Hi, everyone. The CBOE recently switched to the new option nomenclature. For example, the new symbol of the OVTI 2009 Dec 12.50 Call is now UCM0919L12.5, whereas it used to be UCMLV in the old format. Unfortunately, my data provider DTN is still using the old format. Therefore, I am looking or an utility that takes as input a list of new symbols and outputs them in the old format. Even a side by side list would suffice. Thanks in advance. Mimmo
You don't need a utility for that. The rules are straightforward - - 6 chars for the symbol - 6 chars for expiration date (YYMMDD) - 1 char for Put or Call (P/C) - 5 chars for the strike - 3 chars for the strike decimal For example: SPY Jan 2010 Call 112, which is now SPYAH will turn into "SPY 100115C00112000" - OptionTimeline
Many thanks for pointing things out. Unfrotunately, I have hundreds symbols per day to convert and feed to DTN. Doing it by hand would be a nightmare. Do you happen ready a small script to do the trick?
It shouldn't be any slower for high-end systems, if their providers use surrogate keys for symbols (as they should). The number of mistakes disseminated under the old symbology is unacceptable. Strikes are not uniquely identified under the old system, and this turned out to be a major problem -- theocc.com's reported strikes are frequently off by an order of 10 (!). Yes, one would think that there could be a central database that is definitive for all this, but they never seemed to be able to get it together (maybe owing to exchanges disagreeing on symbols?). The new symbology gets rid of the possibility of some of these errors.
It is more readable though. look at BQQCB - can you guess what it belongs to? You would say it's a QQQQ option, but no... it's DIA Call 106 Q1 2010. Take some months ahead and you'll see they are running out of letters. There is hardly a correlation between the asset and the option symbols.
Sorry, I don't have a script. When I built my database (of http://optiontimeline.com) I had the same problem, but from the beginning I didn't like the existing symbols. So I basically built the option keys as I explained above in my software, and used them instead of the existing symbols.
Brokers are also putting their own spin on the new symbols. Schwab says they're going to display the expiration date fields as month/day/year instead if yearmonthday. One thing that's not clear to me is whether the new option root with be the same as the old option root or whether it will be the underlying's symbol. I've seen both in various brokers' examples. Also, there's only 5 characters available for the integral portion of the strike. That's not enough for something like BRK/A (should it become optionable).
Probably not that important from a trader's prospective. I have not paid attention to option symbol for more than ten years, at least.