The files generated for both of these products are essentially the same except the following three fields are not included in the intraday file: Closing price of underlying, Closing price of series and Total industry volume. While ISE Open/Close Trade Profile is available as an end-of-day file, ISE Open/Close Trade Profile Intraday is updated at 10-minute intervals.How often does this data update?
The file is available every 10 minutes on the 2s after the hour beginning at 9:42 am EST (e.g. 9:42, 9:52, 10:02, 10:12, 10:22, 10:32, etc.). The end-of-day snapshot occurs at 9:00 pm EST and will account for any post-close adjustments.
This file contains proprietary ISE options trade data and does not include trade data from any other exchanges.
Once your account is set up you will be assigned an FTP (File Transfer Protocol) account so you can download the file.
This data is available only as a .csv file, which is easy to use and can be viewed in most standard spreadsheet applications.
The four types of trades at the International Securities Exchange are:
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MARKET MAKER
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FIRM
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CUSTOMER
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PROFESSIONAL CUSTOMER
If a retail trader enters an option order through a broker like optionsXpress, the broker will designate the order as a CUSTOMER order. When a member like Morgan Stanley or Goldman enters a trade on behalf of a large customer, institution or hedge fund, the trade is designated a CUSTOMER trade. When a member like Morgan Stanley or Goldman enters a trade for their own account, the trade is designated as FIRM trade. FIRM trades can be PROPRIETARY trades, executed on behalf of their own trading account or for another BROKER/DEALER who is not a member of the exchange. A PROFESSIONAL CUSTOMER is a high-activity CUSTOMER.
ISE introduced a new trade designation on October 1, 2009 called PROFESSIONAL CUSTOMER. Anyone who is not trading for as a MARKET MAKER or FIRM account that enters more than 390 orders per day over the course of a one-month period is considered a PROFESSIONAL CUSTOMER.
Open Interest shows the total number of outstanding contracts for each series across all options exchanges for the trade date of the file. Increases in open interest indicate a net increase in opening long positions. There is potential for more activity in series with larger Open Interest since there is the potential for closing trades to reduce the amount of outstanding contracts.
No. Open interest is only updated after all the trades are processed for that trade date in overnight processing, and become available the next morning. Keep in mind that since nearly all series are fungible across all options exchanges it would be practically impossible to update this value intraday.
Some fields are derived from end-of-day values and some are static, so the following fields will not update intraday:
Some options stop trading at 4 pm and some stop trading at 4:15 pm. The actual closing prices can be skewed as market makers pull their quotes at the end of the day. Therefore, based on feedback we have received we calculate the closing price for each series as the mid-point of the bid/ask spread at 3:58 pm EST.
After the beta period the subscription fee will be $2,000 per month and the term of the agreement will be 12 months.
The intraday offering currently has a limited amount of history available (back to August 2009) because it is a new offering. However there is historical data available for the end-of-day file going back to May 2005.
All fields in the intraday file are included in the end-of-day file except for:
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Closing price of underlying
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Closing price for each series
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Total industry volume for each series
Two professors did an extensive study by creating a hypothetical portfolio and using end of day open/close data which was highlighted in a New York Times article. Although the returns were impressive, past investment results are not indicative of future results.
The new OSI code is an industry initiative to replace the current OPRA symbology with a new symbol structure that is expected to roll out in February 2010. Today it is sometimes difficult to identify the underlying symbol for each series, but the new OSI code will explicitly include the underlying symbol and make it easier to identify each series.
The legacy OPRA codes are 4-5 characters consisting of an OPRA root for the underlying, a letter for the expiration month and a letter for the strike price. The new OSI code will consist of a minimum of 21 bytes of the following fields:
An example would be:
| Symbol |
Yr |
Mo |
Day |
C/P |
Explicit Price |
Decimal |
| MSFT |
06 |
03 |
18 |
C |
00047 |
500 |
Not all new symbols will be implemented at once as this will be a phased roll out over a period of time beginning in February 2010. The roll out is likely take a couple of months.
We have defined the 5 levels of Moneyness as follows:
| Moneyness Code |
Definition |
| Level 1: Deep in the Money |
The strike price of this option is more than 12% lower than the price of the underlying security if it is a call or more than 12% higher if it is a put |
| Level 2: In the Money |
The strike price of this option is within the range of 5%-12% lower than the price of the underlying security if it is a call or within the range of 5%-12% higher if it is a put |
| Level 3: At the Money |
The strike price of this option is within the range of 5% higher or lower than the price of the underlying security |
| Level 4: Out of the Money |
The strike price of this option is within the range of 5%-12% higher than the price of the underlying security if it is a call or 5%-12% lower if it is a put |
| Level 5: Deep out of the Money |
The strike price of this option is more than 12% higher than the price of the underlying security if it is a call or more than 12% lower if it is a put |