Pricing Codes

Legend

Code

Description

Adjust

Method

Level

STRIKE

Strike price. Also known as exercise price.

Yes

Edit†

O

OPRICE

Option price, as determined by the value set in the OBATE field.

Yes

Edit

O

OBATE

Option price used to calculate Implied Volatility.

Yes

Menu

PUO

UPRICE

Underlying price determined by the value set in the UBATE field.

Yes

Edit

UO

UBATE

The price of the underlying instrument used in pricing model. The price passed to the pricing model is determined by this code.

Yes

Menu

PUO

OPTAUPRICE

Underlying price at the time of an option’s last ask

Yes

Edit

PUO

OPTBUPRICE

Underlying price at the time of an option’s last bid

Yes

Edit

PUO

OPTUPRICE

Underlying price at the time of the most recent option price (bid, ask, or last).

Yes

Edit

PUO

MID

Mid point of bid and ask.

Yes

Edit

O

BASE

Base for certain interest rate futures, where the quoted futures price is derived by subtracting the discount yield from a base.

Yes

Edit

UO

OFFSET

Optional Adjustment to Underlying price. This field is added to UPRICE when pricing an option with a different underlying instrument. Used for pricing the futures options when the contract of one month is used as the underlying of the options on a future of a different month. Also used when valuing index options (OEX) with index futures (SP) used as the underlying. The default value displayed is derived using the put-call-parity relationship. This value only affects the option pricing model when it is locked or when you are using a different underlying than the option’s true underlying in the pricing model.

Yes

Edit

UO