Table of Contents

Special Settlements

NxCore builds the SpecialSettlement "string" based on the exact data located on the Options Clearing Corporation (OCC) for ease in comparison. Since the SpecialSettlement value may not correspond to an NxCore symbol, it is advisable to map to symbol suffixes.

Expiration Dates

In some cases, Special Settlements are only valid for a distinct period of time regardless of contract expiration date. NxCore retains symbols until receiving an explicit delete from the exchange. Typically this is a few days after options expire, but also if a customer notifies us to request a delete. In order to determine whether an option is still trading if there is a difference in the date an option ends trading and the contract expiration date, use Category 27 NxLastTrade to see when the option was last traded.

Underlying Symbology Considerations

Currently in the case of special settles with more than one symbol, the deliverable with the largest share multiplier is selected as the underlying symbol. As of Q3 2015, Nanex has formally requested a modification of the logic to support matching the underlying to the option root if it exists before falling back to the largest percentage in the event the option root cannot be matched to one of the underlying symbols. Until this change is released, it is possible to map the underlying based on option root -> special settle string match, though it does negate the benefit of being able to use the optionHdr -> underlying pointer linkage.