- Posted by Marie-Josée Laramée on October 8, 2009 filed in Canadian Options Symbology Initiative
Starting February 12, 2010, all North American options exchanges will display their option chains using a new symbology. This initiative will:
- remove multiplication of symbols after corporate actions (mergers, takeovers, plans of arrangement);
- cope with the lack of alpha codes to open additional strike prices;
- reduce investors’ confusion;
- simplify the roll-over process of long-term options.
The old symbology has been used for over 25 years and poses several limitations in today’s marketplace. For example, different identifiers in both the options and underlying value is illogicial. The month and call/put codes assume expiration occurs in the following sequential month and assumes a single expiration day.
The new symbology proposes an explicit symbol. This approach will reduce the risk of errors in the front-, middle- and back-office processes. It will also provide exchanges with a greater flexibility in product development.
The Montréal Exchange will represent its options quotes using four fields:
Class symbol (up to 6 characters):
The underlying root symbol will be the option symbol.
New format used YYMMDD
For index options (2 characters): expiring Friday (3rd Friday of the expiry month).
For currency options (2 characters): expiring Friday (3rd Friday of the expiry month).
For ETF and equity options (2 characters): expiring Saturday (Saturday following the 3rd Friday of the expiry month – last trading day).
Call or put indicator (1 character):
C for calls and P for puts.
Strike price (total of 8 characters available - 5 for dollars and 3 decimals):
In dollars and decimals.
The new symbology proposes a standard model that all exchanges will adopt. However, because of field constraints, the display on some systems (vendors and brokers) could be slightly different. You must contact your broker to discuss how the firm will be displaying options in account statements and end-user applications.
Right now, the Montréal Exchange disseminates its options quotes under both symbologies. Our systems are ready and brokers are testing their applications.
Our team will elaborate several communication strategies, including posts in the blog, to keep you up to date with this milestone initiative.
Meanwhile, I encourage you to contact your service providers to get the specifics on how options will be display on their applications following the implementation of the new symbology.