Back

Weekly Options Data Inconsistencies

I have written a simple program to print the nearest expiration for Weekly options.

I had written a longer post but the community board froze when I attempted to post it.

Simply put, Weekly Option data seems to stop at the end of Sept. '18 (as of today, 11/18/18). 

There also appears to be data consistency issues with the data for Monday/Wednesday/Friday weekly expirations for days that the Weekly Options did trade on CBOE: http://www.cboe.com/framed/pdfframed?content=/aboutcboe/xcal2018.pdf&section=SEC_RESOURCES&title=2018+Cboe+Expiration+Calendar

Please see: https://www.quantconnect.com/backtest/3782/2011124/d83c8bfe37a1e00cf1896e768bf0783b-log.txt

2018-09-04 09:30:00 Current time: Tuesday, September 4, 2018, Symbol:SPY WXH94BXFW7WM|SPY R735QTJ8XC9X Last trading date: Friday, August 31, 2018
2018-09-05 09:30:00 Current time: Wednesday, September 5, 2018, Symbol:SPY WXL6WPE478JQ|SPY R735QTJ8XC9X Last trading date: Tuesday, September 4, 2018
2018-09-06 09:30:00 Current time: Thursday, September 6, 2018, Symbol:SPY WXM6CSRA9ZPI|SPY R735QTJ8XC9X Last trading date: Wednesday, September 5, 2018

Update Backtest








Ok I was able to figure out what I was doing wrong with the data ( since the filter continues to show the previous weekly expired contracts and I just looking at Friday (EOW) expirations:

var options = (from symbol in contracts
where (symbol.ID.Date - Time).TotalDays < 6 &&
((symbol.ID.Date - Time).TotalDays >= 0 ||
(symbol.ID.Date - Time).TotalDays < 0 && Time.DayOfWeek == DayOfWeek.Friday) &&
symbol.ID.Date.DayOfWeek == DayOfWeek.Friday
select symbol);

Showed more consistent results (IE I am able to pull Friday's EOW option on Friday, and the following Friday's EOW on Monday)

The issue with data for Oct '18 - Present still exists

0

Thanks report data issues to the Data Issues list. Posting here won't get anything resolved... 

0

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Update Backtest





0

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Loading...

This discussion is closed