SPAN® Risk Parameter File - Paris Expanded Format

Type "8" Records

Risk Arrays

Type "81" record - First Physical record - Paris Expanded Format

Length From To Datatype Format Description and Comments
2 1 2 AN X(2) Record ID - "81"
3 3 5 AN X(3) Exchange Acronym
12 6 17 AN X(12) Commodity (Product) Code
12 18 29 AN X(12) Underlying Commodity (Product) Code
5 30 34 AN X(5) Product Type Code
1 35 35 AN X Option Right Code - for an option only: P for Put or C for Call
6 36 41 N 9(6) Futures Contract Month as CCYYMM
2 42 43 AN X(2) Futures Contract Day or Week Code
1 44 44 - - Filler
6 45 50 N 9(6) Option Contract Month as CCYYMM
2 51 52 AN X(2) Option Contract Day or Week Code
1 53 53 - - Filler
14 54 67 N 9(14) Option Strike Price
1 68 68 N 9 Strike Decimal Locator
1 69 69 N 9 Array Value Decimal Locator
8 70 77 N 9(8) Array Value 1: Futures No Change / Volatility Up1
1 78 78 AN X Sign for Array Value 1 ("+" or "-")
8 79 86 N 9(8) Array Value 2: Futures No Change / Volatility Down
1 87 87 AN X Sign for Array Value 2 ("+" or "-")
8 88 95 N 9(8) Array Value 3: Futures Up 1/3 / Volatility Up
1 96 96 AN X Sign for Array Value 3 ("+" or "-")
8 97 104 N 9(8) Array Value 4: Futures Up 1/3 / Volatility Down
1 105 105 AN X Sign for Array Value 4 ("+" or "-")
8 106 113 N 9(8) Array Value 5: Futures Down 1/3 / Volatility Up
1 114 114 AN X Sign for Array Value 5 ("+" or "-")
8 115 122 N 9(8) Array Value 6: Futures Down 1/3 / Volatility Down
1 123 123 AN X Sign for Array Value 6 ("+" or "-")
8 124 131 N 9(8) Array Value 7: Futures Up 2/3 / Volatility Up
1 132 132 AN X Sign for Array Value 7 ("+" or "-")

Type "82" record - Second Physical record - Paris Expanded Format

Length From To Datatype Format Description and Comments
2 1 2 AN X(2) Record ID - "82"
3 3 5 AN X(3) Exchange Acronym
12 6 17 AN X(12) Commodity (Product) Code
12 18 29 AN X(12) Underlying Commodity (Product) Code
5 30 34 AN X(5) Product Type Code
1 35 35 AN X Option Right Code - for an option only: P for Put or C for Call
6 36 41 N 9(6) Futures Contract Month as CCYYMM
2 42 43 AN X(2) Futures Contract Day or Week Code
1 44 44 - - Filler
6 45 50 N 9(6) Option Contract Month as CCYYMM
2 51 52 AN X(2) Option Contract Day or Week Code
1 53 53 - - Filler
14 54 67 N 9(14) Option Strike Price
1 68 68 N 9 Strike Decimal Locator
1 69 69 N 9 Array Value Decimal Locator
8 70 77 N 9(8) Array Value 8: Futures Up 2/3 / Volatility Down
1 78 78 AN X Sign for Array Value 8 ("+" or "-")
8 79 86 N 9(8) Array Value 9: Futures Down 2/3 / Volatility Up
1 87 87 AN X Sign for Array Value 9 ("+" or "-")
8 88 95 N 9(8) Array Value 10: Futures Down 2/3 / Volatility Down
1 96 96 AN X Sign for Array Value 10 ("+" or "-")
8 97 104 N 9(8) Array Value 11: Futures Up 3/3 / Volatility Up
1 105 105 AN X Sign for Array Value 11 ("+" or "-")
8 106 113 N 9(8) Array Value 12: Futures Up 3/3 / Volatility Down
1 114 114 AN X Sign for Array Value 12 ("+" or "-")
8 115 122 N 9(8) Array Value 13: Futures Down 3/3 / Volatility Up
1 123 123 AN X Sign for Array Value 13 ("+" or "-")
8 124 131 N 9(8) Array Value 14: Futures Down 3/3 / Volatility Down
1 132 132 AN X Sign for Array Value 14 ("+" or "-")

Type "83" record - Third Physical record - Paris Expanded Format

Length From To Datatype Format Description and Comments
2 1 2 AN X(2) Record ID - "83"
3 3 5 AN X(3) Exchange Acronym
12 6 17 AN X(12) Commodity (Product) Code
12 18 29 AN X(12) Underlying Commodity (Product) Code
5 30 34 AN X(5) Product Type Code
1 35 35 AN X Option Right Code - for an option only: P for Put or C for Call
6 36 41 N 9(6) Futures Contract Month as CCYYMM
2 42 43 AN X(2) Futures Contract Day or Week Code
1 44 44 - - Filler
6 45 50 N 9(6) Option Contract Month as CCYYMM
2 51 52 AN X(2) Option Contract Day or Week Code
1 53 53 - - Filler
14 54 67 N 9(14) Option Strike Price
1 68 68 N 9 Strike Decimal Locator
1 69 69 N 9 Array Value Decimal Locator
8 70 77 N 9(8) Array Value 15: Futures Up Extreme - Cover Fraction
1 78 78 AN X Sign for Array Value 15 ("+" or "-")
8 79 86 N 9(8) Array Value 16: Futures Down Extreme - Cover Fraction
1 87 87 AN X Sign for Array Value 16 ("+" or "-")
5 88 92 N 9(5) Composite Delta
1 93 93 AN X Sign for Composite Delta ("+" or "-")
1 94 94 N 9 Composite Delta Decimal Locator
8 95 102 N 9(8) Implied Volatility as decimal fraction
1 103 103 N 9 Implied Volatility Decimal Locator
14 104 117 N 9(14) Settlement Price
1 118 118 AN X Sign for Settlement Price (blank, "+" or "-")
1 119 119 N 9 Settlement Price Decimal Locator
11 120 130 N 9(11) Contract Value Factor (Multiplier)
1 131 131 N 9 Contract Value Factor Decimal Locator
1 132 132 - - Filler

Notes:

  1. By convention, a positive risk array value represents a loss for a single long position, and a negative risk array value represents a gain for a single long position. "Long" in this context means long the instrument, not the market; a long put is a long position.