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TRUM – Section 5.4

Data fields related to option details

This section includes the following fields:

32. Option style
33. Option type
34. Option first exercise date
35. Option last exercise date
36. Option exercise frequency
37. Option strike index
38. Option strike index type
39. Option strike index source
40. Option strike price

 

Data Field No (32) Option style

No. Field Identifier Description
32 Option style Indicates whether the option may be exercised at a fixed date (European and Asian style), a series of pre-defined dates (Bermudan) or at any time during the life of the contract (American).

 

Description of Accepted Values Type Length Examples
A=American
B=Bermudan
E=European
S=Asian
O=Other
Text 1 B

 

This field identifies the option style, usually defined by the dates on which the option may be exercised: American, European, Bermudian, Asian or other style.

An American style option can be exercised anytime during its life allowing option holders to exercise the option at any time prior to and including its maturity date. A European style option can only be exercised at the maturity date. A Bermudian style option can only be exercised on specified dates indicated in the contract.

Reporting parties should refer to financial markets in order to identify the option style they are reporting. The reporting of exotic option styles such as binary, barrier, window options, etc., it should be reported with the value of “O”.

 

Data Field No (33) Option type

No. Field Identifier Description
33 Option type Indicates whether the option is a call, put or other.

 

Description of Accepted Values Type Length Examples
P=Put
C=Call
O=Other
Text 1 C

 

This field identifies the type of right the option holder owns, if it is a call option or a put option. “P” shall be indicated if the option is a put option and “C” shall be indicated if the option is a call option. If the option holder owns a type of right different from a put or a call, the value “O” for other shall be reported in this field.

Reporting parties should refer to financial markets in order to identify the option style they are reporting.

 

Data Field No (34) Option first exercise date

No. Field Identifier Description
34 Option first exercise date First exercise date determined by the earliest date of all the exercises.

 

Description of Accepted Values Type Length Examples
ISO 8601 date format Date n/a 2014-01-29

 

This field identifies the first date at which the option holder has the right, but not the obligation, to buy or sell the commodity or underlying instrument at a specified price using the index indicated in field 37 (option strike index) or the price as reported in field 40 (Option strike price).

For example, the counterparty to the contract that holds the option may exercise against the option strike index indicated in field 37, the right to buy or sell the energy commodity from 01/01/2015 to 31/12/2017 (on specific dates or at specific intervals), the market participant shall report 01/01/2015 in this field.
Where the contract has several indexes and where each of them may be used to exercise the right to buy or sell the energy commodity, market participants shall report the first date at which the option can be exercised per each index reported field 37 (option strike index). For example:

1. index ABC may be used to exercise the option from 01/01/2015 to 31/12/2017;

2. index 123 may be used to exercise the option from 01/04/2015 to 31/03/2018; and

3. index XYZ may be used to exercise the option from 01/04/2016 to 31/03/2019.

In this case 01/01/2015, 01/04/2015 and 01/04/2016 shall be reported in this field.

 

Data Field No (35) Option last exercise date

No. Field Identifier Description
35 Option last exercise date Last exercise date determined by the latest date of all the exercises.

 

Description of Accepted Values Type Length Examples
ISO 8601 date format Date n/a 2024-01-29

 

This field identifies the last date at which the option holder has the right, but not the obligation, to buy or sell the commodity or underlying instrument at a specified price using the index indicated in field 37 (option strike index) or the price as reported in field 40 (Option strike price).

For example, a counterparty to the contract that holds the option may exercise, against the option strike index indicated in field 37, the right to buy or sell the energy commodity from 01/01/2015 to 31/12/2017 (on specific dates or at specific intervals), the market participant shall report 31/12/2017 in this field.

Where the contract has several indexes and where each of them may be used to exercise the right to buy or sell the energy commodity, market participants shall report the last date at which the option can be exercised per each index reported field 37 (option strike index). For example:

1. index ABC may be used to exercise the option from 01/01/2015 to 31/12/2017;

2. index 123 may be used to exercise the option from 01/04/2015 to 31/03/2018; and

3. index XYZ may be used to exercise the option from 01/04/2016 to 31/03/2019.

In this case 31/12/2017, 31/03/2018 and 31/03/2019 shall be reported in this field.

 

Data Field No (36) Option exercise frequency

No. Field Identifier Description
36 Option exercise frequency The frequency of the Volume optionality: e.g. daily, weekly, monthly, seasonal, annual or other.

 

Description of Accepted Values Type Length Examples
D=Daily
W=Weekly
M=Monthly
S=Seasonal
A=Annual
O=Other
Text 1 W

 

This field identifies the frequency at which  the option holder has the right, but not the obligation, to buy or sell the commodity or underlying instrument at a specified price using the index indicated in field 37 (option strike index) or the price as reported in field 40 (Option strike price).

For example, a counterparty to the contract that holds the option may exercise, against the option strike index indicated in field 37, the right to buy or sell the energy commodity on monthly basis, the market participant shall report “M” in this field. Same applies to the other type of frequencies.

Where the contract has several indexes and where each of them may be used to exercise the right to buy or sell the energy commodity, market participants shall report frequency at which the option can be exercised per each index reported field 37 (option strike index). For example:

1. index ABC may be used to exercise the option from 01/01/2015 to 31/12/2017 on a daily basis;

2. index 123 may be used to exercise the option from 01/04/2015 to 31/03/2018 on a monthly basis; and

3. index XYZ may be used to exercise the option from 01/04/2016 to 31/03/2019 on a weekly basis.

In this case “D”, “M” and “W” shall be reported in this field

 

Data Field No (37) Option strike index

No. Field Identifier Description
37 Option strike index For each Index specify the name. In case of a basket of indices for which no unique identifier exist the basket or the index shall be indicated.

 

Description of Accepted Values Type Length Examples
Up to 150 alphanumerical digits. Alphanumeric 150 Index Name

 

This field identifies the name of the strike index used in the index option embedded in the contract. Market participants shall report the name of the index in this field.

An index option is a call or put option contract in which the underlying asset is an index of any sort. For example, in a call, a market participant may buy the right to an index on or before the expiration date at a certain strike index.

Some options, both derivatives and non-derivatives, related to physical delivery of gas or electricity are traded on the basis that the option may be exercised against an index or reference price upon its publication.

As the Agency does not intend to publish a list of indexes because most of them are publicly available and can be readily accessed, the Agency recommends that reporting parties use those indexes exactly as advertised by the publisher.

If the index is not public, than market participants should make best efforts to minimise any discrepancy with the other market participant when reporting this information. Market participants may consider using the following convention:

[commodity]-[delivery area]-[delivery period]-[index name]-[publisher name]

1. GAS-NBP-DAYAHEAD-INDEX-PUBLISHERNAME

2. GAS-EU- FRONTMONTH-AVERAGEPRICE-PUBLISHERNAME

3. ELECTRICITY-GERMANY-FRONTMONTH-FUTURE-EXCHANGENAME

 

Data Field No (38) Option strike index type

No. Field Identifier Description
38 Option strike index type Spot, forward , swap, spread, etc.

 

Description of Accepted Values Type Length Examples
SO=Spot
FW=Forward style contract
FU=Future style contract
OP=Option style contract
OP_FW=Option on a forward
OP_FU=Option on a future
OP_SW=Option on a swap
SP=Spread
SW=Swap
OT=Other
Text 2 FW

 

This field identifies the type of strike index of the option used in the contract as reported in field 37.  For each index, market participants shall specify the type of index.

For example, if the index is a spot price published by an exchange the “SO” value shall be reported.
If the index is published by a price reporting agency or other publisher and it represents the delivery of the energy commodity during the course of a specific day, week, weekend, month etc., than the “FW” value shall be reported. If the index is a future price published by an exchange the “FU” value shall be reported.

Where the contract has several indexes and where each of them may be used to exercise the right to buy or sell the energy commodity, market participants shall report the type of index used against which the option can be exercised per each index reported field 37 (option strike index). For example:

1. the spot price published by Exchange ABC may be used to exercise the option from 01/01/2015 to 31/12/2017;

2. the index value for a forward contract published by Publisher 123 may be used to exercise the option from 01/04/2015 to 31/03/2018; and

3. future price published by Exchange XYZ may be used to exercise the option from 01/04/2016 to 31/03/2019.

In this case “SO”, “FW” and “FU” shall be reported in this field.

 

Data Field No (39) Option strike index source

No. Field Identifier Description
39 Option strike index source For each index specify the fixing type. In case of a basket of indices for which no unique identifier exist the basket or the index shall be indicated.

 

Description of Accepted Values Type Length Examples
Up to 100 alphanumerical digits. Alphanumeric 100 Index Source Name

 

This field identifies the source of strike index of the option used in the contract as reported in field 37 (option strike index).  For each index, market participants shall specify the source of index.

For example, if the index is a spot price published by Exchange ABC, the name of the exchange shall be reported. If the index is published by a price reporting agency or other publisher, then the name of the publisher shall be reported.

Where the contract has several indexes and where each of them may be used to exercise the option, market participants shall report the source of each index reported in field 37 (option strike index) against which the option can be exercised. For example:

1. the spot price published daily by the Exchange ABC may be used to exercise the option from 01/01/2015 to 31/12/2017;

2. the index value for a forward contract published by Publisher 123 may be used to exercise the option from 01/04/2015 to 31/03/2018; and

3. future price published by the Exchange XYZ may be used to exercise the option from 01/04/2016 to 31/03/2019.

In this case “Exchange ABC”, “Publisher 123” and “Exchange XYZ” shall be reported in this field.

 

Data Field No (40) Option strike price

No. Field Identifier Description
40 Option strike price The strike price of the option.

 

Description of Accepted Values Type Length Examples
Up to 20 numerical digits in the format xxxxx.yyyyy with a maximum of 5 decimals. Number 20 125.98

 

This field identifies the price at which the owner of the option can buy (in the case of a call option), or sell (in the case of a put option), the energy commodity (gas or electricity) or the instrument as indicated in the option contract, e.g. future/forward/swap.

This field shall be reported only if the strike price is available. In the case of an option strike index where the strike price is not available this field should not be blank.

Where the option has several strike prices and where each of them may be used to exercise the right to buy or sell the energy commodity, market participants shall report all the strike prices at which the option can be exercised.

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