FLEX

FLEX throughout Documentation Site

Below are listed the various instances throughout the site where FLEX positions are discussed. Some locations have specific sub-sections dedicated to discussing FLEX orders while other locations have it interwoven with the rest of the content matter.

Location	Description
FLEX Positions	How to upload FLEX SOD positions and manage risk for FLEX positions in general.
Live Option Basket Calculator	How to use MLink's option basket calculator with FLEX options or combination FLEX/Listed options.
FLEX in Trade App	How FLEX appears and is used in SpiderRock's Trade application.
FLEX Volatility	How SpiderRock calculates implied volatilities for FLEX options.
FLEX in ATS	How SpiderRock's ATS treats FLEX auction orders.

FLEX Symbology

SpiderRock uses the OIS symbology to describe FLEX orders throughout our system.

Value	Style	Settlement
1	American	AM
2	European	AM
3	American	PM
4	European	PM

For example. a FLEX ticker that appears as “1APPL” will indicate that it is an APPL contract with an American exercise type and an AM settlement.

Note

Asian and Cliquet options are not currently available in the SpiderRock system.

Flex Spread Calculator

The FLEX Spread Calculator is a real-time pricing and greeks calculator for multi-leg FLEX option strategies delivered via the GetFlexSpreadPrice message. Users supply one or more option legs on the same underlying with strike specified in either fixed dollars, percent-of-underlier, or, for at most one leg, a variable strike. When a variable strike leg is supplied, the calculator solves for the strike that would result in an overall spread premium matching the target premium. For each request it returns the aggregate spread premium and Greeks, per-leg premium, greeks, and surface vol, and error reporting at both the spread and leg level.

Input Parameters

General Parameters:

• uPrc: Live underlying price (if not supplied, uses market price)
• fixedPremUPct: Target premium as % of underlying (required if using PctVariable strike; can be negative, 0, or positive)
• incGreeks: Include Greeks calculation (Yes/No)

Leg Definition (repeatable for each leg; underlying ticker must be the same for all legs):

• okey: Option key (OSI format; strike can be zero for variable strike leg)
• side: Buy or Sell
• ratio: Leg ratio (default: 1)
• strikeType: Strike specification type
  • DollarAmt: Fixed dollar strike
  • Percent: Percentage of underlying
  • PctVariable: Variable strike (exactly one leg allowed)
• flexTypeOut: FLEX type decoded from option key

Output Values

Aggregate Spread Results:

• ticker: Underlying ticker (must be same for all legs)
• sprdPrem: Total spread premium ($)
• Spread Greeks: sprdDelta, sprdGamma, sprdTheta, sprdVega, sprdVolga, sprdVanna, sprdRho, sprdPhi
• calcDetail: Calculation details
• error: Overall calculation errors
• timestamp: Calculation timestamp

Per-Leg Calculations:

• vYearsOut: Volatility years to expiry
• dYearsOut: Calendar days to expiry / 365.0
• sdivOut: Continuous dividend yield
• rateOut: Discount rate
• effStrikeOut: Effective strike (implied surface strike if PctVariable)
• sVolOut: Leg surface volatility
• sPrcOut: Leg surface price
• Greeks: deltaOut, gammaOut, thetaOut, vegaOut, volgaOut, vannaOut, rhoOut, phiOut
• errorOut: Per-leg error messages