Exchange Traded Option - Vol Surface Underlying

The Equity ETO underlying can be used in construction of the EQUITY volatility surface.

Exchange Traded Option Configuration

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Create the ETO contracts using from the Calypso Navigator.

1. Exchange Traded Option Volatility Surface Underlying

Create the underlying instruments in the Volatility Surface Underlying Window, Exchange Traded Option panel.

You can select the Browse tab to load existing underlying instruments.

Otherwise, select the Preview tab to create new underlying instruments.

Complete the details as described in the table below.

Click

to generate the underlying instruments.

Then select rows and click

to save the selected rows, or click

to save all rows.

Click

to save the quote names.

The system creates quotes like in the following example: "ETOEquityIndex.SPX.SP500.C.1.35.APR.14", type = Price

Fields Details

Fields	Description
Curr	Select the currency of the underlying.
Type	Select the type of ETO (Commodity, FX, Equity, Equity Index).
Exch	Select the exchange where the contract is listed. The application then loads the available contracts.
Val Date	Valuation date. It defaults to the current date.
Contract	Select the ETO contract. The application automatically displays the corresponding underlying products.
Nb of contracts	Enter the number of products traded in the contract.
Strike	Click ... to set a list of strikes.
Option Type	Select the option type: CALL, PUT, or BOTH.
Underlying	Displays the underlying product of the selected contract.

2. Automatic Creation of Underlying Instruments

The scheduled task GENERATE_EQUITY_VOL_INSTRUMENTS creates underlying instruments as of the scheduled task value date. The scheduled task also creates the corresponding Quote Names in the Quote Set.

The scheduled task uses the information of the ETO contract (Expiration date rule, Number of. Contracts) and of the Volatility Surface Underlying window (Strikes) to create the missing ETO underlying instruments. It creates all underlying instruments with Strikes and Expiries that do not exist yet in the database. The number of Expiries (per Strike) is limited to the value of the field “No. Contracts”, with respect to the Value Date of the scheduled task.