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FIXtags

GROUP · SOURCE ID 2274

SecurityRiskMetricGrp

Definition

List of option securities on an underlying with related calculations (e.g. theoretical valuations, implied volatilities, and other hedge statistics).

This is a reusable definition. Requiredness is relative to this structure; its use and conditions in a message remain on that message's page. Version links browse the other dictionary, not an assumed equivalent component.

Direct members

  1. 2995 NoSecurityRiskMetricsGroup countFrom usage
  2. Instrumentcomponent—

    Required when NoSecurityRiskMetrics(2995) > 0.

  3. 811 PriceDeltafield—
  4. 2996 Gammafield—
  5. 2997 Rhofield—
  6. 2998 Thetafield—
  7. 2999 Vegafield—
  8. 44 Pricefield—

    May be used for the theoretical (e.g. option) price of the security.

  9. 132 BidPxfield—

    May be used to specify the security's top of book bid price, if available, used in the metric calculation.

  10. 133 OfferPxfield—

    May be used to specify the security's top of book offer price, if available, used in the metric calculation.

  11. 3000 VolatilityTimefield—
  12. 1188 Volatilityfield—
  13. 3001 BidVolatilityfield—
  14. 3002 OfferVolatilityfield—
  15. 3003 MidVolatilityfield—
  16. RelativeValueGrpgroup—

    May be used for other types of valuation metrics or analytics.

Used in messages

Direct parent structures

No parent component or group in this snapshot.