Price History File Specifications

Equity Options and Universal Stock Futures

These files consist of the traditional high, low, close, LIFFE CONNECT® volume, yesterday's official volume and yesterdays open interest data on all Euronext.liffe (except Amsterdam) contracts. This data is used for the maintenance of financial models, generally by the fundamental trader who may not wish to view data intra-day.

This data is also supplied on a ten-day rolling daily update.

For historical price histories on Euronext.liffe futures, please visit our Historical Data section.

File format

From left to right column headings are:

Trading date, commodity (TRS contract code), expiry, contract type, exercise price, volume, previous day's volume, previous day's open interest, opening transaction, blank column 1, blank column 2, daily high, daily low, settlement price, instrument settlement price, implied volatility (equity options only), ATM (at-the-money) volatility (equity options only)

Commodity (TRS contract code)

Exchange code identifying the contract displayed.

 

Expiry

Month in which the contract legally expires (exact date depends on contract specification).

 

Contract type

C, P or F (Call, Put or Future).

 

LIFFE CONNECT® Volume

Total matched trades.

 

Open interest

The number of outstanding 'longs' or 'shorts' for a given contract.

 

Daily high, daily low

The highest and lowest traded prices during the day.

 

Settlement price

Weighted average of traded prices in the last 30 seconds of trading. If there is no trading in the contract month the analyst will look at the last bid & offer prices and take the average of these - in this case the contract can settle outside the high/low range.

 

Instrument settlement price

4:10pm value of the underlying contract.

 

Implied volatility

Calculated using the Black 76 model.

 

A-T-M volatility

A linear interpolation of two implied volatilities, generated by the exercise prices either side of the underlying contract settlement price.

 

Closing bid, closing offer

Last bid and offer in the marketplace before settlement.

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