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Converting Treasury Futures Option Contracts to OVME Share Units

Article Quant Q&A · Author: skatey
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Summary

The discussion explains how to translate a Treasury futures option position into the share-like quantity entered on Bloomberg’s OVME screen. The key distinction is between the futures contract’s nominal amount and the per-share face value used by the screen: a contract with a nominal value of 100,000 corresponds to 1,000 such shares when each share represents $100 face value. Thus, the position quantity is calculated by converting each contract and multiplying by the number of contracts.

The answer suggests checking the unit conversion by entering one share, lowering the strike, and comparing the displayed intrinsic value with the expected tick-based amount. This is a practical interface sanity check, rather than a general options-pricing method. The exchange is brief and concerns a specific contract and screen convention; users should confirm the relevant contract specifications and units before applying the conversion elsewhere.

Key ideas

  • The OVME share quantity differs from the nominal amount of a Treasury futures contract.
  • A $100 face amount per screen share converts a 100,000 nominal contract into 1,000 shares.
  • Multiply the converted share quantity per contract by the number of contracts in the position.
  • A one-share input and an intrinsic-value check can help validate the unit convention.

Tags

OptionsFuturesFixed incomeDerivatives pricing
Full text
# Pricing Treasury Futures Options on Bloomberg OVME screen


# Pricing Treasury Futures Options on Bloomberg OVME screen












Hi all,

I am new to options pricing so just wanted to confirm the below -

If I would like to buy 14,020 contracts of the below and each contract contains 100,000 shares. According to OMON, the CSize is 100,000. I am assuming this is in shares.

The number of shares to be inputted in OVME is 14,020*100,000. Is this correct?

@AKdemy

## Answer by user68819 (score 1, accepted)

https://quant.stackexchange.com/a/80434

1 share is $100 face. The FVZ4 contract nominal is 100k, therefore that is 1k "shares". For 14,020 contracts you would buy 14,020,000 "shares".

The easy way to check this is - to put in 1 share, drop the strike to say $80. you will see that the intrinsic value is say 20 ticks or so

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.