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saji.antony avatar image
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Exchange Delivery Settlement Price

Hello,

For pricing some derivatives with index as underlier, we need a instrument price, what is termed as 'EDSP'. An explanation I got from internet is provided below:

"For US stock indices, the CME uses a special opening quotation on the last trading day. The special opening quotation may take time to calculate because not all stocks quote opening prices at exactly the same time. Positions are then settled against the special opening quotation. This number may be available up to 30 minutes after opening, or longer.

Note that the opening index price on the last trading day may differ from the special opening price used for contract delivery. This is because the index, which must quote from open, will use the last quote of a stock if that stock still hasn’t opened.

https://www.cmcmarkets.com/en-gb/trading-guides/what-is-exchange-delivery-settlement-price "

What Reuters TREP field(s) can we use to get EDSP (Price) ?

Thank you,

Saji Antony

elektronrefinitiv-realtimetrepsettlement
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Jirapongse avatar image   Jirapongse

@saji.antony

Hi,

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AHS

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moragodkrit.chumsri_1 avatar image
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@saji.antony
I would suggest you submit a data support case to the data support team via my refinitiv to check if Elektron Real-Time data feed can provide the data you mentioned.

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