The Global Technical Committee has reviewed and preliminarily approved the submitted proposal. This document from the CME Group proposes a new FIX message type to publish security risk metrics.
Options require specialized calculations and statistics in order to fully evaluate their current market state. These calculations may include, Theoretical Valuations, Implied Volatilities, and other hedge statistics, such as ‘the Greeks,’ (Delta, Gamma, Vega, et al). Customers monitoring and trading options now expect providers of trading technology (e.g. ISVs, exchanges, banks, algo trading firms, and others) to include these calculations with their data feeds and front-ends.
The draft document now enters a public comment period in which public review and feedback is encouraged. Once the public comment period closes, the GTC will review public comments and amend the document accordingly before publishing the final version.
Please post feedback, comments, and questions as replies to this discussion thread. The public comment period ends on March 15, 2024.
A link to the proposal can be found here .