Derivatives - Options

Summary

A financial derivative that represents a contract sold by one party (option writer) to another party (option holder). The contract offers the buyer the right, but not the obligation, to buy (call) or sell (put) a security or other financial asset at an agreed-upon price (the strike price) during a certain period of time or on a specific date (exercise date).

Features and Benefits

Real-time, Intra-day and End of day pricing information available for all options.

Fully cross asset options are available as per exchange with a total coverage of close to 2,500,000 million live time series is available on Eikon.

Superior quality of content with 20+ years legacy of meeting strict standards.

Additional Content Info

Coverage

The Thomson Reuters exchange traded options offering comprehensively covers all global exchange traded financial and commodity options contracts consisting of 49 countries and covering 100 regulated exchanges.

An array of options apps on Eikon provide with users with integrated models providing real time implied volatility and surfaces through several Apps. The Options Watch App for example displays real-time information for options on a specified underlying (equity, index, or futures contract). The app allows you create and modify criteria that customize the list of options displayed, and customize templates by adding real-time analytics such as implied volatility and Greeks based on preferred price.

Intra-day and End of day time series offering through quotes, excel add in, time series capabilities are also available. Options analytics such as implied volatility are available real time as well as end of day time series. Greeks are available real time across all markets and available for Hong Kong, Japan and India from a time series perspective.

At end of day and for all options contracts ATM IV’s are generated. The indices which are calculated correspond to ATM volatilities at constant maturity points: 30 days, 60 days and 90 days for call and put IVs. The values are derived using a 2-dimensional interpolation to give the IV at-the-money and at 30, 60 and 90 days.

Thomson Reuters provides real time and end of day commodity volatility surfaces for the major exchange traded energy, metals and agricultural options products. Available are options surfaces by deltas and moneyness with maturities of up to two years. Further info is available on quote CEVOLSURF. For benchmark index options volatility surfaces by deltas are calculated on an hourly basis and stored as end of day time series.

Commitment of Traders: Weekly COT reports are available for futures as well the combined futures and options reports. Reports cover the US futures by CFTC, London Metal Exchange (LME) and ICE Europe.

Sources

Data is available real time or delayed and sourced directly from individual Exchanges. End of day data is stored on Thomson Reuters historical Database of Record from the real-time exchange feeds.

The Offering

Real time exchange prices are available for options contracts, namely with the typical trading information; bid, ask, trade, open, high, low, settlement, volume and open interest. End of day information for the same pricing attributes are also available. Comprehensive reference content with close to 50 specific options facts such expiry dates, currency code, lot size, strike price, etc.

History

The offering on Eikon is currently limited to live options series.

Benchmark index options implied volatilities across constant maturities 1,2 and 3 months are available across all options classes from 2008 and limited volatility surfaces by deltas and moneyness start in 2009.

Time series options histories is available on Datastream product, see Delivery Options #3 for Datastream for more information.

Product Delivery

Thomson Reuters Datastream

One single solution where top down macro research meets bottom up analysis
for greater insights and profits. Datastream Provides robust analytics tools,
intuitive charting application as well as seamless MS®Office integration.

CSV, HTMLRSS Feed, DesktopReal-Time

Thomson Reuters Elektron

Thomson Reuters Elektron is a suite of data and trading propositions,
including low latency feeds along with the analytics, enterprise platform and
transactional connectivity to support any workflow application. All of these
capabilities can be deployed at a customer location or delivered as a fully
managed service from any one of our co-location and proximity hosting sites
around the globe.

CSV, HTMLFTP, Website, DesktopDaily

Thomson Reuters Eikon

Thomson Reuters Eikon delivers a powerful combination of information,
analytics and exclusive news on financial markets – delivered in an elegant
and intuitive desktop and mobile interface.

HTMLRSS FeedReal-Time

Thomson Reuters Datascope

Thomson Reuters Datascope is a strategic custom delivery platform that
supports a full cross-asset offering for pricing, reference data, and derived
analytics. Covering all major asset classes, including fixed income,
equities, futures and options, money, funds, loans, CDS/IRS and OTC equity
options, as well as corporate actions data, estimates, entity data and news,
DataScope Select provides flexible extraction capabilities, including file
customization, scheduling and trigger options, intraday snaps and third-party
entitlements. Cross-platform support is available for data retrieval and
includes a zero-footprint web interface, FTP connection (internet or private
network (BT Radianz (MPLS) or Delivery Direct) and API internet client
server. Fee-liable, subject to terms and conditions.

CSV, XMLFTP, Website, DesktopDaily, Real-Time