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Differences with the last version.
The differences between the new version 2.3 and the last
version 2.2 are:
a) It has been added new files with information of MONEP Market.
b) The day file (TODAY.ZIP) also includes the MONEP Market
information.
Available files:
1)HISTORICAL PRICES AND VOLATILITIES AT MARKET CLOSE.
(HP*.FZI, HP*.AZI, MP*.SZI)
INFORMATION SIZE
______________________ _________________________________
DATE PIC X(8). FORMAT YYYYMMDD.
FILLER PIC X VALUE ","
UNDERLYING PIC X(4).
FILLER PIC X VALUE ","
CALL,PUT OR FUTURE PIC X(1) VALUE C,P,F.
FILLER PIC X VALUE ","
EXPIRATION DATE PIC 9(6).
FILLER PIC X VALUE ","
STRIKE PIC 9(5).9(2) IF A FUTURE,YOU WILL SEE ZEROS.
FILLER PIC X VALUE ","
CONTRACT PIC X(11)
FILLER PIC X VALUE ","
BID PRICE =0
FILLER PIC X VALUE ","
ASK PRICE =0
FILLER PIC X VALUE ","
HIGH TRADED PRICE PIC 9(5).9(2).
FILLER PIC X VALUE ","
LOW TRADED PRICE PIC 9(5).9(2).
FILLER PIC X VALUE ","
LAST TRADED PRICE PIC 9(5).9(2).
FILLER PIC X VALUE ","
DAILY VOLUME PIC 9(8).
FILLER PIC X VALUE ","
SETTLEMENT PRICE PIC 9(5).9(2).
FILLER PIC X VALUE ","
OPEN INTEREST PIC 9(12)
FILLER PIC X VALUE ","
VOLATILITY AT CLOSE PIC 9(3).9(2).
FILLER PIC X VALUE ","
Note:
INFORMATION: Field content, if it is FILLER
it means is a constant field and its
content is shown on column size.
SIZE: PIC X(n) is an alphanumeric field with
n positions.
PIC 9(n) is an integer numeric field with
n positions.
PIC 9(n).9(m) is an integer numeric field with
n positions
with m decimals.
Prices in points.
1 point = 1.000 ptas.
(Ibex-35 Plus) or 100 ptas. (stock options).
This file has one register for every contract
traded every day.
2)DAILY RECAP.
(MON.ZIP,......, FRI.ZIP)
This compressed field contains information about the
last trading day. It contains three files:
- Prices and volatilities at market close
- Arrays for margining
- Daily figures.
- Press report.
- Daily closing prices of the underlying stocks.
- Delta matrix.
2.1.-PRICES AND VOLATILITIES AT MARKET CLOSE.
(VPaammdd.ZZZ)
INFORMATION SIZE
_____________________________________________________
TRADED DATE PIC X(8). FORMAT yyyymmdd
FILLER PIC X(1) VALUE ",".
CONTRACT PIC X(8).
FILLER PIC X(1) VALUE ",".
SETTLEMENT PRICES PIC 9(5).9(2)
FILLER PIC X(1) VALUE ",".
VOLATILITY PIC 999.99.
FILLER PIC X(1) VALUE ",".
Note:
INFORMATION: Field content, if it is FILLER it
means is a constant field
and its content is shown on column size.
SIZE: PIC X(n) is an alphanumeric field with
n positions.
PIC 9(n).9(m) is an integer numeric field
with n positions and m decimals.
2.2.-ARRAYS FOR MARGINING
(PTaammdd.ZZZ)
INFORMATION SIZE
________________________________________________________
CONTRACT PIC X(8).
SIGN PIC X(1) VALUE "T" OR "D"
FOR BUYER/SELLER
DESCRIPTION PIC X(20).
NUMBER OF PRICES PIC 9(2).
THEORETICAL PRICES VARIABLE LENGTH.
Note:
INFORMATION: Field content, if it is FILLER it means
is a constant field and its content is
shown on column size.
SIZE: PIC X(n) is an alphanumeric field with
n positions.
PIC 9(n) is an integer numeric field with
n positions.
All fields will be separated by ','.
There will be as many theoretical prices as indicated in the
field NUMBER OF PRICES.
The DESCRIPTION field contains:
UNDERLYING PIC X(3).
FUTURE/CALL/PUT PIC X(1).
EXPIRATION DATE (YYYYMMDD) PIC X(8).
STRIKE PRICE PIC 9(5).9(2)
2.3.- Daily report with theoretical data
(prices, volatility and delta).
(BVyymmdd.ZZZ)
INFORMATION SIZE
_______________________ _________________________________
INFORMACION PIC X VALUE 1, 2, 3, 4 or 5
DATE PIC X(8). FORMAT YYYYMMDD
FILLER PIC X VALUE ","
DATA VARIABLE. FUNCTION OF FIRST FIELD
IF INFORMATION=1, THE FIELD "DATA":
INTEREST RATE % PIC 9(3).9(2) LESS THAN 90 DAYS
FILLER PIC X VALOR ","
INTEREST RATE % PIC 9(3).9(2) INTERVAL [90, 180) DAYS
FILLER PIC X VALUE ","
INTEREST RATE % PIC 9(3).9(2) INTERVAL [180, 270) DAYS
FILLER PIC X VALUE ","
INTEREST RATE % PIC 9(3).9(2) MORE THAN 270 DAYS
FILLER PIC X VALUE ","
IF INFORMATION=2, THE FIELD "DATA" CONTAINS THE USED DIVIDEND YIELDS:
SPOT PIC X(4)
PAYMENT DATE 1 PIC X(6) DIVIDEND PAYMENT DATE (YYMMDD)
FILLER PIC X VALUE ","
DIVIDEND 1 PIC 9(6).9(2)
FILLER PIC X VALUE ","
PAYMENT DATE 2 PIC X(6) DIVIDEND PAYMENT DATE (YYMMDD)
FILLER PIC X VALUE ","
DIVIDEND 2 PIC 9(6).9(2)
FILLER PIC X VALUE ","
PAYMENT DATE 3 PIC X(6) DIVIDEND PAYMENT DATE (YYMMDD)
FILLER PIC X VALUE ","
DIVIDEND 3 PIC 9(6).9(2)
FILLER PIC X VALUE ","
PAYMENT DATE 4 PIC X(6) DIVIDEND PAYMENT DATE (YYMMDD)
FILLER PIC X VALUE ","
DIVIDEND 4 PIC 9(6).9(2)
FILLER PIC X VALUE ","
PAYMENT DATE 5 PIC X(6) DIVIDEND PAYMENT DATE (YYMMDD)
FILLER PIC X VALUE ","
DIVIDEND 5 PIC 9(6).9(2)
FILLER PIC X VALUE ","
PAYMENT DATE 6 PIC X(6) DIVIDEND PAYMENT DATE (YYMMDD)
FILLER PIC X VALUE ","
DIVIDEND 6 PIC 9(6).9(2)
FILLER PIC X VALUE ","
IF INFORMATION = 3, THE FIELD "DATA" CONTAINS:
UNDERLYING PIC X(4)
FILLER PIC X VALUE ","
CALL, FUT, SPOT,..... PIC X(6). (SPOT SEE ONLY LAST AND CLOSE
YESTERDAY PRICE)
FILLER PIC X VALUE ","
EXPIRATION DATE (YYMMDD) PIC X(6)
FILLER PIC X VALUE ","
STRIKE PIC 9(5).9(2)
FILLER PIC X VALUE ","
THEO. BID PRICE PIC 9(5).9(2)
FILLER PIC X VALUE ","
THEO. ASK PRICE PIC 9(5).9(2)
FILLER PIC X VALUE ","
LAST PRICE PIC 9(5).9(2)
FILLER PIC X VALUE ","
HIGH PIC 9(5).9(2)
FILLER PIC X VALUE ","
LOW PIC 9(5).9(2)
FILLER PIC X VALUE ","
ACCUMULATED VOLUME PIC 9(8)
FILLER PIC X VALUE ","
OPEN INTEREST PIC 9(12)
FILLER PIC X VALUE ","
CLOSE PRICE PIC 9(5).9(2)
FILLER PIC X VALUE ","
YESTERDAY CLOSE PIC 9(5).9(2) ONLY SPOT
FILLER PIC X VALUE ","
REBOUND PIC X "*" TO REBOUND A
CONTRACT IF IT IS A ATM CONTRACT
FILLER PIC X VALUE ","
CLOSE VOLATILITY PIC 9(3).9(2)
FILLER PIC X VALUE ","
CLOSE DELTA PIC 9(2).9(2)
FILLER PIC X VALUE ","
IF INFORMACION = 4, THE FIELD "DATA" CONTAINS THE FUTURE PRICE
AND VOLATILITY SKEW FOR EACH EXPIRATION DATE+UNDERLYING (MORE DETAILS
FOLLOWING THE DESCRIPTION):
UNDERLYING PIC X(4)
FILLER PIC X VALUE ","
EXPIRATION DATE (YYMMDD) PIC X(6)
FILLER PIC X VALUE ","
CLOSE PRICE PIC 9(5).9(2) RESPECTIVE TO THE FUTURE (ONLY IBEX)
FILLER PIC X VALUE ","
VOLATILITY ATM PIC 9(3).9(2)
FILLER PIC X VALUE ","
NUM_P_EJE_1S PIC 9(3)
FILLER PIC X VALUE ","
DIF_VOLA_1S PIC 9(3).9(2)
FILLER PIC X VALUE ","
NUM_P_EJE_2S PIC 9(3)
FILLER PIC X VALUE ","
DIF_VOLA_2S PIC 9(3).9(2)
FILLER PIC X VALUE ","
NUM_P_EJE_1i PIC 9(3)
FILLER PIC X VALUE ","
DIF_VOLA_1i PIC 9(3).9(2)
FILLER PIC X VALUE ","
NUM_P_EJE2i PIC 9(3)
FILLER PIC X VALUE ","
DIF_VOLA_2i PIC 9(3).9(2)
FILLER PIC X VALUE ","
IF INFORMATION=5, THE FIELD "DATA" CONTAINS THE USED DIVIDEND YIELDS:
SPOT PIC X(4)
PAYMENT DATE 1 PIC X(6) DIVIDEND PAYMENT DATE (YYMMDD)
DIVIDEND 1 PIC (FORMAT 6.2)
CONFIRMED 1 (FORMAT 1, VALUE 0=NON CONFIRMED, 1=CONFIRMED)
PAYMENT DATE 2 PIC X(6) DIVIDEND PAYMENT DATE (YYMMDD)
DIVIDEND 2 PIC (FORMAT 6.2)
CONFIRMED 2 (FORMAT 1, VALUE 0=NON CONFIRMED, 1=CONFIRMED
PAYMENT DATE 3 PIC X(6) DIVIDEND PAYMENT DATE (YYMMDD)
DIVIDEND 3 PIC (FORMAT 6.2)
CONFIRMED 3 (FORMAT 1, VALUE 0=NON CONFIRMED, 1=CONFIRMED
PAYMENT DATE 4 PIC X(6) DIVIDEND PAYMENT DATE (YYMMDD)
DIVIDEND 4 PIC (FORMAT 6.2)
CONFIRMED 4 (FORMAT 1, VALUE 0=NON CONFIRMED, 1=CONFIRMED
PAYMENT DATE 5 PIC X(6) DIVIDEND PAYMENT DATE (YYMMDD)
DIVIDEND 5 PIC (FORMAT 6.2)
CONFIRMED 5 (FORMAT 1, VALUE 0=NON CONFIRMED, 1=CONFIRMED
PAYMENT DATE 6 PIC X(6) DIVIDEND PAYMENT DATE (YYMMDD)
DIVIDEND 6 PIC (FORMAT 6.2)
CONFIRMED 6 (FORMAT 1, VALUE 0=NON CONFIRMED, 1=CONFIRMED
INFORMATION:
Field content, if it is FILLER it means it is a constant
field and its content is shown on column size.
SIZE: PIC X(n) is an alphanumeric field with n positions.
PIC 9(n) is an integer numeric field with n positions.
PIC 9(n).9(m) is an integer numeric field with n positions
with m decimals.
This files show At The Money volatility (VOLATILITY_ATM) and the
necessary parameters to calculate the volatility in all the strikes
per expiration date and underlying.
For the strike price umpteenth (n) higher than At The Money strike:
- If n is equal or lower than NUM_P_EJE_1S, the volatility will be:
VOLATILITY_ATM - n * DIF_VOLA_1S.
- If n is in the range (NUM_P_EJE1S, NUM_P_EJE1S + NUM_P_EJE2S), the volatility will be:
VOLATILITY _ATM - NUM_P_EJE1S *
(DIF_VOLA_1S) - (n - NUM_P_EJE1S) * DIF_VOLA2S
- If n is higher than NUM_P_EJE1S + NUM_P_EJE2S, the volatility will be:
VOLATILITY _ATM - NUM_P_EJE1S *
DIF_VOLA_1S - NUM_P_EJE2S * DIF_VOLA_2S
For the strike price umpteenth (n) lower than At The Money strike:
- If n equal or lower than NUM_P_EJE1i, the volatility will be:
VOLATILITY _ATM + n * DIF_VOLA_1i
- If n is in the range (NUM_P_EJE1i, NUM_P_EJE1i + NUM_P_EJE2i), the volatility will be:
VOLATILITY _ATM + NUM_P_EJE1i *
(DIF_VOLA_1i) + (n - NUM_P_EJE1i) * DIF_VOLA2i
- If n is higher than NUM_P_EJE1i + NUM_P_EJE2i, the volatility will be:
VOLATILITY _ATM + NUM_P_EJE1i *
DIF_VOLA_1i + NUM_P_EJE2i * DIF_VOLA_2i
For example:
FIE, 980117, 06522.00, 026.50, 001, 000.50, 10, 000.25, 001, 001.00, 002, 000.50.
The future closed price is 6522. The volatilities for January expiration (980117),
in terms of strike prices, will be:
Strike price Volatility
6500 ATM 26.50
6550 ATM + 1 26.50 - 0.5
6600 ATM + 2 26.50 - 0.5 - 0.25
6650 ATM + 2 26.50 - 0.5 - 2 * 0.25
6700 ATM + 3 26.50 - 0.5 - 3 * 0.25
.......................
6450 ATM - 1 26.50 + 1
6400 ATM - 2 26.50 + 1 + 0.5
6350 ATM - 3 26.50 + 1 + 2 * 0.5
6300 ATM - 3 26.50 + 1 + 2 * 0.5
2.4.-Daily trade. Disclosure of all trades.
(CDyymmdd.FIE,CDyymmdd.ACO)
INFORMATION SIZE
_______________________ _________________________________
DATE PIC X(8). FORMAT YYYYMMDD.
FILLER PIC X VALUE ","
UNDERLYING PIC X(4).
FILLER PIC X VALUE ","
CALL,PUT OR FUTURE PIC X(1) VALUE C,P,F.
FILLER PIC X VALUE ","
EXPIRATION DATE (YYMMDD) PIC X(6).
FILLER PIC X VALUE ","
STRIKE PIC 9(5).9(2) IF A FUTURE, YOU WILL SEE ZEROS.
FILLER PIC X VALUE ","
TRADE TIME (HHMMSS) PIC X(6).
FILLER PIC X VALUE ","
TRADED PRICE PIC 9(5).9(2).
FILLER PIC X VALUE ","
BID PRICE PIC 9(5).9(2).
FILLER PIC X VALUE ","
ASK PRICE PIC 9(5).9(2).
FILLER PIC X VALUE ","
ACCUMULATED VOLUME PIC 9(8).
FILLER PIC X VALUE ","
IMPLIED VOLATILITY = 0
FILLER PIC X VALUE ","
MID FUTURE PRICE PIC 9(5).9(2)
FILLER PIC X VALUE ","
INFORMATION:
Field content, if it is FILLER it means it is a constant
field and its content is shown on column size.
SIZE:
PIC X(n) is an alphanumeric field with n positions.
PIC 9(n) is an integer numeric field with n positions.
PIC 9(n).9(m) is an integer numeric field with n positions
with m decimals.
2.5.-Last stock prices at the Stock Exchange.
(CNaammdd.ZZZ)
INFORMATION SIZE
_______________________ ___________________________
DATE PIC X(8). FORMATO YYYYMMDD.
FILLER PIC X VALOR ","
UNDERLYING PIC X(5). THE SAME CODIFICATION
AS THE CONTINUOUS MARKET
FILLER PIC X VALOR ","
LAST PRICE PIC 9(6).9(2).
FILLER PIC X VALOR ","
INFORMATION:
Field content, if it is FILLER it means it is a constant
field and its content is shown on column size.
SIZE:
PIC X(n) is an alphanumeric field with n positions.
PIC 9(n) is an integer numeric field with n positions.
PIC 9(n).9(m) is an integer numeric field with n positions with m decimals.
2.6.-File description of delta matrix.
(DLyymmdd.ZZZ)
INFORMATION SIZE
________________________________________________________
CONTRACT PIC X(8).
SIGN PIC X(1) VALUE "T" OR "D"
FOR BUYER/SELLER
DESCRIPTION PIC X(20). CONTRACT DATA.(SEE NOTE BELOW)
NUMBER OF DELTAS PIC 9(2).
DELTAS IN % VARIABLE LENGTH.
INFORMATION: Field content, if it is FILLER it means
is a constant field and its content is
shown on column size.
SIZE: PIC X(n) is an alphanumeric field with
n positions.
PIC 9(n) is an integer numeric field with
n positions.
All fields will be separated by ','.
There will be as many deltas as indicated in the
field NUMBER OF DELTAS.
UNDERLYING PIC X(3).
FUTURE/CALL/PUT PIC X(1).
EXPIRATION DATE (YYYYMMDD) PIC X(8).
STRIKE PRICE PIC 9(5).9(2)
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