End of Day Data File Specifications

Daily Information Sheets

These are the files generated for all Euronext.liffe's daily information sheets. The sheets contain daily high, low, settlement, volume and open interest data, supplied on a ten-day rolling update. Daily information sheets are not available historically in electronic format.

For historical data please visit our Historical Data section.

Access the ten-day rolling data here.

Settlement Prices

These files consist of the traditional settlement price data for all Euronext.liffe (except Amsterdam) contracts (in TXT, CSV and DAT formats).

Please note the settlement prices displayed in the DAT and CSV versions are expressed in ticks, whereas in the TXT they are expressed as decimal prices. Therefore, contracts traded in quarter or half ticks will show doubled or quadrupled values as appropriate. This data is supplied on a ten-day rolling daily update.

For historical data please visit our Historical Data section.

Access to the ten-day rolling data here.

Price Histories

These files consist of the traditional high, low, close, estimated volume, previous day's volume and previous day's open interest data for 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, and is supplied on a ten-day rolling daily update, along with full file specifications in text format. The full file specifications in text format are available via the links below:

	Financial Futures
	Financial Options
	Equity Options and Universal Stock Futures
	Index Options
	Commodity Futures
	Commodity Options

For historical data please visit our Historical Data section.

Access to the ten-day rolling data here.

SPAN Version 4

Initial Margin is collected by LCH.Clearnet Limited to cover potential losses that may arise because of price moves if LCH.Clearnet Limited has to close out a defaulting member's position.

SPAN (Standard Portfolio ANalysis of risk) is a method of calculating initial margin by evaluating portfolio risk under a number of scenarios. It was originally developed by the Chicago Mercantile Exchange.

SPAN4® has no impact either on the methods of settlement of contracts (i.e. variation margins) or on the methods employed by clearing members to cover their liabilities.

File specifications for SPAN are available on LCH.Clearnet Limited site (http://www.lchclearnet.com/risk_management/ltd/risk_specifications.asp). Click on "SPAN Version 4 Parameter File Format" for further information. For technical information click on "SPAN Version 4 TIP".