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[ ] CommodityOption Physical Discussion with Samples
[ ] Strategies Discussion Continued
Discussion Points
[ ] In view of Physical European Options, the group walked through a number of physical commodity contract scenarios to gain a view of the nuances that exist between each of the different sub-products that exist. In order to be able to support physical aspect of the Commodities use case the group talked through the potential creation of a physicalPayout that could be underlying to the OptionPayout itself. Additionally it was identified the existing product support for Commodities within the ISDA CDM only covers floating/benchmark Commodities and additional build would be need to define the physical product. With this considered as well as the understanding of the depth that would need to be analyzed for physical commodities, the group agreed that it would not be covered through the scope of this Working Group.
[ ] On the topic of Strategies, the group agreed that it would define some high level fundamentals that could be fed back into the ISDA ARC for consideration, rather than targeting any specific changes to the model. Reasoning behind this is that it has been identified that minimal uplift would be required to support Option Strategies and a more conceptual view needs to be defined in terms of how the model should be used.
[ ] After walking through a number of Option Strategy use cases, the group reached agreement that strategies that contain multiple put/call derivative components should be captured through a single TradableProduct with multiple OptionPayout components. Also agreed was that there is no strong arguments for defining strategies themselves (e.g. Strategy Name) given this would require information around ITM/OTM & also can be open for interpretation.
[ ] 'Covered' Option scenarios where there is a security component of the strategy would not currently be supported though could potentially be handled through a minor adjustment of cardinality within TradableProduct.
[ ] Working Group have now tackled the 3 objectives that it set out at the beginning; Asian Options, Vanilla European Options & Option Strategies. Summary mail will be sent out of what have been achieved for each deliverable & meeting series will be ended unless any members have additional items to raise. Ad-hoc session may be scheduled depending on ISDA ARC feedback on Asian Option proposal.
Date
Thursday, 06 05 2021 - 11am ET / 4pm GMT
Untracked attendees
Meeting notices
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FINOS meetings involve participation by industry competitors, and it is the intention of FINOS and the Linux Foundation to conduct all of its activities in accordance with applicable antitrust and competition laws. It is therefore extremely important that attendees adhere to meeting agendas, and be aware of, and not participate in, any activities that are prohibited under applicable US state, federal or foreign antitrust and competition laws. Please contact legal@finos.org with any questions.
FINOS project meetings may be recorded for use solely by the FINOS team for administration purposes. In very limited instances, and with explicit approval, recordings may be made more widely available.
Agenda
Discussion Points
WebEx info