Tick History / Options on Futures / Instrument Codes

A couple of weeks ago we posted a beginners guide to building a Reuters Instrument Code pertaining to Futures contracts. We were prompted to do this due to the sheer number of requests for help which we get from academic members seeking a specific futures contract on the Thomson Reuters Tick History database. As confessed earlier there are some well known shortcomings in the way the database labels individual futures contracts, meaning that novice users often struggle with a string of shortened Futures contract names and acronyms. Well imagine how confused the novice user would get looking for Options on these Futures contracts. Here goes with another basic guide to building a Reuters Instrument Code this time for Options on Futures contracts.

The easiest way to assemble the set of options pertaining to a specific Futures contract is to use the Reuters “chain” command which assembles all subsets of a specific instrument (see the post below), along with a “+”. Here is an example for the Long Gilt Futures contracts listed on LIFFE.

This contract has the stem “FLG”, placing a “0#” before the stem indicates that you wish to “chain” this contract, and then adding a “+” after the stem indicates that you wish to retrieve all options pertaining to this contract. In otherwords enter “0#FLG+” into your Tick History request box.

Remember also that the timeframe you select is important here. Tick History will retrieve any valid option which exists over the time period which you specify, extreme caution therefore if you are searching over multiple months, you will be retrieving a heap of expired options over multiple strike prices, both puts and calls!

Coming back to our example for FLG, if you enter 0#FLG+, the system will helpfully list the relevent underlying Futures contract, and then all live Options on this specific contract for the period which you have specified. For a search covering the period 3Nov2010 to 10Nov2010, the first Futures contract is “FLGH1”, the March 2011 contract (see post below for details). There then follows several dozen individual option contracts representing all the available Option strike prices and expiries (both puts and calls) on this Futures contract. An example is “FLG12300A1”.

Each individual Option has a specific taxonomy, in this case “FLG” represents the stem of the underlying Futures contract, “12300” is the strike price, “A” is the expiry month and put/call identifier for the Option (ie. January Call), and “1” represents the year (ie. 2011). FLG12300A1 is therefore a Call Option on the Long Gilt March 2011 Futures contract, with a strike price of 123.00 and an expiry in January 2011.

The expiry month identifiers differ from the futures expiry month identifiers which you may have read about in the post below. Here is the list for Options contracts:

CALL Options:
January A
February B
March C
April D
May E
June F
July G
August H
September I
October J
November K
December L

PUT Options:
January M
February N
March O
April P
May Q
June R
July S
August T
September U
October V
November W
December X

Thomson Reuters Tick History data fields will help you with the long had of the expiry months and strike prices, along with an explicit put/call identifier, and a link to the underlying contract.

Again, caution about data overload with Options, it will may pay to narrow your search down to options on a specific Futures contract, eg. the March 2011 Long Gilt, rather than asking for options on all current Long Gilt Futures. In this case you would use 0#FLGH1+, instead of 0#FLG+.