Hi. I am an option trader.

The CBOE recently switched to the new option nomenclature. For example, the new symbol of the OVTI 2009 Dec 12.50 Call is now UCM0919L12.5, whereas it used to be UCM LV in the old format.

Unfortunately, DTN is still using the old format (I am accessing it through QCollector program). Therefore, I am looking or an utility that takes as input a list of new symbols and outputs them in the old format. Even a side by side list would suffice.

Thanks in advance.

Hi Arturo,

I will turn your request over to our Market Integity dept to see if they have anything that lists the old & new symbols together. I dont beleive so, but I will see what we can find.
We are going to switch to the new symbology in Feb.

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Stan S

What we do today, determines how people remember us forever.
Be the positive force in someone life.

please see this post for information about our symbology and transition plan.

http://forums.dtn.com/index.cfm?page=topic&topicID=2546

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Jay Froscheiser
DTN

Many thanks to Jay and Stan for their answers and for making clear DTN transition plans. If I understand correctly there is no workaround for this problen before the end of January or February 1st. Is that correct?
Edited by arturo didonna on Dec 8, 2009 at 10:44 AM

Correct & sorry, but there is no work around & we dont have any kind of side by side symbol list to find the new symbols.

Sorry we cant be more help with it.

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Stan S

What we do today, determines how people remember us forever.
Be the positive force in someone life.

I've been faced with the same problem, and I've been able to create a map (at least for the index options which is my universe). However, I still have issues with a sizeable minority of (important) symbols. To produce a clean data set, is there a way DTN can provide :

a) the complete expiry date (eg, so I can distinguish month-end from 3rd Friday)
b) actual traded exchange (so I can resolve the interlisteds like the bank index BKX)

I don't seem to be able to get the above data via the IQFeed symbol dump. Any way to get at these? Am happy to freely share the mapping

Thanks

Hi Chito,

Our developers are looking into your request. The Experation dates & traded exchange are a part of the data feed, Check your charting software & seeif the quote page has columns for Exp data or Market Center.

At this point there is no symbol cross reference that we are aware of. I will post more information here when I receive it.

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Stan S

What we do today, determines how people remember us forever.
Be the positive force in someone life.

As Stan mentioned, we are looking into this. Providing a list of Complete expiration dates is fairly easy, however, we are not certain what you are asking for with the actual traded exchange since these options trade on more than one exchange. Can you give me an example of which information makes the mapping possible for you assuming we can provide the expiration date?

Thanks.

Hi Steve

An exchange code will discriminate between two interlisted contracts issued with the same expiry and strike (eg, we've come across this with BKX - the bank index - in the past, though I can't see anything at this time that I can forward as an active example)

However, even the full expiry date data (ie, mm/dd/yyyy or some variant) will take care of the bulk of the problems I'm encountering re generating a clean map

Also, it would be great if these inputs (ie, exp.dt | exchg) to my mapping utility could be provided as part of the end-of-day symbol file (ie, the zip'd one). I can then align the current OPRA code with the new OSI symbol in return (also in csv fmt)

Thanks / ... Chito

Hello, our server team has created a cross-reference file for all 340,574 current Index and Equity option symbols. It can be downloaded here:

http://www.dtniq.com/product/IEOption_20100115.zip

It is a tab delimited text file that includes the current symbol, Expiration date in the format CCYYMMDD, Strike price, and New OSI symbol.

This contains the "Phase 1" OSI symbols only at this point and that appears to be the same symbology that CBOE is using on thier website.
Edited by DTN_Jay_Froscheiser on Jan 22, 2010 at 06:29 PM

Thanks Steve . . . the data file is just what I was looking for!

I ran the contents through our index analytics and we got about 99% of the expected universe we were after. The missing 1% seems to arise with valid contracts that have 0-bid & 0-ask (eg, SZJ LP, new symbol SZJ1117L280 - underlying is SPX). Would it be possible to include these also (since our analytics would like to see the entire chain)?

I'd also suggest that a fresh set be published weekly (so that new contracts get picked up) until the OSI symbology goes industry-wide on Feb 12. I think many of your options users will find this quite useful.

Again, many thanks to you and the server team for a timely and comprehensive response. If only other vendors could be as good . . .

SZJ LP is not showing as a valid option in our servers.

However, to update this thread even further, after checking the symbol changes overnight in the list provided above, we have decided that we will publish this list daily until the time that the symbols convert to the new OSI.

It will be published in the same format as the previous list but with an updated date
Today's list can be found here:
http://www.dtniq.com/product/IEOption_20100115.zip
Edited by DTN_Jay_Froscheiser on Jan 22, 2010 at 06:29 PM

Thanks for opting to publish daily updates. Can you confirm the location . . . I tried the above URL with a modified date (for the 21st) but was unable to link to a file

it looks like the last file we updated was on the 18th. Must be a glitch in the process that copies it to the webserver. We will check into it and make sure it gets posted tomorrow.

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Jay Froscheiser
DTN

Hi Jay

Can you post the URL for 2010 data? I've tried variations of the URL from an earlier posting on this thread, but haven't been able to access the right location

Thanks

http://www.dtniq.com/product/IEOption_20100115.zip
Edited by DTN_Jay_Froscheiser on Jan 22, 2010 at 06:29 PM

None of the urls listed above seem to work. I get dead pages on ALL of them.

Please post a url for the cross-reference chart that actually works...

Never mind; by fiddling with urls, I found a cross-ref chart from 1/15...

Hi Jay

Will DTN still be posting daily (per an earlier eMail on this thread) or just weekly? If the latter, will it be on Fridays (eg, the next one will be for the 22nd)?

Thanks

There is a new file posted today.

http://www.dtniq.com/product/IEOption_20100127.zip