Coverage
See below for full details of our extensive options data coverage
Received through direct exchange notification and OCC announcements – processed and validated via Symbol Master. Given SMI’s core focus on Standardized Options, the SMI primary offering focuses on the Options Strikes and Series that are available, maintained, and expired for all available Issues and Series in the open market.
From the SMI content, users can identify all traded Issues that are included in the Standardized Options universe from the SMI offering. Once all Root Issues are known, SMI will provide EOD Pricing Details based on Official Closing Values for both Root and Options Symbol population.
IssueExt
The Issue Ext file shows details on the underlying symbol including company names and primary exchanges. The Issue Ext version of this file includes a field to identify if an issue is an ETF.
SeriesExt
The Series Ext files are the full options series master. The Series Ext files contain every strike that is listed including next day adds for every options exchange. There are multiple versions of this file based on the detail level of reference data on subscribing client’s security master data attributes and their specific requirements.
IssueDeliverableExt
The Issue Deliverable files show the current deliverable values for all option symbols. There are multiple versions of this file based on the detail level of reference data on subscribing client’s security master data attributes and their specific requirements.
Position Limit
Position limits are preset underlying levels of ownership established by exchanges or regulators. These limits restrict the number of shares that a trader or any affiliated group of traders and investors can own. This information is used by financial industry firms to substantiate their Risk Level Trading thresholds. Includes revert limit and revert date.
Near Term Position Limit
The Near-Term Position Limit files show which symbols have near term limits either by shares or contracts and their values. Near-term position limits refer to preset levels of ownership established by exchanges or regulatory bodies. These limits restrict the number of shares or derivative contracts that a trader or any affiliated group of traders and investors can own. This information is used by financial industry firms to substantiate their Risk Level Trading thresholds.
Option Style
The Option Style file shows the contract style (American/European) and the settlement style (AM/PM) of each option.
Received through direct exchange notice and OCC announcements – Processed and validated via Symbol Master
CorpAct
The SMI corporate actions (CorpAct) family of files track changes to the option and strike level details that impact Position and Risk Management due to a corporate action event’s. This would include any adjustments that affect either the option symbol or the strike prices of an option. Symbol Master provides standard and custom-tailored delivery of Corporate Actions content available through industry standard means. We currently support multiple versions of the Corp Act files based on the influence and data models of large data vendors within the Market Data industry.
Corporate Actions (Corp Act) Pending
The Corp Act Pending file tracks all confirmed but not yet effective corporate actions that involve changes to the option and strike level details. The pending corporate actions have been confirmed by either direct exchange or OCC memos.
Symbol Change Op
The Symbol Change Op file logs changes to an option symbol most commonly due to a corporate action
Symbol Change Eq
The Symbol Change Eq file logs changes to an options underlying symbol most commonly due to a corporate action.
This is an Intraday update service that allows consumers to ensure they capture intraday Strike additions
Intraday
The Intraday files supplement the nightly series master files (SeriesExt) with intraday strike additions. They are created every hour from 9am to 4pm Eastern. There are multiple versions of the Intraday files, and this is a value-added service to ensure what is being traded in the market is actually reflected in the source security master and OMS/EMS Trading Platform. Beginning in September 2023 Intraday additions are also available for FLEX options (see FLEX section for more details)
Created in 1993 by the CBOE originally for OTC Index options. FLEX options are Customized Options Contract Packages primarily used as portfolio hedging tools.
The base service is an end of day offering that shows the package composition of flex symbols available on the previous trading day. As with the Series Master Core data set and Supplemental data set there are multiple files that make up the FLEX offering.
FLEX Ext (New Ext4 September 2023)
The FLEX files are end of day files that show what flex symbols were available on that day’s trading. There are multiple versions of the FlexExt files with the latest version (FlexExt4) containing listing exchange participant codes that enables users to understand which exchange listed the particular FLEX option.
FLEX Intraday (New September 2023)
The FLEX Intraday files supplement the nightly FLEX series files (FLEXExt) with intraday FLEX strike additions. They are created every hour from 9am to 4pm Eastern and include the participate exchange that listed each new FLEX strike.
FLEXCorpAct
The FLEXCorpAct files serve as an alert that a corporate action is affecting the underlying option symbol. Our process utilizes our standard options corporate action content to anticipate potential changes to any related FLEX options.
FLEX Open Interest
The FLEX Open Interest files are created in the evening and shows open interest for all FLEX options.
Sourced Through ICE, OPRA, and OCC
EOD Price
The EOD Pricing files contain end of day underlying level pricing and captured in the Trade Summary Reports of the Primary Exchange. EOD Pricing files are available for both the universe of underlying symbols with active options and for the full equity universe.
EOD Option Price
The EOD Option Price file contains end of day option level pricing and captured in the Trade Summary Reports of the Primary Exchange.
Open Interest
The Open Interest file is created in the morning and shows that days starting open interest for all options.
Option Volume
The Option Volume file is created in the morning and shows the previous day's option level volume as reported by OCC.
Option Strike Volume
The Option Strike Volume file is created in the morning and shows the previous day's strike level volume as reported by OPRA.
Option Cleared Volume
The Option Cleared Volume is created in the morning and shows the previous day's option level volume as reported by the OCC.
Received Through Proprietary Symbol Master Processes / Direct Exchange Notices / OCC Announcements. This content allows SMI consumers to receive the final data updates necessary to bridge the Reference data gap to position and risk management systems capabilities.
Expiry Schedule
The Expiry Schedule file shows all active expiration dates and their associated expiration frequencies for all Standardized and FLEX Options.
Series Option Chain
The Series Option Chain file tracks which option symbols belong to each underlying for both standard and adjusted options.
Series Expiry
Customized file that contains a high-level view of what expiration dates are available for each option symbol. This content is used by automated trading consumers to automate the Roll Process for portfolio management purposes.
Series Expiry Deletes
Customized file that tracks when expirations are removed from the Series Expiry file. This content is used by automated trading consumers and market data vendors to automate the Roll Process for portfolio management purposes and the management of Actively traded symbols.
Dividend
Direct Exchange & Enriched
The SMI Dividend file offering shows the most recently declared and officially announced Corporate Action Dividend events including the Ex-Date, Record Date, Pay Date and the dividend amount. Symbol Master currently supports two versions of the SMI Dividend file offering.
Penny Equities
The Penny Equities file is a list of underlying symbols that are in the penny pilot program. This is an end of day file and reflects what symbols were part of the penny pilot program on that day.
The below offerings were created to allow SMI consumers additional insight into the mathematical linkages between the Root Equity Symbol and the industry options analytics.
Symbology DNA
The Symbology DNA output is a mapping file that links the OPRA 5 Character to the Options Symbology Initiative 17 and OCC 21-character codes to the SMI 9-character SDNA key. This file was developed to ensure that legacy systems that use the OPRA Code as the Key Symbol Value to integrate to the Options Symbology the OCC developed as is replacement logic.
SMI is the only vendor who offers this proprietary mapping file.
Volatilities (New June 2023)
The Volatilities file shows Implied Volatilities for each underlying equity symbol. Implied volatility is a metric that captures the market's view of the likelihood of changes in a given security's price. Investors can use it to project future moves and supply and demand, and often employ it to price options contracts.
Implied volatility is not the same as historical volatility, also known as realized volatility or statistical volatility. The historical volatility figure will measure past market changes and their actual results. Currently SMI has 5 years of this historical content available.
Volatilities 30 (New June 2023)
The Volatilities 30 file shows an average implied volatility for each underlying standardized security over a period of 30 days. This covers the expected movement of an underlying security during the front month term contracts. This is used in automated trading algo platforms for position management and trading signal indications.
Greeks (New June 2023)
The Greek’s Analytics file is an end of day file offering containing EOD calculated Greek values for the population of Standardized Options.
GREEKS is a term used in the options market to describe the different dimensions of risk involved in taking an options position. These variables are called GREEKS because they are typically associated with Greek symbols. Each GREEK variable is a result of an imperfect assumption or relationship of the option with another underlying security representing the sensitivity of the price of a derivative such as options to a change in underlying parameters on
which the value of an instrument or portfolio of financial instruments is dependent.