OCC offers an end of day price file which provides the mark price and underlying price for all option series and futures contacts cleared by OCC. The file includes the following information:
- Call/Put Indicator
- Exercise Style (American, European)
- Classification (Equity, Index, Future)
- Expiration Information
- Strike Information
- Mark Price
- Underlying Price
- Price Delta
The data is available nightly at approximately 8:00 pm CT.
Record layouts are available in the ENCORE DDS Guide - Developer Reference Non-Proprietary Transmissions. The data is in a FIXML format.
Please note that these samples are for reference purposes only and do not include complete data.
OCC uses SFTP for the transfer of data. SFTP is the SSH File Transfer Protocol. SFTP allows for secure, encrypted, compressible file transfers over any reliable network.
The fee to receive the prices file is $3,000 per month for distribution for non-clearing members.
For further information please contact 1-800-621-6072 or email firstname.lastname@example.org.