Description
List of option securities on an underlying with related calculations (e.g. theoretical valuations, implied volatilities, and other hedge statistics).
Structure
| Tag | Field Name | Req'd | Comments | |
|---|---|---|---|---|
| 2995 | NoSecurityRiskMetrics | N | ||
| → | Component Block - <Instrument> | N |
Required when NoSecurityRiskMetrics <2995> > 0. |
|
| → | 811 | PriceDelta | N | |
| → | 2996 | Gamma | N | |
| → | 2997 | Rho | N | |
| → | 2998 | Theta | N | |
| → | 2999 | Vega | N | |
| → | 44 | Price | N |
May be used for the theoretical (e.g. option) price of the security. |
| → | 132 | BidPx | N |
May be used to specify the security's top of book bid price, if available, used in the metric calculation. |
| → | 133 | OfferPx | N |
May be used to specify the security's top of book offer price, if available, used in the metric calculation. |
| → | 3000 | VolatilityTime | N | |
| → | 1188 | Volatility | N | |
| → | 3001 | BidVolatility | N | |
| → | 3002 | OfferVolatility | N | |
| → | 3003 | MidVolatility | N | |
| → | Component Block - <RelativeValueGrp> | N |
May be used for other types of valuation metrics or analytics. |
|