80,000 New Options Time Series on Datastream

Publish date: September, 2012 New options offering on Datastream totals over 80,000 time series, each with multiple timeframes. Options Moneyness Datastream now offers options time series across the volatility surface by Moneyness. Available for each option class is 9 time series with moneyness from 80% 120% in 5% intervals. Each moneyness series has been calculated with interpolated constant maturities of 1, 2, 3, 6, 9 and 12 months minimum for equities and other asset types and with additional index classes calculated with 2, 3, 4, 5 year constant maturities. This release consists of approximately 30,000 time series, with histories for most options classes commencing in June 2008. Longer histories are available for high volume index options going back approximately 5 years. In order to retrieve these new moneyness series the option mnemonic is composed of the options class + moneyness prefix, hence the S&P 500 options with class SPX will have the mnemonic SPXMONEY90 for a 90% Moneyness series. Mnemonic Prefix MONEY80 S&P 500 Options SPXMONEY80

Name Definition 80% Implied volatility of out of MONEYNESS the money PUT options at 80% of underlying 85% Implied volatility of out of MONEYNESS the money PUT options at 85% of underlying 90% Implied volatility of out of MONEYNESS the money PUT options at 90% of underlying 95% Implied volatility of out of MONEYNESS the money PUT options at 95% of underlying 100% Implied volatility at the MONEYNESS money CALL & PUT options (mid value) 105% Implied volatility of out of MONEYNESS the money CALL options at 105% of underlying

MONEY85

SPXMONEY85

MONEY90

SPXMONEY90

MONEY95

SPXMONEY95

MONEY100

SPXMONEY100

MONEY105

SPXMONEY105

110% Implied volatility of out of MONEY110 MONEYNESS the money CALL options at 110% of underlying 115% Implied volatility of out of MONEY115 MONEYNESS the money CALL options at 115% of underlying 120% Implied volatility of out of MONEY120 MONEYNESS the money CALL options at 120% of underlying

SPXMONEY110

SPXMONEY115

SPXMONEY120

Below is the S&P 500 and DAX skew curves using the relevant Moneyness series with a 1 month constant maturity for data related to the close of 2nd August 2012.

For each maturity there is also a volume and open interest liquidity factor, these values are interpolated by using the individual strikes at the moneyness % level, for example, if strikes for 90% moneyness series consist of interpolation of 150 and 160 puts then these liquidity factors are based on those same strikes. Interpolation is always done by both maturity and strikes. Histories for the volume and open interest factors are available from October, 2011. Lastly the OU datatype will display the moneyness series underlying price or referred to as the theoretical strike price, hence if S&P 500 index closed at 1400, the 90% moneyness OU value would equate to 1260. Histories are available from April 2010 for this data attribute.

The relevant datatypes for each moneyness series are as follows: Datatype Definition O1 Implied Volatility 1 Month Constant Maturity O2 Implied Volatility 2 Month Constant Maturity O3 Implied Volatility 3 Month Constant Maturity O6 Implied Volatility 6 Month Constant Maturity ON Implied Volatility 9 Month Constant Maturity OY Implied Volatility 1 Year Constant Maturity I2 Implied Volatility 2 Year Constant Maturity I3 Implied Volatility 3 Year Constant Maturity I4 Implied Volatility 4 Year Constant Maturity I5 Implied Volatility 5 Year Constant Maturity U1 Volume Liquidity Factor 1 Month Constant Maturity U2 Volume Liquidity Factor 2 Month Constant Maturity U3 Volume Liquidity Factor 3 Month Constant Maturity U6 Volume Liquidity Factor 6 Month Constant Maturity UN Volume Liquidity Factor 9 Month Constant Maturity UQ Volume Liquidity Factor 1 Year Constant Maturity US Volume Liquidity Factor 2 Year Constant Maturity UT Volume Liquidity Factor 3 Year Constant Maturity U4 Volume Liquidity Factor 4 Year Constant Maturity U5 Volume Liquidity Factor 5 Year Constant Maturity

G1 G2 G3 G6 GN GQ GS GT G4 G5 OU

Open Interest Factor 1 Month Constant Maturity Open Interest Factor 2 Month Constant Maturity Open Interest Factor 3 Month Constant Maturity Open Interest Factor 6 Month Constant Maturity Open Interest Factor 9 Month Constant Maturity Open Interest Factor 1 Year Constant Maturity Open Interest Factor 2 Year Constant Maturity Open Interest Factor 3 Year Constant Maturity Open Interest Factor 4 Year Constant Maturity Open Interest Factor 5 Year Constant Maturity Underlying Price of Moneyness series/Theoretical Strike Price

Options DELTAS Datastream now offers options time series across the volatility surface by Deltas. Available for each option class is 17 time series with moneyness from Delta 10 45 in 5 delta intervals for both calls and puts plus Delta ATM. Each Delta series has been calculated with interpolated constant maturities of 1, 2, 3, 6, 9 and 12 months. In some cases up to 5 years constant maturities have been calculated. The constant maturities datatypes are identical to those for the Moneyness series. Histories for these new series commences from June 2008. In total approximately 50,000 new Delta series are now available.

In order to retrieve these new series the option mnemonic is options class + mnemonic prefix, hence the S&P 500 options with class SPX for a Delta 15 Call will have the mnemonic SPXDELTA15C. Mnemonic Prefix DELTA10C DELTA15C DELTA20C DELTA25C DELTA30C DELTA35C DELTA40C DELTA45C

Name DELTA 10 CALL DELTA 15 CALL DELTA 20 CALL DELTA 25 CALL DELTA 30 CALL DELTA 35 CALL DELTA 40 CALL DELTA 45 CALL DELTA ATM CALL DELTA 45 PUT DELTA 40 PUT DELTA 35 PUT DELTA 30 PUT DELTA 25 PUT DELTA 20 PUT DELTA 15 PUT DELTA 10 PUT

Definition Implied Volatility at the Delta 10 Call Implied Volatility at the Delta 15 Call Implied Volatility at the Delta 20 Call Implied Volatility at the Delta 25 Call Implied Volatility at the Delta 30 Call Implied Volatility at the Delta 35 Call Implied Volatility at the Delta 40 Call Implied Volatility at the Delta 45 Call Implied Volatility at the Delta 50 (mid calls/puts) Implied Volatility at the Delta 45 Put Implied Volatility at the Delta 40 Put Implied Volatility at the Delta 35 Put Implied Volatility at the Delta 30 Put Implied Volatility at the Delta 25 Put Implied Volatility at the Delta 20 Put Implied Volatility at the Delta 15 Put Implied Volatility at the Delta 10 Put

S&P 500 Options SPXDELTA10C SPXDELTA15C SPXDELTA20C SPXDELTA25C SPXDELTA30C SPXDELTA35C SPXDELTA40C SPXDELTA45C

DELTAATM SPXDELTAATM DELTA45P DELTA40P DELTA35P DELTA30P DELTA25P DELTA20P DELTA15P DELTA10P SPXDELTA45P SPXDELTA40P SPXDELTA35P SPXDELTA30P SPXDELTA25P SPXDELTA20P SPXDELTA15P SPXDELTA10P

Datatypes available on Delta series: Datatype O1 O2 O3 O6 ON OY I2 I3 I4 I5 Definition 1 Month Constant Maturity 2 Month Constant Maturity 3 Month Constant Maturity 6 Month Constant Maturity 9 Month Constant Maturity 1 Year Constant Maturity 2 Year Constant Maturity 3 Year Constant Maturity 4 Year Constant Maturity 5 Year Constant Maturity

Options Continuous Series Maturities Expansion Expansion of options continuous series maturities from the existing 1, 3 and 6 months constant maturities to include now 2, 9 and 12 months across all options classes, for some classes maturities can go up to 5 years. Histories for these new series commences from June 2008. Implied Volatility and associated datatypes on the options continuous series are summarised as follows:

Datatype Definition O1 Implied Volatility At The Money 1 Month Constant Maturity O2 Implied Volatility At The Money 2 Month Constant Maturity O3 Implied Volatility At The Money 3 Month Constant Maturity O6 Implied Volatility At The Money 6 Month Constant Maturity ON Implied Volatility At The Money 9 Month Constant Maturity OY Implied Volatility At The Money 1 Year Constant Maturity I2 Implied Volatility At The Money 2 Year Constant Maturity I3 Implied Volatility At The Money 3 Year Constant Maturity I4 Implied Volatility At The Money 4 Year Constant Maturity I5 Implied Volatility At The Money 5 Year Constant Maturity Implied Volatility At The Money nearest month Interpolated VI default datatype OV Implied Volatility At The Money Strike VX Implied Volatility nearest month trade weighted by volume OU Underlying price of options class OS Strike Price At the Money OM Option Price related to OS datatype nearest month