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Thursday, September 30, 2010

Financial Products News #2010 - 44
NASDAQ OMX to Begin Dissemination of New NASDAQ OMX Alpha Indexes Effective Monday, October 11, 2010

Markets Impacted:

  • All Markets

Data Feeds Impacted:

  • NASDAQ OMX Global Index Data Service (GIDS)

Contact Information:

What you need to know:

  • On Monday, October 11, 2010, NASDAQ OMX® will begin disseminating the following new NASDAQ OMX Alpha IndexesTM:
    • NASDAQ OMX Alpha AAPL vs. SPY Index (symbol: AVSPY)
    • NASDAQ OMX Alpha GLD vs. SPY Index (symbol: GVSPY)
    • NASDAQ OMX Alpha TLT vs. SPY Index (symbol: TVSPY)
    • NASDAQ OMX Alpha C vs. XLF Index (symbol: CVXLF)
    • NASDAQ OMX Alpha EEM vs. SPY Index (symbol: EVSPY)

What are the NASDAQ OMX Alpha Indexes?

NASDAQ OMX Alpha IndexesTM measure relative total returns of two underlying stocks or exchange-traded fund (ETF) shares. For example, a NASDAQ OMX Alpha Index may measure the relative total return of two stocks, two ETFs, or one stock and one ETF. The first component identified in the index is the “Target Component” and is measured against the second component identified in the index as the “Benchmark Component”. NASDAQ OMX has filed a provisional patent surrounding the calculations and methodology of NASDAQ OMX Alpha Indexes.

How will the NASDAQ OMX Alpha Indexes be disseminated?

Data recipients will receive real-time index information from the proprietary NASDAQ OMX Global Index Data ServiceSM (GIDSSM) data feed as well as NASDAQ OMX Global Index Watch (GIW). NASDAQ OMX will identify the indexes via the following data elements in GIDS:

Index Identifier Index Name Currency Dissemination Frequency Originator ID
AVSPY NASDAQ OMX Alpha AAPL vs. SPY Index USD 1 Second Intervals "Q"
GVSPY NASDAQ OMX Alpha GLD vs. SPY Index USD 1 Second Intervals "Q"
TVSPY NASDAQ OMX Alpha TLT vs. SPY Index USD 1 Second Intervals "Q"
CVXLF NASDAQ OMX Alpha C vs. XLF Index USD 1 Second Intervals "Q"
EVSPY NASDAQ OMX Alpha EEM vs. SPY Index USD 1 Second Intervals "Q"

In addition to the real-time tick messages, NASDAQ OMX will support the following directory messages on GIDS:

  • Index Details (Category P – Type A): Used to disseminate real-time index values at one-second intervals for the new indexes.
  • Index End of Day Summary (Category A – Type B): Disseminated at the end of the U.S. and European trading session to relay closing index summary data.
  • Index Directory (Category A – Type C): Disseminated at the start of each day to relay basic index information.

Please note: NASDAQ OMX will not support an official Index Settlement Value for the indexes at this time.

Where can I find additional information?

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