...
6) For next week.
Proceedings:
Today we discussed issue DER-123, which involves adding various kinds of option trading strategies. JG posted a document that includes definitions of common strategies, and then the question is how to represent them. We do not currently have the notion of a deal, which would include, for deals leveraging one of these strategies, the links to the various trades and contracts involved in those trades. These strategies apply to products an institution might sell, as opposed to being instruments themselves.
As a starting point, we agreed to revise the definition of option trading strategy (in Options) to cover the points made in John's summary and add the subclasses that represent the strategies, each of which involve some number of options and include constraints on the parameters of the strategy.