Moscow Exchange plans to change the mechanism of encoding options since November 2016


In November 2016, Moscow Exchange will introduce (as recommended by the IT Committee and the Derivatives Market Committee in September 2016) a new approach to compile the long code of options.

 

The strike price for a number of options on futures contracts (such as Transneft futures (TRNF), Norilsk Nickel futures (GMKR) and Severstal futures (CHMF)) exceeds 99,999 and therefore is shown as a 6-digit number.  This is not critical for codes of options on futures contracts with settlement in March, June and September as 25 characters is the sufficient code length for such options even including the underlying asset code (for instance, the code of the option on GMKR futures with settlement in September 2016 and the strike of 112,500 is “GMKR-9.16M140916CA 112500”).

When an option is exercised in December, the 25-character code without any meaningful information missed is possible only if there is no blank space between <Contract category> and <Exercise price>. As such, the code of the option on GMKR futures with settlement in December 2016 and the strike of 112,500 would be “GMKR-12.16M141216CA112500”, i.e. there is no blank space between “CA” and “112500”.

Therefore, the Exchange is to introduce the codes without blank space with regard to all new series options. The move requires a transitional period, during which both old and new codes will exist in the system in parallel. This means that codes of newly-entered options will not include blank space unlike existing contracts (this is possible even for the same instrument).

The transitional period will last for as follows:

  • Two years for a series of options on the RTS Index futures with the expiration in September 2018. As of 6 October 2016, it is the most distant available instrument.
  • Nine months for options on USD/RUB futures with expiration in June 2017.
  • Six months for options on futures contracts on the MICEX Index (mini), MICEX Index, EUR/USD and EUR/RUB FX rates, precious metals and options on futures contracts on Russian shares with expiration in March 2017.

Options with the first trading day after 6 November 2016 will be entered to the trading system with the code compiled as described above (i.e. without blank space).

For further details, click here.

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Moscow Exchange plans to change the mechanism of encoding options since November 2016

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