Index Options Extract Converter

Automating Index Options Processing for a Major Investment Bank

Client

Investment Bank

Business Problem

The client’s derivatives analysts relied on a manual process to extract index options data from a source database, apply enrichment rules, and reformat it into a specific text-based structure for downstream systems.

Each export required multiple steps, including rule-based transformations, formatting validations, and manual four-eye validation — introducing delays and increasing the risk of trade breaks or reconciliation mismatches.

Solution Delivered

We developed a secure Excel Add-In that automated the full extract-enrich-export workflow.

Key features included:

  • A dynamic interface allowing users to query and select option sets based on date, product type, or underlying
  • Built-in enrichment logic based on configurable business rules (e.g. pricing tier, risk classification, expiry adjustments)
  • Real-time preview of enriched data with instant recalculation when user selections change
  • One-click export that generates a correctly formatted .txt or .csv file, aligned to the schema of the receiving system
  • Optional locking and logging features to support internal control and audit requirements

The result was a controlled, repeatable workflow that empowered analysts while removing manual dependencies.

Results

  • Reduced manual processing time by over 95% per export cycle
  • Eliminated export errors and reformatting issues that previously led to trade breaks
  • Enabled analysts to self-manage enrichments with minimal training
  • Increased compliance with internal controls and file format standards
  • Standardised output for integration with trade booking and reconciliation systems

Technology

Excel | VBA

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