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Discussions > Regulations > Impact of OSI change for strike price

Impact of OSI change for strike price

Complete message thread from old site

Naresh Kumar
1812 days ago,(2009/04/30)

Hi,

Would there be any impact on the tag showing the value for strike price due to Option Symbology Initiative (OSI) change. i.e any Impact on tag 202. Any help would be appreciated on this

Greg Malatestinic
1812 days ago,(2009/04/30)

Hi Naresh,

All data found in StrikePrice(tag 202) tag should be in decimal format, e.g. “202=8.50”. There will be no changes to this due to OSI.

The tags that are of concern are MaturityMonthYear(200) and MaturityDay(205). OSI will require the following changes:
For FIX 4.2, tag 200 will have the format YYYYMM and tag 205 will be required.
For FIX 4.4 and higher, the day of the month of the option expiration should be appended to tag 200, making its format YYYYMMDD. Tag 205 should not be populated.

Are you concerned about fractional strike prices due to stock splits?

-Greg

Naresh Kumar
1811 days ago,(2009/05/02)

thnx Greg , yes we are concerned about the fractional strike prices due to stock splits , so in that case would there be any impact

Regards,
Naresh

> Hi Naresh,
>
> All data found in StrikePrice(tag 202) tag should be in decimal format,
> e.g. “202=8.50”. There will be no changes to this due to OSI.
>
> The tags that are of concern are MaturityMonthYear(200) and
> MaturityDay(205). OSI will require the following changes: For FIX 4.2,
> tag 200 will have the format YYYYMM and tag 205 will be required. For
> FIX 4.4 and higher, the day of the month of the option expiration should
> be appended to tag 200, making its format YYYYMMDD. Tag 205 should not
> be populated.
>
> Are you concerned about fractional strike prices due to stock splits?
>
> -Greg

Greg Malatestinic
1808 days ago,(2009/05/04)

Unless you are actively managing security definitions strike price changes due to a contract adjustment should not matter.

In Sep 2007 the OCC initiated a temporary policy concenring splits where rounding could be an issue, eg. a 3-for-2 split. See
http://www.optionsclearing.com/market/infomemos/2007/aug/23348.pdf

When OSI goes into effect this policy will be discontinued. All strike prices will be in decimal format and any adjustments will cause them to be rounded to the nearest penny.

-Greg