Imported from previous forum
How can we distinguish option on stock from option on future? In SecurityType (167), we can use OPT only. Secondly, which maturity information we should put into MaturityMonthYear (200) for option on future, maturity of the option or maturity of the future?
Thanks in advance
> How can we distinguish option on stock from option on future? In SecurityType (167), we can use OPT only. Secondly, which maturity information we should put into MaturityMonthYear (200) for option on future, maturity of the option or maturity of the future?
>
> Thanks in advance
> Generally, in FIX 4.3 for futures and options it is recommended that you use CFICode (tag 461) in place of SecurityType (tag 167). This is approach is discussed in Appendix 6-F and elaborated on in the deratives section of volume 7, page 26.
Appendix 7 indicates that for options on stock,the CFICode is OCXXXS for a call or OPXXXS for a put. An option on a future would be OCXFXS for a call and OPXFXS for a put. The derivatives section of Appendix continues provides additional clarity relating to standardized and flex options CFCIode values.
[ original email was from Jim Northey - jnorthey@lasalletech.com ]
> > How can we distinguish option on stock from option on future? In SecurityType (167), we can use OPT only. Secondly, which maturity information we should put into MaturityMonthYear (200) for option on future, maturity of the option or maturity of the future?
> >
> > Thanks in advance
>
> > Generally, in FIX 4.3 for futures and options it is recommended that you use CFICode (tag 461) in place of SecurityType (tag 167). This is approach is discussed in Appendix 6-F and elaborated on in the deratives section of volume 7, page 26.
>
> Appendix 7 indicates that for options on stock,the CFICode is OCXXXS for a call or OPXXXS for a put. An option on a future would be OCXFXS for a call and OPXFXS for a put. The derivatives section of Appendix continues provides additional clarity relating to standardized and flex options CFCIode values.
>
>
If you are trying to implement on FIX 4.2 it is a bit more problematic because CFICode is unavailable.
I believe other exchanges have done the following: fully specified in the Symbol(tag 55) the option on futures specification combining the underlying futures symbol, underlying futures maturity date, and options information. The MaturityMonthYear(200) is used for options expiration, SecurityType(tag 167).
I don’t think there is a way around encoding the maturity date of the underlying within the Symbol or SecurityID, in either FIX 4.2 or FIX 4.3.
You could also use SecurityDesc(tag 107) to indicate that the product was an options on futures.
We are addressing part of this FIX 4.2 limitation here at CBOE by including the CFICode(tag 461) field from FIX 4.3 as a user defined tag (custom tag 9364) in our FIX 4.2 implementation. The advantage of this is that you can immediately begin to communicate the type of underlying for all option and futures products - it also will make the transition to FIX 4.3 easier.
It would be good to hear from other futures exchanges how they implemented options on futures for FIX 4.1 or FIX 4.2.
[ original email was from Jim Northey - jnorthey@lasalletech.com ]
FIX 4.4 has been expanded to include an optional repeating group of underlying instruments which can be used to fully model the options at the instrument level and the future at the underlying level.
> > > How can we distinguish option on stock from option on future? In SecurityType (167), we can use OPT only. Secondly, which maturity information we should put into MaturityMonthYear (200) for option on future, maturity of the option or maturity of the future?
> > >
> > > Thanks in advance
> >
> > > Generally, in FIX 4.3 for futures and options it is recommended that you use CFICode (tag 461) in place of SecurityType (tag 167). This is approach is discussed in Appendix 6-F and elaborated on in the deratives section of volume 7, page 26.
> >
> > Appendix 7 indicates that for options on stock,the CFICode is OCXXXS for a call or OPXXXS for a put. An option on a future would be OCXFXS for a call and OPXFXS for a put. The derivatives section of Appendix continues provides additional clarity relating to standardized and flex options CFCIode values.
> >
> >
>
> If you are trying to implement on FIX 4.2 it is a bit more problematic because CFICode is unavailable.
>
> I believe other exchanges have done the following: fully specified in the Symbol(tag 55) the option on futures specification combining the underlying futures symbol, underlying futures maturity date, and options information. The MaturityMonthYear(200) is used for options expiration, SecurityType(tag 167).
>
> I don’t think there is a way around encoding the maturity date of the underlying within the Symbol or SecurityID, in either FIX 4.2 or FIX 4.3.
>
> You could also use SecurityDesc(tag 107) to indicate that the product was an options on futures.
>
> We are addressing part of this FIX 4.2 limitation here at CBOE by including the CFICode(tag 461) field from FIX 4.3 as a user defined tag (custom tag 9364) in our FIX 4.2 implementation. The advantage of this is that you can immediately begin to communicate the type of underlying for all option and futures products - it also will make the transition to FIX 4.3 easier.
>
> It would be good to hear from other futures exchanges how they implemented options on futures for FIX 4.1 or FIX 4.2.
>