Expiry Dates: Formats

 

To view a sample file in Excel, click here.

This layout is called Per-Event. The sample contains data for March 2010 for four contracts. There is one row for each expiry-related event.

The first column contains the Swaps Monitor-assigned five-letter code for the contract (CMEAO = CME AUD/USD American Options, ERXDX = Eurex DAX Futures, IPENG = ICE UK Natural Gas Futures and SYFTB = ASX 24 10 Year Commonwealth Treasury Bond Futures). The second column contains an identifier for the nature of the event (LTDT = Last Trade Date, FDED = First Delivery Date, etc). The supporting files provide further information about each of these codes.

The third column contains a standardized identifier for each event, with additional characters for options. The fourth and fifth columns contain identifiers assigned by the exchange that trades the contract.

Columns six and eight contain the date and, if applicable, the time at which the event occurs, with column six expressed in the local time of the exchange and column eight in a common standard (London time, in this example). Columns seven and nine contain the date and time when the contract was first traded, in local and London time respectively.

For example, the first row shows that the Last Trade Date for the March 2010 ICE Natural Gas Futures was February 25, 2010 at 17:00 local time. This contract was first available for trading at 7:00 local time on August 29, 2008.

We offer a vast number of variations on this layout. To discuss the available options, please contact us.
Formats

We can deliver the data as csv, txt or xls, or with customized delimiters. Please note that the actual layout that you receive will differ from the above sample: You may select a different set of contracts; a longer window of time; or a different destination city for the time zone conversion.

Supporting files

You will receive a number of supporting files, including several lookup tables and full technical specifications. The layout of the lookup tables is standardized.