The CIC needs to follow annexes V and IVI of the ITS on Reporting (EU) 2015/2450. The ISO 3166-1-alpha-2 country code should be identified according to where the asset is listed in. An asset is considered as being listed if it is negotiated on a regulated market or on a multilateral trading facility, as defined by Directive 2004/39/EC. If the asset is listed in more than one country or the undertaking uses for valuation purposes a price provider which is one of the regulated markets or multilateral trading facility where the asset is listed in, the country shall be the one of that regulated market or multilateral trading facility used as the reference for valuation purposes. 

This means that the CIC code should identify the country where the option is listed in the following two cases: For example, if the option is listed only in Germany, i.e. Frankfurt Stock Exchange, then identify it as "DE". If the option is listed in more than one country or a price provider originating from a regulated market or multitrading facility is used for valuations purposes, than the country where the regulated market of multitrading facility is based  in should be used as country code. E.g. the option is listed in Germany and the Netherlands but for valuation purposes the price provider is based in the Netherlands and is part of a regulated market or multitrading facility in the Netherlands, than the country code of the Netherlands "NL" should be used. In cases where the asset is listed in more than one country but the undertaking uses a price provider for valuation purposes that is not part of a regulated market or multilateral trading facility where the asset is listed, the first two positions of the CIC should be "XV". In cases in which the option is not listed you should use XL.