Can anyone explain to me the rhyme or reason behind the ORPA symbology particularly the last letter which represents the strike price. There seems to be a lot of exceptions or inconsistencies specially the odd strikes like 32.5, 47.5, etc. I am going nuts trying to request data using the OPRa due to these inconsistencies. for example the OPRA symbol for AMT June 42.5 call is AMTFZ while the HAL June 42.5 call is HALFV. Why would 1 stock use Z and the other use V for the strike 42.5? Thanks
Our Roman alphabet just does not suffice for consistency in the strike price code. They are working to change the symbology: http://theocc.com/initiatives/symbology/symbology_initiative_v1_3.pdf In the meantime find some comfort in the expiration month code being correct, always, afaik.
Keep one eye on those codes during the third and final phase of leap roll this year. It can be a source of real problems for some guys when the leaps roll from one symbol to another and accordingly need to implement wraps and change some strike codes. I know quite a few MM firms have trouble during leap roll; since The OCC has less than desirable methods for maintaining their database.