5.4 Data fields related to option details

This section includes the following fields:

_{M = mandatory; O = optional; - = does not apply; * = conditionally required}

Data Field (32) Option style

This field identifies the option style, usually defined by the dates on which the option may be exercised: American, European, Bermudian, Asian or other style.

An American style option can be exercised anytime during its life allowing option holders to exercise the option at any time prior to and including its maturity date. A European style option can only be exercised at the maturity date. A Bermudian style option can only be exercised on specified dates indicated in the contract.

Reporting parties should refer to financial markets in order to identify the option style they are reporting. The reporting of exotic option styles such as binary, barrier, window options, etc., it should be reported with the value of “O”.

Data Field (33) Option type

This field identifies the type of right the option holder owns, if it is a call option or a put option. “P” shall be indicated if the option is a put option and “C” shall be indicated if the option is a call option. If the option holder owns a type of right different from a put or a call, the value “O” for other shall be reported in this field.

Reporting parties should refer to financial markets in order to identify the option style they are reporting.

Data Field (34) Option first exercise date

This field identifies the first date at which the option holder has the right, but not the obligation, to buy or sell the commodity or the underlying instrument at a specified price using the index indicated in Data Field (37) Option strike index or the price as reported in Data Field (40) Option strike price.

For example, the counterparty to the contract that holds the option may exercise, against the option strike index indicated in Data Field (37), the right to buy or sell the energy commodity from 01/01/2015 to 31/12/2017 (on specific dates or at specific intervals), the market participant shall report 01/01/2015 in this field.

Where the contract has several indexes and where each of them may be used to exercise the right to buy or sell the energy commodity, market participants shall report the first date at which the option can be exercised per each index reported Data Field (37) (option strike index). For example:

1. index ABC may be used to exercise the option from 01/01/2015 to 31/12/2017;

2. index 123 may be used to exercise the option from 01/04/2015 to 31/03/2018; and

3. index XYZ may be used to exercise the option from 01/04/2016 to 31/03/2019.

In this case 01/01/2015, 01/04/2015 and 01/04/2016 shall be reported in this field.  

Data Field (35) Option last exercise date

This field identifies the last date at which the option holder has the right, but not the obligation, to buy or sell the commodity or underlying instrument at a specified price using the index indicated in Data Field (37) Option strike index or the price as reported in Data Field (40) Option strike price.

For example, a counterparty to the contract that holds the option may exercise, against the option strike index indicated in Data Field (37), the right to buy or sell the energy commodity from 01/01/2015 to 31/12/2017 (on specific dates or at specific intervals), the market participant shall report 31/12/2017 in this field.

Where the contract has several indexes and where each of them may be used to exercise the right to buy or sell the energy commodity, market participants shall report the last date at which the option can be exercised per each index reported in Data Field (37) Option strike index. For example:

1. index ABC may be used to exercise the option from 01/01/2015 to 31/12/2017;

2. index 123 may be used to exercise the option from 01/04/2015 to 31/03/2018; and

3. index XYZ may be used to exercise the option from 01/04/2016 to 31/03/2019.

In this case 31/12/2017, 31/03/2018 and 31/03/2019 shall be reported in this field.  

Data Field (36) Option exercise frequency

This field identifies the frequency at which the option holder has the right, but not the obligation, to buy or sell the commodity or underlying instrument at a specified price using the index indicated in Data Field (37) (option strike index) or the price as reported in Data Field (40) (Option strike price).

For example, a counterparty to the contract that holds the option may exercise, against the option strike index indicated in Data Field (37), the right to buy or sell the energy commodity on monthly basis, the market participant shall report “M” in this field. The same applies to the other type of frequencies.

Where the contract has several indexes and where each of them may be used to exercise the right to buy or sell the energy commodity, market participants shall report frequency at which the option can be exercised per each index reported Data Field (37) (option strike index). For example:

1. index ABC may be used to exercise the option from 01/01/2015 to 31/12/2017 on a daily basis;

2. index 123 may be used to exercise the option from 01/04/2015 to 31/03/2018 on a monthly basis; and

3. index XYZ may be used to exercise the option from 01/04/2016 to 31/03/2019 on a weekly basis.

In this case “D”, “M” and “W” shall be reported in this field  

Data Field (37) Option strike index

This field identifies the name of the strike index used in the index option embedded in the contract. Market participants shall report the name of the index in this field.

An index option is a call or put option contract in which the underlying asset is an index of any sort. For example, in a call, a market participant may buy the right to an index on or before the expiration date at a certain strike index.

Some options, both derivatives and non-derivatives, related to physical delivery of gas or electricity are traded on the basis that the option may be exercised against an index or reference price upon its publication.

As the Agency does not intend to publish a list of indexes because most of them are publicly available and can be readily accessed, the Agency recommends that reporting parties use those indexes exactly as advertised by the publisher.

If the index is not public, then market participants should make best efforts to minimise any discrepancy with the other market participant when reporting this information. Market participants may consider using the following convention:

[commodity]-[delivery area]-[delivery period]-[index name]-[publisher name]

1. GAS-NBP-DAYAHEAD-INDEX-PUBLISHERNAME

2. GAS-EU- FRONTMONTH-AVERAGEPRICE-PUBLISHERNAME

3. ELECTRICITY-GERMANY-FRONTMONTH-FUTURE-EXCHANGENAME

  Data Field (38) Option strike index type

This field identifies the type of strike index of the option used in the contract as reported in Data Field (37). For each index, market participants shall specify the type of index.

For example, if the index is a spot price published by an exchange, the “SO” value shall be reported.

If the index is published by a price reporting agency or other publisher and it represents the delivery of the energy commodity during the course of a specific day, week, weekend, month etc., then the “FW” value shall be reported. If the index is a future price published by an exchange, the “FU” value shall be reported.

Where the contract has several indexes and where each of them may be used to exercise the right to buy or sell the energy commodity, market participants shall report the type of index used against which the option can be exercised per each index reported in Data Field (37) Option strike index. For example:

1. the spot price published by Exchange ABC may be used to exercise the option from 01/01/2015 to 31/12/2017;

2. the index value for a forward contract published by Publisher 123 may be used to exercise the option from 01/04/2015 to 31/03/2018; and

3. future price published by Exchange XYZ may be used to exercise the option from 01/04/2016 to 31/03/2019.

In this case “SO”, “FW” and “FU” shall be reported in this field.  

Data Field (39) Option strike index source

This field identifies the source of strike index of the option used in the contract as reported in Data Field (37) Option strike index. For each index, market participants shall specify the source of the index.

For example, if the index is a spot price published by Exchange ABC, the name of the exchange shall be reported. If the index is published by a price reporting agency or other publisher, then the name of the publisher shall be reported.

Where the contract has several indexes and where each of them may be used to exercise the option, market participants shall report the source of each index reported in Data Field (37) Option strike index against which the option can be exercised. For example:

1. the spot price published daily by the Exchange ABC may be used to exercise the option from 01/01/2015 to 31/12/2017;

2. the index value for a forward contract published by Publisher 123 may be used to exercise the option from 01/04/2015 to 31/03/2018; and

3. future price published by the Exchange XYZ may be used to exercise the option from 01/04/2016 to 31/03/2019.

In this case “Exchange ABC”, “Publisher 123” and “Exchange XYZ” shall be reported in this field.  

Data Field (40) Option strike price

This field identifies the price at which the owner of the option can buy (in the case of a call option), or sell (in the case of a put option), the energy commodity (gas or electricity) or the instrument as indicated in the option contract, e.g. future/forward/swap.

This field shall be reported only if the strike price is available. In the case of an option strike index where the strike price is not available, this field should not be blank.

Where the option has several strike prices and where each of them may be used to exercise the right to buy or sell the energy commodity, market participants shall report all the strike prices at which the option can be exercised.