EP051 – Option Pricing Parameters

This proposal adds optional option-model inputs to an Execution Report Fill Notice. Professional options traders require the underlying price, strike, put/call status, volatility, risk-free rate, time to expiration and option delta to understand or reproduce the theoretical option value associated with an execution.

FIX already carried some of those inputs, but it lacked standard fields for volatility, time to expiration and risk-free rate. The proposal adds those three fields and renames PriceDelta(811) to OptionDelta. It specifies how the values should be represented so that the recipient can put them directly into an option-pricing calculation without needing additional assumptions about percentage scaling or the number of days in a year.