only good for Options that expire on a specific date? The settlement price is not the real settlement price of the Underlying Asset.