Historical daily deltas available to help answer Q24 (b), (c) “trade volume”
May 3, 2012. The March FAQs from the SEC included an instruction to use delta adjusted option values for determining trade volume. A number of firms are finding this operationally difficult, as they haven’t captured delta adjusted values during the Q1 reporting period and historical deltas are not readily available.
In combination with a 3rd party data vendor, Advise has a solution to this problem and is able to provide historical deltas for the Q1 reporting period. For those using our Form PF calculations, the trades table can be automatically updated. Pricing depends on the volume and geography of option trades. Please contact us for more information:info@AdviseTechnologies.com.
From FAQ 24.2:
“In determining the trade volume percentage of derivatives trades for purposes of Questions 24(b) and 24(c), you should use the weighted-average of the notional amount of the aggregate derivatives transactions (except for options, in which case you would use the delta adjusted notional value..”