TCCM - F&O/CFD Instruments
What is
TCCM is the codes maintenance program for any instrument that is traded in the style of Futures, Options, CFDs etc
The TCCM database is corporate i.e. all codes are available to all operating companies on the server/database instance, however you can restrict the individual codes for local company use by use of the corporate and company ‘active flag’.
TCCM is used for creating, amending and deleting the codes. The main details needed are to describe the instruments regulations and trading parameters e.g. the exchange responsible, currency, the permissible trading dates, rates, deposit calculation methods, price collection methods. To locate these details, use the Internet/Google to find the Market conditions especially the more esoteric sites DCE ( - ), TGE (), SICOM (). These sites usually also explain where to locate/download current Settlement prices (TPRICE), which are essential to the successful operation of F&O.
The codes not only represent the instrument in ITAS, but also, when a Company is operating F&O dual entry, will need to link Nominal Ledger accounts for automated settlement/premium postings and market prices, off-the-board dates etc.
Hivedome will supply a sample of existing instruments from various exchanges and you can activate them for your use and rename them to your own coding prior to live operations. If you rename a code after that code has been used in TERM, PHYSCODES etc, TCCM will attempt to sweep/change all the references in all the company tables to the new code. However some table items might be excluded, due to their late inclusion in ITAS, so be aware.
TERM has a feature for amending the current trades with the latest available TCCM static details, especially useful for where a conversion factor for price to value has been setup incorrectly.
For all the ITAS Entities on the server site, there is only ONE representation of the instrument with its unique name, i.e. all the companies will use the same descriptive code. A copy can be made for OTC trading where the underlying Market Prices are also applied. The important condition to complete is that the Off-the-Board (OTB) and Ticker (3rd Party codes) data must be the same on all replications of a TCCM code.
Deposit Calculation Methods
There are 3 methods available in ITAS (see rates page of TCCM);
a) Standard, uses rate per lot as specified in table in TCCM/rates page
b) Span (Standard Portfolio Analysis of Risk) calculations as applied by numerous Exchanges & Clearing houses world wide
c) CBOE style with specific algorithms and factors maintained per instrument.
CBOE Margin Calculation
Margin depends on the position, Underlying security, whether the option is a call or put, and whether or not the position is part of a spread. (N.B. Different calculations will be done depending on the type of spread -
Put Spread, Call Spread, Butterfly Spread, Box Spread etc.
| Position | Margin Requirement | Example (Conversion factor = 100) |
| Long Options | No Margin Requirement | |
| Short Options | 15% of the underlying index value less the out-of-the-money amount, if any, to a minimum of 10% of underlying index value for calls; 10% of the put exercise price for puts N.B. Equity options 20% of the underlying security value Interest Rate Options 10% of underlying and minimum of 5% (These percentages are maintained in TCCM) | In the Money -1 Nov 430 call @ 8.75 underlying index at 433.35 15% * 100 * 433.35= 6500.25 Out of the money -1 Oct 410 put at 1.25 underlying index at 445.35 15% * 100 * 445.35= 6680.25 (445.35 - 410) * 100 = (3535.00) 3157.75 minimum : 10% * 100 * 410 = 4100.00 Margin Call = $4100 |
| Standard Spreads | The amount by which the Long put (short call) is below the short put or (long call) | +1 Dec 425 put @ 6.375 -1 Dec 430 put @ 7.875 Margin Call : (100 * (430 - 425) ) = 500 |
| Long Box Spreads long call and short put with the same exercise price (“buy side”) coupled with a long put and short call with the same exercise price (“sell side”); buy side exercise price is lower than the sell side exercise price | 50% of the aggregate difference in exercise prices | Long 1 Nov 535 call at 19-3/8 Short 1 Nov 545 call at 12-1/4 Long 1 Nov 545 put at 5-3/8 Short 1 Nov 535 put at 3 Underlying at 550 Margin Calculation: [(545 - 535) x 100] x 50% = $500.00) Margin Requirement: $500.00) |
| Short Box Spreads long call and short put with the same exercise price (“buy side”) coupled with a long put and short call with the same exercise price (“sell side”); buy side exercise price is higher than the sell side exercise price | aggregate difference in exercise prices | -1 Nov 535 call at 19-3/8 +1 Nov 545 call at 12-1/4 -1 Nov 545 put at 5-3/8 +1 Nov 535 put at 3 Underlying at 550 Margin Calculation: (545 - 535) x 100 = $1,000.00) Margin Requirement: $1,000.00) |
| Long Butterfly Spreads two short options of the same series offset by one long option of the same type with a higher strike price and one long option of the same type with a lower strike price all component options have the same expiry date. intervals between exercise prices are equal | No Margin Requirement | Long 1 Nov 545 call at 12-1/4 Short 2 Nov 550 calls at 8-3/4 Long 1 Nov 555 call at 6 Underlying at 550 |
| Short Butterfly Spreads two long options of the same series offset by one short option of the same type with a higher strike price and one short option of the same type with a lower strike price all component options have the same expiration intervals between exercise prices are equal | Puts The amount of the aggregate difference between the two highest exercise prices or Calls The aggregate difference between the two lowest exercise prices. | -1 Nov 535 call at 19-3/8 +1 Nov 545 call at 12-1/4 -1 Nov 545 put at 5-3/8 +1 Nov 535 put at 3 Underlying at 550 (545 - 535) x 100 = $1,000.00) Margin Requirement: $1,000.00) |
Tab Contents
Main: Information regarding deliverable months and number of forward trading months are held in this tab. Additionally, several details regarding the way in which the commodity is quoted/transacted are included (e.g. currency, lot size, interest type, span code etc). The Weight and Price codes must be setup in PHYSCODES for any company that will be using the TCCM instrument for Physcials Pricing and Valautions.
N/L Accounts: Information regarding the company accounts that are used by Terminal trading are held in this tab. These accounts include the Timing Suspense A/c, Options Timing Suspense A/c, Commissions A/c, Fees A/c and Default Broker A/c. These details are only needed if the company is operating dual entry and needs to use different accounts to the Company Standards.
Rates: It is most important is to establish the Deposit Method. This tab also holds the commission rates for trading. Separate rates for Futures and Options are kept as for normal and day trades, a house rate can also be specified. These details are applied in the following sequence
Use Company standard (S01)
Use TCCM standard if available
Use CLI/Currency oriented standard
Use CLI/Commodity/instrument override
Spot Futures: Current Futures prices per deliverable month as maintained in TPRICE and external price feeds.
Off the board: Off the board information i.e. day of the week, number of months before delivery, movements of working days etc. are held for futures, options and tenders separately. This tab has the additional feature to automatically calculate the dates that the nearest prompt months will be off-the-board. There is a complementary grid of month/type/date to provide override expiry dates, if the calculation routine is NOT producing the correct expiry dates.
3rd party codes. This tab contains details for interfacing with external sources e.g. Ticker code to locate instrument on major websites e.g. CME, IPE, LME.
Other codes are SFA reporting, price feed, instrument type (especially important when setup an Index style product)
Tool bar features
Span Arrays: Span array details (collected from market web sites on a daily frequency) are viewed. There is a feature in SPAN_NOW that will list the different products that the website reports each night, irrespective of whether they are being used in ITAS. CLI/Net Equity/Span Workings will provide the full detail of how a trading position calculates its' Initial Margin/Deposit using the current Span Arrays.
Report: Simple listing of Instruments , can filter by Exchange