Imported from previous forum
The Global Technical Committee has reviewed and preliminarily approved the OCC’s SecList Extension Proposal. This proposal has been proposed to enhance the SecurityList message to provide the ability to provide theoretical profit and loss for each options series across a range of underlying price moves and implied volatility assumptions, employing an options pricing model to provide risk-based haircut computation, derived from OCC’s Theoretical Intermarket Margin System (TIMS).
The document now enters a public comment period in which public review and feedback is encouraged. Once the public comment period closes, the Global Technical Governance Board will meet to review public comments before final approval.
Please post feedback, comments, and questions as replies to this discussion thread.
A link to the proposal can be found at:
http://www.fixprotocol.org/documents/6971/FIX%20Protocol%20Gap%20Analysis%20Proposal%20SecList%20Extensions%20v0.5.docx
The public comment period ends on October 5th, 2012.