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Sample Search: Give the implied volatility for a call option for Rolls-Royce for November 1997 at 280 from March 10, 1997 to April 10, 1997 on a daily basis.

Finding the Code:

Step 1

Options codes are constructed by combining the class code of the item being bought, the expiration date, the exercise price, and either C (for call) or P (for put). To find the class code for Rolls-Royce, click on the "Code" button that appears in the upper left hand side of the main program window. In the new program window, select the codes category Futures/ Options in the left portion of the screen. Then select to search Options exclusively by clicking on the word Options in the right side of the program window. In the "Find" area in the new program window, type Rolls-Royce. The item, Rolls-Royce, will appear in the lower section of the window, along with its associated codes. The class code for Rolls-Royce is RR. This is the first part of our code. The second part, the expiry date, is appended to the 2-letter class code in the form MMYY, giving RR1197. The exercise price is then added, along with a C, for call, to give you RR1197280C. This is the code for your desired option. If you had not yet known a feasible exercise price for a particular class of options, you could have produced a summary report for the options class code you wish, giving volume and premiums for options according to their exercise price.

Finding the Program:

Step 1

Options may be searched as time series. Implied volatility is the default data type of options series. To find the implied volatilities for an option for a series of days, select the request type, Time Series. Next, select the data type, Options, and choose the first of the programs listed under these headings.

Step 2

In the resulting new program window, enter the code for your option, pressing tab to skip to the lines below. Next, enter the frequency of data required, D, for daily, followed by start and end dates. Press enter; the implied volatility of your option should appear in calendar format. If you entered any parameters incorrectly the program will pause, describe the error, and allow you to enter each parameter again.

Things to Remember:

The search described above allows you to find information on an option for a specific date. To see data for performance of options on an index or equity over time you must use a code for that continuous series. Codes of this type are constructed:
CLASS + C.SERIES + C (call) or P (put)

For example, the continuous series code for calls on the FTSE100 would be LSXC.SERIESC.

The only datatypes consistently available for an options continuous series are volume (VM), open interest (OI), and implied volatility (VI). (Implied volatility is also the default.) Settlement price of the single option closest to At The Money (OM) and underlying price of option (OU) are also frequently available. A complete list of datatypes can be found using HELP TOCD? and then selecting Summary of Options Datatypes (item 15), however most of the datatypes listed there are not available for most options. Check HELP TOCD? for the latest coverage of which nations, exchanges, and options are included.

Retrieving a List of Options:

Options list codes are constructed by combining the prefix LOPT (for List of OPTions), the class code of the item being bought, and two suffixes: first L (for live) or D (for dead), then C (for call) or P (for put). For instance, let's say you want to find the list of dead call options for Lufthansa. The first step is to find Lufthansa's class code. As above, click on the Code button in the main program window. Select Options from the drop-down menu. Now you can either scroll down to find Lufthansa alphabetically, or type the first few letters of the name Lufthansa in the Find box. You find that Lufthansa's class code is LHA. Therefore, the code for the list of options you require will be LOPT + LHA + D + C, giving you LOPTLHADC. Finding the program:

Now that you have the code, you are ready to move on to the next step. To retrieve your list, you will be using the LIST900A macro. Select the item Edit Macro from the Macro menu in Datastream. Choose LIST900A. There are a number of items you can modify in this macro. In the first and fourth line, you may change the name of the LST file (this is recommended, but not required). You may change it as you like, but make sure the names in the first and fourth line match. For example, if it is GQD.LST, you may name it LHA.LST. Remember, commas and spacing are important and should not be modified. Next, enter the code you've constructed in the second line. The line should now read:


Now you will want to determine the file where your data will be saved. In line eight, you can change the drive, path, and filename of the target. Do not change the extension .CSV. In this case, you may wish to save the file to the temp directory, and name it LUFT.CSV, so the line should read:


The last customization you can make is in the tenth line. Select the dates you wish to retrieve values for, and the frequency (D for daily, W for weekly, M for monthly, Q for quarterly, Y for yearly). For example, if you want to get the options between March 4, 2009 and December 3, 2010, at a monthly frequency, the line should read:

SEND( "900B"+ CODE + ",3-4-2009,12-3-2010,M")

You can also modify the datatype, in the same line. Available datatypes can be found by typing HELP TOCD? in the main program window and then selecting item 15, Summary of Options Datatypes. For example, if you want to retrieve values for open interest options, the line should read:

SEND( "900B"+ CODE + "(OI),3-4-2009,12-3-2010,M")

When you've finished editing the macro, select Save from the File menu. Then go back to Datastream and select LIST900A from the Macro menu. If the macro finishes running successfully, your data will be saved at the location you specified, and can be opened using Excel.