Not able to fully access NDX options expiring every trading day

I'm assuming the algoseek NDX options data includes options
that expire on every trading day as these became available by the end of 2022.

Referring to the Index Options table for the Supported Assets.
https://www.quantconnect.com/docs/v2/writing-algorithms/datasets/algoseek/us-index-options#08-Supported-Assets
The table specifies the NDX NDXP target ticker only has standard
contracts tradable on expiration day and
specifies the NDX NQX target ticker has standard and weekly contracts that
are tradable on expiration day.

Using the NDX NQX target ticker this only returns the Weekly Fri 0DTE expirations
and the Monthly 0DTE expirations. It does not return any other 0DTE expirations for
the other week days.
There are also periods of completely missing chain data for weekly and monthly.
Log extracts:

2023-01-03 09:31:00 : 2023-01-03 09:31:00 empty
2023-01-04 09:31:00 : 2023-01-04 09:31:00 empty
2023-01-05 09:31:00 : 2023-01-05 09:31:00 empty
2023-01-06 09:31:00 : 2023-01-06 09:31:00 OK
2023-01-06 16:19:00 : 2023-01-06 16:19:00 OK
2023-01-09 09:31:00 : 2023-01-09 09:31:00 empty
2023-01-10 09:31:00 : 2023-01-10 09:31:00 empty
2023-01-11 09:31:00 : 2023-01-11 09:31:00 empty
2023-01-12 09:31:00 : 2023-01-12 09:31:00 empty
2023-01-13 09:31:00 : 2023-01-13 09:31:00 OK
2023-01-13 16:19:00 : 2023-01-13 16:19:00 OK
2023-01-17 09:31:00 : 2023-01-17 09:31:00 empty
2023-01-18 09:31:00 : 2023-01-18 09:31:00 empty
2023-01-19 09:31:00 : 2023-01-19 09:31:00 empty
2023-01-20 09:31:00 : 2023-01-20 09:31:00 OK
2023-01-20 16:19:00 : 2023-01-20 16:19:00 OK
2023-01-23 09:31:00 : 2023-01-23 09:31:00 empty
2023-01-24 09:31:00 : 2023-01-24 09:31:00 empty

But when using the NDX NDXP target ticker this returns daily 0DTE expiration contracts,
except for the dates of the standard monthly contract expirations,
which return no chain data on the monthly expiration day.
This doesn't seem to match the supported assets table specification as
it looks to include the weekly pm settled options which expire every day,
which isn't specified in the table, and it seems that the standard monthly contracts
are not tradable on expiration day.
Log extracts:
2023-01-20 09:31:00 : 2023-01-20 09:31:00 empty
2023-02-17 09:31:00 : 2023-02-17 09:31:00 empty
2023-03-17 09:31:00 : 2023-03-17 09:31:00 empty
2023-04-21 09:31:00 : 2023-04-21 09:31:00 empty
2023-05-19 09:31:00 : 2023-05-19 09:31:00 empty
2023-06-16 09:31:00 : 2023-06-16 09:31:00 empty
2023-07-21 09:31:00 : 2023-07-21 09:31:00 empty
2023-08-18 09:31:00 : 2023-08-18 09:31:00 empty

Is it possible to fully access NDX 0DTE options that
are tradable every day including the monthly expirations ?

I noticed there have been some fixes applied for NDX NQX weekly option access
but it seems there are still issues as above.
https://github.com/QuantConnect/Lean/issues/7801

Any info appreciated.
Many thanks.

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class IndexOptionDataCheck(QCAlgorithm): def initialize(self): self.set_start_date(2023, 1, 1) self.set_end_date(2024, 12, 1) self.set_cash(100000) self.index_symbol = self.add_index("NDX").symbol index_option = self.add_index_option(self.index_symbol, "NQX") index_option.set_filter(lambda u: (u.strikes(0, 3).expiration(0, 0).include_weeklys())) self.index_option_symbol = index_option.symbol self.schedule.on( self.date_rules.every_day(self.index_option_symbol), self.time_rules.after_market_open(self.index_option_symbol, -1), self.before_open ) self.schedule.on( self.date_rules.every_day(self.index_option_symbol), self.time_rules.after_market_open(self.index_option_symbol, 1), self.check_data ) self.schedule.on( self.date_rules.every_day(self.index_option_symbol), self.time_rules.before_market_close(self.index_option_symbol, 1), self.check_data ) def before_open(self) -> None: self.is_check_data = False def check_data(self) -> None: self.is_check_data = True def on_data(self, slice: Slice) -> None: if self.is_market_open(self.index_option_symbol): if self.is_check_data: self.is_check_data = False chain = slice.option_chains.get(self.index_option_symbol) if not chain or not [x for x in chain]: # Add your logic here for handling empty option chains return else: # Add your logic here for processing option chains pass

Hi Ernest

Please note that using NDX for index option query will only return monthly standard option contracts. To access the weekly options for Nasdaq-100 Index, set “NDXP” as the target_option argument in data subscription.

Best
Louis

Mia Alissi

STAFF ,

Sources: Greeks and IV Implementation, Index Option Iron Condor Algorithm, Debugging - QuantConnect.com, Term Structure Effect In Commodities, Basic Template Index Options Algorithm

Louis Szeto

45.8k ,

Ernest Shaggleford INVESTOR

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