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Thursday, December 3, 2009

Options Technical Update #2009 - 12
NASDAQ OMX PHLX Reminds Firms of Necessary Changes for Symbology Readiness

Markets Impacted:

  • NASDAQ OMX PHLX

Contact Information:

What you need to know:

  • In February 2010, U.S. options markets will begin the Conversion period as outlined by the Options Symbology Initiative (OSI).
  • In order to be prepared for trading on NASDAQ OMX PHLX under the new symbology plan, all firms must upgrade to the most recent releases of the Specialized Order Feed, Specialized Quote Feed and PHLX FIX.
  • Firms should also note that the OPRA class symbol within the Risk Management Process will not populate once the symbology consolidation is completed for the symbols that have been rolled out.

What is the Options Symbology Initiative?

The Options Symbology Initiative (OSI) is intended to replace use of multiple root symbols and Options Price Reporting Authority (OPRA) codes to identify option series with explicit series elements:

  1. Security Symbol
  2. Expiration Year, Month and Day
  3. Strike Value
  4. Call or Put

In most cases, the security symbol becomes the same as the issue symbol (stock symbol, primary index or World Currency Option symbol), with variation for situations such as corporate actions or other circumstances requiring a non-standard security symbol.

The initiative is accomplished in two main phases:

  • Conversion — Conversion from dependence on OPRA codes to use of explicit series elements.
  • Consolidation — Consolidation of all roots into the issue symbol.

For complete details of the OSI plan, industry testing dates and implementation dates, refer to the Options Clearing Corporation (OCC) website.

What upgrades are required to be prepared for OSI changes?

In order to be prepared for trading on NASDAQ OMX PHLXSM (PHLX®) under the new symbology plan, all firms must use the most recent releases of the Specialized Order Feed (SOF), Specialized Quote Feed (SQF) and PHLX FIX.

Which version of SOF should my firm use?

Firms should use SOF 5.0.3b to trade under the OSI plan.

Firms that have not yet coded to SOF 5.0.3b are encouraged to take the TOPO Plus Orders data product.

Which version of SQF should my firm use?

All firms must utilize SQF 5.0.11.

Which version of PHLX FIX should my firm use?

All firms must utilize PHLX FIX 2.0.

The Maturity date field or the combination of the Maturity MonthYear and Maturity Day fields within the FIX orders must be populated for consolidated symbols according to the OSI planned rollout. Any orders received post-consolidation without the explicit and complete expiration date will be rejected.

Is the Risk Management Process affected by OSI changes?

All firms should currently be using Risk Management Process (RMP) 4.2.1a , which is compliant with symbology changes.

Firms should note that the RMP class_code field containing OPRA class symbol will no longer be populated once the symbology consolidation is complete according to the planned rollout.

Is PHLX participating in the OCC Scripted Industry Tests?

Yes, PHLX is participating in the Scripted Industry Tests held by the OCC. Firms can register for testing with PHLX in advance by contacting NASDAQ OMX Trading Services at +1 212 231 5180. Visit the OCC website for more information on testing.

Where can I find more information?


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