Required Position Specification Format
Rows 4 and higher of the input file are used to specify option positions submitted for compression. Every position record must contain the 11 comma separated tokens with no embedded whitespace specified in the table below.
| Field | Description |
|---|---|
| class | Case sensitive SPX or SPXW. Single-leg non-FLEX options only are supported. |
| expiry | Expiration date in YYYY-MM-DD format. Must be a valid currently listed non-expired SPX or SPXW expiration date. Expired or option positions expiring on the day of submission are not allowed. |
| strike | Option price as a floating point numeric value. Must correspond to the strike price of currently listed option in the specified class and expiry. |
| put_call | Case sensitive P or C. |
| qty | Signed integer contract position where positive integer is a long position and negative integer is a short position. Zero values are accepted but are discouraged as they are currently ignored by the CCS. |
| theo | Non-negative floating point value representing the TPH assessment of the theoretical value of one long contract of the associated option (i.e., contract multiplier of 100 applied). This value is not used for the match data file service. Users of match data file service only will typically provide zeros. Two decimal points of precision are accepted and higher precision inputs are rounded. |
| close_benefit | Non-negative floating point value representing the TPH assessment of the capital requirements benefit resulting from reduction of the position by one contract (long or short). Two decimal points of precision are accepted and higher precision inputs are rounded. Files containing all zero values for close_benefit when the TPH opts-in to multilateral compression will fail validation at upload time, whereas all zero values is accepted for TPHs opting in to match data service only. This value is not used for the match data file service, and users of match data file service only will typically provide zeroes. |
| reserved | Must be null (i.e., consecutive commas) |
| reserved | Must be null (i.e., consecutive commas) |
| cost | Must be null (i.e., consecutive commas) |
| cost_benefit | Must be null (i.e., newline immediately after preceding comma) |