Futures Options

Futures Options

There are two ways to create Future Option symbols.  The first is to use the base contract code plus a space plus the option code which tells us if it is a call or put and the strike price

For Example

SP`M AP950/C  is the S&P June Future's April 950 call option

You can also create the Options on Futures using the Future's root symbol followed by two (2) alpha characters representing the strike price.        

Listings for options traded on futures contracts are more complex than the futures in that contract. Specifications often call for more option contract months to be listed, then for futures contracts.  In some cases, futures contract listings are restricted to specific months, whereas the same product's option contracts may be listed in every calendar month.  Options contracts that bear the same '

month name' as an eligible future, are said to have cycle month expirations; option contracts bearing a month name OTHER than an eligible future, are said to have serial month expirations.  This is illustrated below:

Cycle Month Expirations

A cycle option month is an options' month series that is underlied by a future that bears the same month as that named in the option contract; the cycle option month is part of the future month cycle.  For example, a JN97 option month series that has a JN97 future as its underlyer.

For example, a JN97 option month series has a JN97 future as its underlyer;  the symbol for a JN97 CBT US Bond 102 option is:  US`MJB

·        US represents the product symbol

·        the grave (`) serves as a delineator

·        M is the month code symbol for June

·        JB represents the strike code symbol

Serial Month Expirations

A serial option month is an options' month series that is underlied by a future that bears a month other than that named in the option contract; the serial option month is thus, NOT part of the futures month cycle.

For example, a MY97 option month series has a JN97 future as its underlyer; the symbol for a MY97 CBT US Bond 102 option is:  US`MKJB

·        US represents the product symbol

·        the grave (`) serves as a delineator

·        M is the month code symbol of the underlying JN97 future

·        K is the month code symbol of the MY97 options

·        JB represents the strike code symbol

Commodity Option Strike Code Tables

Symbols representing strike prices are typically created according to Table 1 wherever possible; options series involving greater ranges of strike prices or strike prices of smaller increments may require using Table 2. 

Table  #1:

Month:        1        2        3        4        5        6        7        8        9        0

Calls:                A        B        C        D        E        F        G        H        I        J

Puts:                M        N        O        P        Q        R        S        T        U        V

Below are typical strike price records seen for a DC SIMEX Euroyen option series:

93.75        SY`ZCG

94.00        SY`ZDJ

94.25        SY`ZDB     

96.00        SY`ZFJ

96.25        SY`ZFB

96.50        SY`ZFE

Notice that the middle two digits of the strike prices correspond to the letters of the alphabet in the table shown above.  For instance, if the next highest strike price, 96.75, were to be added, the symbol would by SY`ZFG.  The '6' in the 96.75 strike price corresponds to the 6th letter of the alphabet, or 'F'.  The '7' corresponds to the 7th letter of the alphabet, or 'G'.  Therefore, the option code for the 96.75 strike price is FG.

Table  #2:

                       00        =        A        50        =        K        

                       05        =        B        55        =        L

                       10        =        C        60        =        M

                       15        =        D        65        =        N

                       20        =        E        70        =        O

                       25        =        F        75        =        P

                       30        =        G        80        =        Q

                       35        =        G        85        =        R

                       40        =        I        90        =        S

                       45        =        J        95        =        T