Exchange Traded Option Contract

Select the exchange where the contract is traded. An exchange is a legal entity of role MarketPlace.

Select the type of ETO: Commodity, Equity, Equity Index, FX, IR, or Volatility.

Contract id given by the system when the contract is saved.

Enter the contract name.

Note that a unique contract is defined by its combination of Name, Exchange and Currency, so that you cannot have an Equity ETO contract and an EquityIndex ETO contract with the same name and currency on the same exchange.

Select the currency in which the contract is traded.

Select the quote type of the underlying’s price.

Enter the total number of ETO products traded in the contract. For example, for an ETO contract there are five years worth of tradable expiry months, for a total of twenty tradable ETO products.

Only used in the Pricing Sheet field "Modified Strike". Modified Strike = Strike * Rate Modifier

Selecting the checkbox expands the SVN number field and Active From and To fields, which allow the user to apply a version number to the contract and specify a span of time in which the change was effective.

Series Version Numbers (SVN) identify adjustments to a listed series of the ETO product, such as changes to the exercise price of the contract, the number of deliverable shares on the contract, or the multiplier of the contract.

Select American or European.

Select Cash or Physical.

Enter the one-tick move in the contract’s price.

The tick value is for information purposes only.

Enter the minimum price movement, in ticks.

These fields are populated when split corporate actions are applied to ETO products. A new adjusted contract is created, linked to the underlying equity and linked to the corporate action.

For reverse splits, the field “Adj. Del” reflects the split ratio for adjusting the delivery of the underlying.

Refer to Calypso Corporate Action documentation for details.

Enter the number of the underlying product represented by one ETO.

Check the “Auto exercise” checkbox to automatically exercise the option if applicable.

ETOs can be automatically exercised using the AUTOMATIC_EXERCISE scheduled task.

Click ... to select the underlying instrument.

You can select date rules from the following fields to generate the contract’s dates, or you can implement a custom date generator.

Refer to the Calypso Developer's Guide for details.

Click ... to select a custom date generator as applicable.

Enter the time limit to trade the option on the last trade date.

Enter the time limit to exercise the option on the last exercise dates.

Click ... to select a date schedule for generating the last trade dates, last exercise dates, and expiration dates (optional). The last exercise date and the last trading date will be equal to the expiry date if the rule is not specified.

A date schedule can be a date rule or a manual date schedule.

Date rules are created using Configuration > Definitions > Date Schedule Definitions > Date Rule from the Calypso Navigator - Help is available from that window.

Manual date schedules are created using Configuration > Definitions > Date Schedule Definitions > Manual Date Schedule from the Calypso Navigator - Help is available from that window.

Enter a number of days lag to adjust the last exercise day.

The Bus label indicates that the adjusted days are business days.

Double-click the Bus label to change to Cal as applicable, for indicating that the adjusted days are calendar days.

The settle date of the linked equity trade is driven by the “Exercise Settlement Lag” attribute on the ETO contract.

Enter the lag to calculate the settlement date. By default, the lag is calculated using business days. Double-click the Bus label to toggle to Cal to use calendar days.

By default, the system uses the spot days provided by the MarketPlace.

Click ... to select holiday calendars for the contract’s dates.

Only applies to ETOs of type Equity that are settled in cash.

Fixing Types

The following fixing types are supported in addition to CLOSE, OPEN, HIGH, LOW, and LAST:

Only applies to ETOs of type Volatility. The volatility surface derived from ETOs is used to price future volatility instruments but the surface can have a different daycount from the future. Thus the necessity to be able to specify this daycount on the ETO.

You can select date rules from the fields above to generate the contract’s dates, or you can implement a custom date generator.

Click ... to select a custom date generator as applicable.

Refer to the Calypso Developer’s Guide for details.

Only applies to ETOs of type Commodity whose final underlying price is calculated as an average of daily fixings.

Checking the "Asian Fixings" checkbox enables the averaging period and commodity reset fields.

Click ... to select a date rule for generating the averaging period start and end dates.

Date rules are created using Calypso Navigator > Configuration > Definitions > Date Rule Definitions.

Select the commodity reset whose daily price will be referenced in the calculation of the average.

Commodity resets are defined in Calypso Navigator > Configuration > Commodities > Commodity Reset.

Optional

Click ... to add attributes to the contract definition.

Select the date format for the quote names of the option products:

 Ⓘ   [NOTE: So called "Flex" options - bespoke products allowed by some exchanges for trading and clearing by the clearinghouse, and which sometimes have multiple expiration dates - are referenced by a day, month, and year to conform to date formatting conventions in quotes. To match formats, you can use the Daily setting for the Date Format and then specify the appropriate day/month/year arrangement by adding a DateFormat contract attribute. See Attributes above.]

Select the reference date to identify the contract name:

Contract long name.

For ETD Clearing - Market standard contract symbol used by the exchange and trade interface.

Type of premium:

If an exchange is defined in the FutureLiffeModel domain, then the variation margin method is used.

Following are the possible combinations and the pricing model that is used.