IPA Financial Contracts: Option Contracts - Eti

This document describes the properties that you can use to build a request and get the results for an Option contract.

The Option category regroups exchange-traded and over-the-counter options.

For more details on structuring the pricing request, refer to Financial Contracts overview. This section explains how to build the instruments definition, define your own pricing parameters, and the fields that can be calculated for Option contracts.

Instrument Definition

The table below lists the properties you can use for the instrumentDefinition object property for Option instruments.

You can create a request using the RIC InstrumentCode of the listed option. You can also create your own option definition by configuring custom parameters for OTC mode.

Input Name Type Description Required Default Value
instrumentTag string A tag which describes specific instrument. It is provided by the user and will be included into the response. Max length: 40 characters. Only alphabetic, numeric and '- _.#=@' characters are allowed. No  
instrumentCode string RIC of an option, used to retrieve the option contract description. If null, instrumentCode of UnderlyingDefinition must be provided. Yes, for a listed option.  
strike double Option strike. Yes, for an OTC option.  
buySell enum The side of the deal. Possible values are:
  • Buy
  • Sell
No Buy
callPut enum Defines the type of an option. The possible values are:
  • Call
  • Put
No Call
exerciseStyle enum Defines the exercise style of the option. The possible values are:
  • Euro
  • Amer
No Euro
endDate datetime Option expiry date. Yes, for an OTC option.Yes for a Fx Option if Tenor is not defined.  
underlyingType enum The underlying types of the option are:
  • Eti
  • Fx
Yes  
underlyingDefinition UnderlyingDefinition Details of the underlying. Can be used to define data of the underlying. Yes, for an OTC ETI option. Yes for a Fx Option.  
barrierDefinition BarrierDefinition Details of the barrier option. Yes for a barrier option.  
doubleBarriersDefinition DoubleBarriersDefinition Details of double barriers option. Yes for an ETI double barrier (Pricing is not implemented yet.) Yes for a FX double barrier option.  
binaryDefinition BinaryDefinition Details of the binary option. Yes for a binary option.  
doubleBinaryDefinition DoubleBinaryDefinition Details of the double binary options. Yes for a double binary option.  
cBBCDefinition CBBCDefinition Details for CBBC (Call Bear/Bull Contract) option. Yes for an ETI CBBC option. Yes for an Fx CBBC option (Pricing is not implemented yet.)  
instrumentCode string Option's RIC used to retrieve the description of the Option contract. If null, the instrumentCode of UnderlierDefinition must be provided. Yes, for a listed option.  
lotSize double The lot size (the number of options bought or sold in one transaction). No 1
DealContract int Number of contracts bought or sold in the deal. No  

instrumentDefinition - underlyingDefinition

EtiUnderlyingDefinition

This property is required only for an OTC option. It can also be used to define information about listed Eti option.

Input name Type Description Required Default Value
instrumentCode string Underlying RIC. Yes, for an OTC option.  

Pricing Parameters

Input name Type Description Required Default Value
valuationDate dateTime The valuation date for pricing. No MarketDataDate or Today
marketDataDate dateTime The market data date for pricing. No ValuationDate or Today
reportCcy string The report currency: Pricing data is computed in deal currency. If a report currency is set, pricing data is also computed in report currency. No USD
marketValueInDealCcy double User defined marketValueInDealCcy used to compute volatilityPercent. Note that marketValueInDealCcy takes priority over volatilityPercent input. No  
pricingModelType enum The enumerate that specifies the model type of pricing. The possible values are:
  • BlackScholes
  • Whaley
  • Binomial
  • Trinomial
  • VannaVolga (only applicable for Fx)
No BlackScholes
dividendType enum The enumerate that specifies the type of dividend. The possible values are:
  • None
  • ForecastTable
  • HistoricalYield
  • ForecastYield
  • ImpliedYield
  • ImpliedTable
No None
dividendYieldPercent double Percentage value of the dividend. No  
volatilityPercent double User defined volatility (in %) used for calculation. Note that if marketValueInDealCcy is defined, volatilityPercent is not taken into account. No  
riskFreeRatePercent double User defined riskFreeRatePercent used to calculate other outputs of an option. No  
underlyingPrice double User defined UnderlyingPrice used to calculate other outputs of an option. No  
volatilityType enum The type of volatility for the option's pricing. The possible values are:
  • Implied
  • SVISurface

Note that if Volatility is defined, volatilityType is not taken into account.

No Implied
optionPriceSide enum Quoted option's price side to use for pricing analysis. The possible values are:
  • Bid
  • Ask
  • Mid
  • Last
No Mid
optionTimeStamp enum Defines how the timestamp of the option is selected.
  • Open - the opening value of the valuationDate or if not available the close of the previous day is used.
  • Close - the close value of the valuationDate.
  • Default - the latest snapshot is used when valuationDate is today, the close price when valuationDate is in the past.
No Default
underlyingPriceSide enum Quoted price side to use for pricing Analysis. The possible values are:
  • Bid
  • Ask
  • Mid
  • Last
No Last
underlyingTimeStamp enum Defines how the timestamp of the underlying is selected:
  • Open - the opening value of the valuationDate or if not available the close of the previous day is used.
  • Close - the close value of the valuationDate.
  • Default - the latest snapshot is used when valuationDate is today, the close price when valuationDate is in the past.
No Default

Output Fields Description

The table below lists the available fields you can include in the API response.

Field name Type Description
InstrumentTag string The instrument tag returned as it was in the instrument definition.
ValuationDate date Valuation date.
InstrumentDescription string Option description.
InstrumentCode string Option instrument code.
EndDate date Option expiry date.
StrikePrice double Option strike.
OptionType enum The enumerate that specifies the option type.
  • Vanilla
  • Barrier
  • CBBC
  • Binary
  • Warrant
ExerciseStyle enum Exercise style of the option. The possible values are:
  • Euro
  • Amer
ExerciseType enum Option type. The possible values are:
  • Call
  • Put
OptionPriceSide enum Quoted option price type. The possible values are:
  • Mid
  • Bid
  • Ask
  • Last
  • User
OptionTimeStamp string Option's price time stamp.
OptionCurrency string Currency of the option.
UnderlyingRIC string Underlying instrument code.
UnderlyingPrice double Quoted underlying price.
UnderlyingPriceSide enum Quoted underlying price type. The possible values are:
  • Mid
  • Bid
  • Ask
  • Last
  • User
UnderlyingTimeStamp string Underlying's price time stamp.
UnderlyingCurrency string Currency of the underlying.
VolatilityPercent double Volatility used for pricing.
VolatilityType enum Volatility type. The possible values are:
  • Implied - vol from marketdata.
  • Calculated - computed from MarketValueInDealCcy if input.
  • SVISurface - computed from VolSurface service).
  • User - volatilityPercent input by user.
  • Default - if VolSurface fails to return a vol, default to 20.
MarketValueInDealCcy double Computed premium of the option.
RiskFreeRatePercent double Interest rate.
DividendYieldPercent double Dividend yield value used to compute option's greeks.
DividendType enum The enumerate that specifies the type of dividend. The possible values are:

 

  • None
  • ForecastTable
  • HistoricalYield
  • ForecastYield
  • ImpliedYield
  • ImpliedTable
DeltaPercent double Computed Delta percent of the option.
GammaPercent double Computed Gamma percent of the option.
RhoPercent double Computed Rho percent of the option.
ThetaPercent_BidMidAsk double Computed Theta percent of the option at Bid/Mid/Ask.
VegaPosition_BidMidAsk double Computed Vega position of the option at Bid/Mid/Ask.
Gearing_BidMidAsk double Computed gearing of the option at Bid/Mid/Ask.
BreakEvenTime_BidMidAsk double Computed break even time of the option at Bid/Mid/Ask.
Vanna_BidMidAsk double Computed Vanna position of the option at Bid/Mid/Ask.
Volga_BidMidAsk double Computed Volga position of the option at Bid/Mid/Ask.
Speed_BidMidAsk double Computed Speed position of the option at Bid/Mid/Ask.
Charm_BidMidAsk double Computed Charm position of the option at Bid/Mid/Ask.
Color_BidMidAsk double Computed Color position of the option at Bid/Mid/Ask.

Exotic Options

When creating your request, for exotic options, you may want to use the properties listed below for the instrument definition.

instrumentDefinition - BarrierDefinition

EtiOptionBarrierDefinition

Required for a Barrier option.

Input name Type Description Required Default Value
upOrDown enum Specifies the type of barrier option. The possible values are:
  • Up
  • Down
No Up
level double Specifies the level of the barrier. Yes  
inOrOut enum Specifies the type of barrier option. The possible values are:
  • In
  • Out
No In

instrumentDefinition -DoubleBarrierDefinition

EtiOptionDoubleBarriersDefinition

Required for a double Barrier option. Keep in mind that pricing has not been implemented yet.

instrumentDefinition - BinaryDefinition

EtiOptionBinaryDefinition

Required for an ETI binary option.

Input name Type Description Required Default Value
binaryType enum Specifies the type of binary option. The possible values are:
  • OneTouch
  • NoTouch
  • Digital
Yes  
level double Specifies the level of the barrier. Yes  
upOrDown enum Specifies the type of binary option. The possible values are:
  • Up
  • Down
No Up
notionalAmount double Notional for Binary option. No 1000000

instrumentDefinition - DoubleBinaryDefinition

EtiOptionBinaryDefinition

Required for an ETI double binary option. Pricing has not been implemented yet.

instrumentDefinition - CBBCDefinition

EtiOptionCBBCDefinition

Required for an ETI CBBC option.

Input name Type Description Required Default Value
level double Specifies the level of the barrier. Yes  
conversionRatio double Specifies the level of the barrier. No 1.0