Type 8 - Expanded

2

1

2

AN

X(2)

Record ID - "81"

3

3

5

AN

X(3)

Exchange Acronym

10

6

15

AN

X(10)

Commodity (Product) Code

10

16

25

AN

X(10)

Underlying Commodity (Product) Code⁵

3

26

28

AN

X(3)

Product Type Code⁷

1

29

29

AN

X

Option Right Code - for an option only: P for Put or C for Call

6

30

35

N

9(6)

Futures Contract Month as CCYYMM

2

36

37

AN

X(2)

Futures Contract Day or Week Code⁴

1

38

38

-

-

Filler

6

39

44

N

9(6)

Option Contract Month as CCYYMM

2

45

46

AN

X(2)

Option Contract Day or Week Code⁴

1

47

47

-

-

Filler

7

48

54

N

9(7)

Option Strike Price

5

55

59

N

9(5)

Array Value 1: Futures No Change / Volatility Up^1,2,3

1

60

60

AN

X

Sign for Array Value 1 ("+" or "-")

5

61

65

N

9(5)

Array Value 2: Futures No Change / Volatility Down

1

66

66

AN

X

Sign for Array Value 2 ("+" or "-")

5

67

71

N

9(5)

Array Value 3: Futures Up 1/3 / Volatility Up

1

72

72

AN

X

Sign for Array Value 3 ("+" or "-")

5

73

77

N

9(5)

Array Value 4: Futures Up 1/3 / Volatility Down

1

78

78

AN

X

Sign for Array Value 4 ("+" or "-")

5

79

83

N

9(5)

Array Value 5: Futures Down 1/3 / Volatility Up

1

84

84

AN

X

Sign for Array Value 5 ("+" or "-")

5

85

89

N

9(5)

Array Value 6: Futures Down 1/3 / Volatility Down

1

90

90

AN

X

Sign for Array Value 6 ("+" or "-")

5

91

95

N

9(5)

Array Value 7: Futures Up 2/3 / Volatility Up

1

96

96

AN

X

Sign for Array Value 7 ("+" or "-")

5

97

101

N

9(5)

Array Value 8: Futures Up 2/3 / Volatility Down

1

102

102

AN

X

Sign for Array Value 8 ("+" or "-")

5

103

107

N

9(5)

Array Value 9: Futures Down 2/3 / Volatility Up

1

108

108

AN

X

Sign for Array Value 9 ("+" or "-")

14

109

122

N

9(14)

High-Precision Settlement Price

1

123

123

AN

X

High-Precision Settlement Price Flag - N means that the High-Precision Settlement Price is populated but the price may be read either from this field or from the regular Settlement Price field, Y means that the High-Precision Settlement Price field is populated and the price can only be read from the high-precision field

Length

From

To

Datatype

Format

Description and Comments

2

1

2

AN

X(2)

Record ID - "82"

3

3

5

AN

X(3)

Exchange Acronym

10

6

15

AN

X(10)

Commodity (Product) Code

10

16

25

AN

X(10)

Underlying Commodity (Product) Code⁵

3

26

28

AN

X(3)

Product Type Code⁷

1

29

29

AN

X

Option Right Code - for an option only: P for Put or C for Call

6

30

35

N

9(6)

Futures Contract Month as CCYYMM

2

36

37

AN

X(2)

Futures Contract Day or Week Code⁴

1

38

38

-

-

Filler

6

39

44

N

9(6)

Option Contract Month as CCYYMM

2

45

46

AN

X(2)

Option Contract Day or Week Code⁴

1

47

47

-

-

Filler

7

48

54

N

9(7)

Option Strike Price

5

55

59

N

9(5)

Array Value 10: Futures Down 2/3 / Volatility Down

1

60

60

AN

X

Sign for Array Value 10 ("+" or "-")

5

61

65

N

9(5)

Array Value 11: Futures Up 3/3 / Volatility Up

1

66

66

AN

X

Sign for Array Value 11 ("+" or "-")

5

67

71

N

9(5)

Array Value 12: Futures Up 3/3 / Volatility Down

1

72

72

AN

X

Sign for Array Value 12 ("+" or "-")

5

73

77

N

9(5)

Array Value 13: Futures Down 3/3 / Volatility Up

1

78

78

AN

X

Sign for Array Value 13 ("+" or "-")

5

79

83

N

9(5)

Array Value 14: Futures Down 3/3 / Volatility Down

1

84

84

AN

X

Sign for Array Value 14 ("+" or "-")

5

85

89

N

9(5)

Array Value 15: Futures Up Extreme - Cover Fraction

1

90

90

AN

X

Sign for Array Value 15 ("+" or "-")

5

91

95

N

9(5)

Array Value 16: Futures Down Extreme - Cover Fraction

1

96

96

AN

X

Sign for Array Value 16 ("+" or "-")

5

97

101

N

9V9(4)

SPAN Composite Delta

1

102

102

AN

X

Sign for SPAN Composite Delta ("+" or "-")

8

103

110

N

99V9(6)

Implied Volatility as decimal fraction⁶

7

111

117

N

9(7)

Settlement Price

1

118

118

AN

X

Sign for Settlement Price (blank, "+" or "-")

1

119

119

AN

X

Sign for Strike Price (blank, "+" or "-")

5

120

124

N

9V9(4)

Current Delta

1

125

125

AN

X

Sign for Current Delta (blank, "+" or "-")

1

126

126

AN

X

Current Delta Business-Day Flag -- "C" means this is today's end-of-day delta, "I" means this is an intraday theoretical delta for today, "P" means this is the previous day's end-of-day delta, and "X" or any other value means that no delta is available.

7

127

133

N

9(7)

Start of Day Price

1

134

134

AN

X

Sign for Start of Day Price (blank, "+" or "-")

2

135

136

N

9(2)

Implied Volatility Exponent

1

137

137

AN

X

Sign for Implied Volatility Exponent (blank, "+" or "-")

14

138

151

N

9(7)V9(7)

Contract-specific Contract Value Factor (for variable tick options only)

2

152

153