Imported from previous forum
In addition to defining leg ratios for spreads and butterflies, can this tag be used to define deltas for option volatility trades i.e. does it accept values of less than 1?
[ original email was from Matt Simpson - msimpson@cme.com ]
A better tag is LegOptionRatio/1017 that was added with FIX 5.0. The formal definition of the field is “Expresses the risk of an option leg. Value must be between -1 and 1. A Call Option will require a ratio value between 0 and 1. A Put Option will require a ratio value between -1 and 0”.
Currently, this tag is only available on selected messages
In addition to defining leg ratios for spreads and butterflies, can this
tag be used to define deltas for option volatility trades i.e. does it
accept values of less than 1?