Issues with Index Options: Zero DTE and Fills at Stale Price

Hi Rocco

If the CurrentSlice that the algorithm fetched at the scheduled event (the minute slice) is without any trade/quote on the required option symbol, it'll receive no option chain data. And if there the quote is coming from a fill-forward data, it'll be filled by its last price as a stale price by the security initializer setting.

To avoid the problem of the current slice without data, we recommend using GetOptionContractList together with AddOptionContract. Please check the attached backtest.

Best
Louis Szeto

How do I access the expiry date of the option for which I am holding?I have a function written to liquidate the options before the expiry date, but I need to figure out how to access the expiry date of the option.

Hi Spacetime,
We can use the Expiry(datetime) attribute of the option contract object to get the options contract's expiry date. Refer to the following link for more information on the OptionContract class.
Best,
Varad Kabade

Thank you Louis, 

Really appreciated your help! 

It seems that GetOptionContractList returns only options with monthly expirations, is there a way to include Weekly options?

Best Regards,

Rocco

Hi Rocco,
To filter out weekly contracts, we can use
 

contracts = self.OptionChainProvider.GetOptionContractList(self.equity_symbol, data.Time)

contracts = [c for c in contracts if not OptionSymbol.IsWeekly(c)]

Best,
Varad Kabade

Hi Varad, 

Thank you for your comment, I'm actually trying to include weekly options.

Without doing any filtering, I see that the contracts being returned are only the monthly ones. See the log from the attached backtest running from Jan 11th (Monday) to Jan 20th (Friday) 2021. With SPX weekly options expiring 3 times a week, I'm expecting to see expirations for Jan 11 (Weekly), 13 (Weekly), 15 (Monthly), 18 (Weekly), 20 (Weekly), 22(Weekly), …

However I only see the monthly expirations:

2021-01-11 00:00:00 :	Launching analysis for 228c24ea75f022b50b02406799ce7d76 with LEAN Engine v2.5.0.0.13087
2021-01-11 09:55:00 :	Entering method openPosition
2021-01-11 09:55:00 :	-> Found 4319 contracts in the option chain!
2021-01-11 09:55:00 :	-> Expiry dates: [datetime.date(2021, 1, 15), datetime.date(2021, 2, 19), datetime.date(2021, 3, 19), datetime.date(2021, 4, 16), datetime.date(2021, 5, 21), datetime.date(2021, 6, 18), datetime.date(2021, 9, 17), datetime.date(2021, 12, 17), datetime.date(2022, 1, 21), datetime.date(2022, 3, 18), datetime.date(2022, 6, 17), datetime.date(2022, 12, 16), datetime.date(2023, 12, 15)]

Not sure if it is something to do with the code, or perhaps SPX weekly data is not available on QuantConnect?

Hi Rocco

We're sorry that only monthlies are available for IndexOption right now. We'll include weekly option contracts in the future.

Best
Louis

Hi Louis,

Following up on the 0-DTE options using the Monthly SPX data, it turns out that all the fills have a stale price, If I print the price and time of the last known price for an option, it shows that the price is the one from the day before:

      def OnData(self, slice):
      if self.Portfolio.Invested:
         # Get the security
         security = self.Securities[self.put]
         # Get the price (Looks like self.Securities[x].Price is calculated as the mid-price from self.GetLastKnownPrice(x))
         price = security.Price
         lastKnown = self.GetLastKnownPrice(security)
         # Find out at which time the price was last retreived
         lastPriceDttm = lastKnown.Time
         lastKnownPrice = 0.5*(lastKnown.Bid.Close + lastKnown.Ask.Close)
         # Print the Price every 15 minutes (avoid clogging the log)
         if self.Time.minute % 15 == 0:
            self.Log(f"Contract: {self.put}   Price: {price} ({lastKnownPrice}) @ {lastPriceDttm}")

Log:

2021-10-15 09:55:00  -> Found 38 contracts in the option chain!
2021-10-15 09:55:00 Time: 10/15/2021 13:55:00 OrderID: 1 EventID: 1 Symbol: SPX   211015P04505000 Status: Submitted Quantity: -1 IsAssignment: False
2021-10-15 09:55:00 Time: 10/15/2021 13:55:00 OrderID: 1 EventID: 2 Symbol: SPX   211015P04505000 Status: Filled Quantity: -1 FillQuantity: -1 FillPrice: 68.4 USD OrderFee: 1 USD Message: Warning: fill at stale price (10/14/2021 15:20:00 America/Chicago) IsAssignment: False
2021-10-15 10:00:00 Contract: SPX   211015P04505000   Price: 70.6 (70.6) @ 2021-10-14 15:19:00
2021-10-15 10:15:00 Contract: SPX   211015P04505000   Price: 70.6 (70.6) @ 2021-10-14 15:19:00
2021-10-15 10:30:00 Contract: SPX   211015P04505000   Price: 70.6 (70.6) @ 2021-10-14 15:19:00
2021-10-15 10:45:00 Contract: SPX   211015P04505000   Price: 70.6 (70.6) @ 2021-10-14 15:19:00
2021-10-15 11:00:00 Contract: SPX   211015P04505000   Price: 70.6 (70.6) @ 2021-10-14 15:19:00
2021-10-15 11:15:00 Contract: SPX   211015P04505000   Price: 70.6 (70.6) @ 2021-10-14 15:19:00
2021-10-15 11:30:00 Contract: SPX   211015P04505000   Price: 70.6 (70.6) @ 2021-10-14 15:19:00
2021-10-15 11:45:00 Contract: SPX   211015P04505000   Price: 70.6 (70.6) @ 2021-10-14 15:19:00
2021-10-15 12:00:00 Contract: SPX   211015P04505000   Price: 70.6 (70.6) @ 2021-10-14 15:19:00
2021-10-15 12:15:00 Contract: SPX   211015P04505000   Price: 70.6 (70.6) @ 2021-10-14 15:19:00
2021-10-15 12:30:00 Contract: SPX   211015P04505000   Price: 70.6 (70.6) @ 2021-10-14 15:19:00
2021-10-15 12:45:00 Contract: SPX   211015P04505000   Price: 70.6 (70.6) @ 2021-10-14 15:19:00
2021-10-15 13:00:00 Contract: SPX   211015P04505000   Price: 70.6 (70.6) @ 2021-10-14 15:19:00
2021-10-15 13:15:00 Contract: SPX   211015P04505000   Price: 70.6 (70.6) @ 2021-10-14 15:19:00
2021-10-15 13:30:00 Contract: SPX   211015P04505000   Price: 70.6 (70.6) @ 2021-10-14 15:19:00
2021-10-15 13:45:00 Contract: SPX   211015P04505000   Price: 70.6 (70.6) @ 2021-10-14 15:19:00
2021-10-15 14:00:00 Contract: SPX   211015P04505000   Price: 70.6 (70.6) @ 2021-10-14 15:19:00
2021-10-15 14:15:00 Contract: SPX   211015P04505000   Price: 70.6 (70.6) @ 2021-10-14 15:19:00
2021-10-15 14:30:00 Contract: SPX   211015P04505000   Price: 70.6 (70.6) @ 2021-10-14 15:19:00
2021-10-15 14:45:00 Contract: SPX   211015P04505000   Price: 70.6 (70.6) @ 2021-10-14 15:19:00
2021-10-15 15:00:00 Contract: SPX   211015P04505000   Price: 70.6 (70.6) @ 2021-10-14 15:19:00
2021-10-15 15:15:00 Contract: SPX   211015P04505000   Price: 70.6 (70.6) @ 2021-10-14 15:19:00
2021-10-15 15:30:00 Contract: SPX   211015P04505000   Price: 70.6 (70.6) @ 2021-10-14 15:19:00
2021-10-15 15:45:00 Contract: SPX   211015P04505000   Price: 70.6 (70.6) @ 2021-10-14 15:19:00
2021-10-15 16:00:00 Contract: SPX   211015P04505000   Price: 70.6 (70.6) @ 2021-10-14 15:19:00
2021-10-15 16:15:00 Contract: SPX   211015P04505000   Price: 70.6 (70.6) @ 2021-10-14 15:19:00
2021-10-15 16:20:00 Algorithm Id:(e2c9cfd3c55db25a19e3b0a7bc557395) completed in 5.36 seconds at 79k data points per second. Processing total of 421,752 data points.

It seems that the SPX Index Option 0-DTE quote data is basically unavailable, which would explain why the setFilter method would return no chains at all for 0-DTE (my very first post).

This makes me wonder:

1. Is 0-DTE quote data on SPX Index Options completely unavailable?
2. Beside 0-DTE, how complete/reliable is the data available on SPX Index Options in general?
3. Is this a limitation only for Index Options or does it apply to other underlying (i.e. Equity Options)?

Best Regards, Rocco

Bump on this…

Hi Rocco Claudio Cannizzaro,
 

1. The data is available. It just shows as stale because 2021-10-14 15:20:00 is last time the trades and quotes changed for the contract. See the attached notebook for reference.
2. It is reliable. The dataset is created by monitoring the Options Price Reporting Authority (OPRA) data feed, consolidating last sale and quotation information originating from the national securities exchanges that the Securities and Exchange Commission has approved. The data is provided by algoseek; refer to the following dataset page for more information.

Best,
Varad Kabade

But the backtest codes above indeed show there are “No CHAINS” for SPX 0 DTE, despite there may be data (or not). 0 DTEs SPX seem not available.

Any updates on this?

Hi Yayaya

You should change line 55 in InitialFilter method as

contract_list = [i for i in symbol_list if min_expiry <= (i.ID.Date - self.Time).days <= max_expiry]

Best
Louis

Hi Lous,

I tried your code:

        contract_list = [i for i in symbol_list if min_expiry <= (i.ID.Date - self.Time).days <= max_expiry]
        self.Debug(" Contract list:"+str(len(contract_list))+" Time:"+str(self.Time))

And the for the most days the output is:

357

|
3:29:49
:
Contract list:0 Time:2022-07-22 09:55:00
358

|
3:29:49
:
-> No chains!
359

|
3:29:49
:
Entering method openPosition
360

|
3:29:49
:
Contract list:0 Time:2022-07-25 09:55:00
361

|
3:29:49
:
-> No chains!
362

|
3:29:49
:
Entering method openPosition
363

|
3:29:49
:
Contract list:0 Time:2022-07-26 09:55:00
364

|
3:29:49
:
-> No chains!
365

|
3:29:49
:
Entering method openPosition
366

|
3:29:49
:
Contract list:0 Time:2022-07-27 09:55:00
367

|
3:29:49
:
-> No chains!
368

|
3:29:49
:
Entering method openPosition
369

|
3:29:49
:
Contract list:0 Time:2022-07-28 09:55:00
370

|
3:29:49
:
-> No chains!
371

|
3:29:49
:
Entering method openPosition
372

|
3:29:49
:
Contract list:0 Time:2022-07-29 09:55:00
373

|
3:29:49
:
-> No chains!

Hi Sergf

We cannot reproduce your problem. Can you attach a backtest that causing that?

Best
Louis

Hi Louis,

I am trying 2022-06 dates and see only “No chains”. Backtest attached

Hi Sergf 

The monthly option expiration date was 17 June 2022 for June 2022, so it was normal to have no chain since your filtering was 0-DTE. Just shift the end date of the algorithm.

Best
Louis

Louis,

Ok, I see you answered about a year ago:

“We're sorry that only monthlies are available for IndexOption right now. We'll include weekly option contracts in the future.”

Do you have plans to include weekly options at this time?

Hi Sergf Berg ,

QuantConnect has launched a WeFunder campaign to give the community more control over the priorities to implement new features such as supporting new brokerages or a new security type such as weekly index options.

Best regards,
Alex

I'd like to piggy back on this issue, specifically for SPX 0 DTE options. I've noticed a couple issues in the data:

(a) when using GetOptionContractList with self.Time as the filter, no options are returned that expire on the same day. You must specify the day before, in which case options are returned for the day of expiry eg Fri May 20, 2022 which is a monthly expiry:
self.OptionChainProvider.GetOptionContractList(self.spx, self.Time.date()+timedelta(days=-1))

(b) In doing so though it appears that no price updates occur for any contracts on that day of expiry. In the backtest attached, the prices for 4 legs of an IC are dumped at 9:30 and 3:00pm with no movement whatsoever, given that the fill forward has used the last known price to set it up, but no further price moves occur during the day of expiry. This appears to be a flaw, since clearly such options remain trading on the day of expiry. If you adjust the dte parameter in Find0DTEOptions to be 1, (ie expires tomorrow) then price movements do indeed occur, so the issue seems limited to no price data on the day of expiry.

This, combined with the lack of weeklies on indexes, appears to be a major limit in backtesting an index 0DTE strategy…

Just a followup on my last post, I've realised SPX doesn't trade on its expiry date, ceases trading the day before. This would resolve (b) above.