Type X Record - Standard and Expanded
Length | From | To | Datatype | Format | Description and Comments |
---|---|---|---|---|---|
2 | 1 | 2 | AN | X(2) | Record ID - "X " |
1 | 3 | 3 | AN | X | Combination Margining Method Code - S for Split Allocation, D for Delta-Split Allocation, M for Modified Split Allocation, or blank |
10 | 4 | 13 | AN | X(10) | Product (Commodity) Code |
7 | 14 | 20 | N | 9(7) | Price Offset |
Notes:
"X" records specify combination product families. Typically, these also have options listed on them, which are specified on the type "Y" records.
The "X" record may also specify -- via the combination margining method field -- that either of three special features of SPAN -- split allocation, delta-split allocation, or modified split allocation -- should be used for margining positions in these combinations and any options on these combinations. If neither of these two methods is specified, then no special features are used for margining these combinations or options on them.
For spread combinations for which the settlement price (and hence the strike price for options thereon) can assume a negative value, the price offset gives the value added to these settlement prices and strike prices to obtain values guaranteed to be positive for inclusion in the SPAN file. The decimal locator for settlement prices also applies to the price offset, in order to convert it to an actual price format. To obtain the true settlement price for the combination, subtract the price offset from the settlement price as specified in the SPAN file. Similarly, to obtain the true strike price for an option on the combination, subtract the price offset from the strike price as specified in the SPAN file.
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