Unveiling the Mystery Behind Missing Options Contracts
Ever looked for an options contract, especially one with a far-off expiration date, only to find it’s not there? It can be pretty confusing when you’re trying to make a trade and the contract you want is nowhere to be found. Don’t worry, you’re not alone. This happens to a lot of traders, and there’s actually a method to the madness.
To get to the bottom of this, it helps to understand how options contracts typically get listed on the market. There’s a whole timeline and process behind it, which explains why some options seem to be “missing” when you go looking for them. Let’s dive into this and clear up some of the mystery around options listing timelines.
Standard Listing Periods for Options Contracts
Let’s talk about timing. Most options contracts show up on the market about 4 to 12 weeks before they’re set to expire. Now, you might be wondering, “Why this specific window?” Well, the exchanges have their reasons, and it’s all about striking a balance between keeping the market running smoothly and giving traders what they want.
So, what’s behind this 4 to 12 week timeframe? A few key things:
- Where the Action Is: Shorter-term options tend to be where all the excitement happens. More people are trading them, which means better liquidity (easier to buy and sell) and tighter spreads (less money lost in transactions).
- Playing It Safe: The closer we are to an expiration date, the easier it is for traders and market makers to price options accurately. It’s just less risky when you’re not trying to predict too far into the future.
- Keeping Things Manageable: Imagine if exchanges listed every possible options contract out there – it’d be chaos! Instead, they focus on the ones people are likely to actually trade.
This is why you might have trouble finding options that expire way down the road. They’re just not as common because they don’t fit neatly into this 12-week sweet spot that exchanges prefer.
Why Older Options Contracts Might Be Missing
You might notice that certain options contracts only start appearing 1 to 2 months before their expiration. Sometimes options will appear for just a few days or even the day of expiration. This isn’t a sign of missing historical data but rather a reflection of when the contracts were first listed.
No “Missing” Data – Just Unlisted Contracts
The key point to understand is that the absence of data for older options contracts doesn’t imply that data is missing or has been lost. Instead, it indicates that these contracts didn’t exist before they were listed. Here’s what that means for you:
- Historical Availability: If an option wasn’t listed six months ago, there won’t be any data for it from that time period. The data begins accumulating only from the listing date forward.
- Data Integrity: Data providers can only supply information on contracts that were active and trading. If a contract wasn’t available, there’s no data to report, which is why you won’t find historical quotes or trading volumes for it.
- Market Practices: It’s standard practice in the options market for certain strikes and expirations to be introduced closer to their expiration dates, especially if there’s anticipated demand or significant market events.
Understanding the Listing Lifecycle
- Initial Listing: Options exchanges periodically introduce new options series, often adding near-term expirations more frequently than long-term ones.
- Demand-Driven Listings: Sometimes, options on a particular strike price or expiration are only listed when there’s sufficient market interest, such as after a large price swing.
How To Use Market Data’s “First Traded” Information
Market Data adds a “First Traded” key in our JSON response or a “First Traded” column in our spreadsheet add-on with all our option quote responses to report to you the date the option began to trade for the first time. This is designed to make it easy for you to determine when an option began to trade. If you want to chart the option’s price movement or get historical data, use the First Traded date to see how much history is available to you.
Missing Index Options Contracts
When searching for options contracts, especially those tied to major indices like the S&P 500, you might notice that some contracts are unavailable or appear to be missing on their expiration date. A key reason for this is the difference in settlement between SPX vs SPXW options.
AM-Settled Index Options (SPX)
Monthly SPX options are AM-settled, meaning their final settlement value is determined based on the opening prices of the S&P 500 Index components on the expiration day. Here’s how this affects data availability:
- No Trading on Expiration Day: Since the settlement price is calculated at the market open, trading for these options actually ceases the day before expiration.
- Missing Data on Expiration Day: On the expiration day itself, there is no trading activity for AM-settled SPX options. As a result, you won’t find quotes or trading data for these options on that day.
- Why This Matters: If you’re searching for SPX options data on their expiration day and come up empty-handed, it’s not because the data is missing. Rather, it’s because these options have already stopped trading due to their settlement process.
Historical SPXW Quoting Patterns Affecting Data Availability
Before May 16, 2022, SPXW options were only listed and quoted on Mondays, Wednesdays, and Fridays and there were no SPXW options available for trading or expiration on on Tuesdays and Thursdays. If you’re looking for SPXW options data on a Tuesday or Thursday prior to this date, you won’t find any. This absence is due to the options not being listed, not because of missing data.
Missing Quotes due to Market Hours and Holidays
With the exception of a few index options such as VIX or SPX, options always quote from 9:30 AM to 4 PM Eastern Time. Unlike most stocks, there is no extended hours trading in options. So if you look for a quote outside of these hours, you won’t find one. The options market also closes early whenever the stock market closes early, such as the day before Christmas and Thanksgiving, meaning there will be no options quotes after those hours on these days.
During market holidays and weekends, the options market is closed and no prices are available. If you find a missing date in a sequence of historical quotes, check to see if the date was a weekend or market holiday.
How Market Data Reports Historical Quotes
Market Data reports end of day closing prices at 4 PM for historical options and, during each trading session, we report the current pricing. However, if you request real-time options pricing outside of market hours, such as a holiday or a weekend, our system is going to return the last available quote from 4 PM from the last session.
Option Symbol Changes
When you see a series of historical options quotes abruptly end before the expiration date, in many cases the data isn’t missing, but rather the option symbol changed due to a corporate action such as a stock split, ticker change, spinoff, merger, or special dividend. When corporate actions take place, the OCC will issue an options memo explaining how the corporate action affects the original option contract and whether there will be a change (if any) to the option symbol.
Option Symbol Changes
When an option symbol is changed the convention is to normally add a 1 after the ticker. However, for stock splits, sometimes the strike price of the option will simply be adjusted. It is important to find and download the memo from the OCC website to see the exact changes in the contract.
What To Do When the OCC Memo Is No Longer Available
Many times you can find an SEC filing near the date in question explaining the corporate action or documentation in the investor relations section of the company’s website.
The OCC website has been indexed by the Internet Archive since 1998, so historical memos going back two decades are often available. See this example link for how to view memos from 2009. It may take a bit of digging, but it’s possible to lookup the historical memo number using the internet archive and then search for the PDF by memo number on the OCC website. As of this article publication, we were able to find historical memos in PDF format on the OCC website using the memo number going back 20 years.
How To Handle Symbol Changes At Market Data
If you’re analyzing a historical option series and the memo is no longer available, your best bet is to request a complete option chain for the day in question and set the non-standard parameter to true. This will return an unfiltered option chain with all option contracts (including non-standard ones). You may be able to find the contract in question in this complete unfiltered option chain.
Verifying “Missing” Contracts With A Third Party
Sometimes customers feel the need to check our data against a third party. We encourage you to do this before opening up a missing data support request.
If you have access to a broker with historical data, look-up the option chain in question in your broker platform to see if a specific contract exited on that date. Most times when customers take the time to look-up these contracts, they’ll find that the contract they are looking for never existed on the date in question. While we don’t mind customers opening up support tickets for missing data issues, the vast majority of missing data support tickets are due to user error.
Charles Schwab’s ThinkorSwim Platform
For customers with accounts at Charles Schwab, we recommend using the OnDemand feature of the ThinkorSwim Desktop App. This platform allows you to pull a historical option chain going back more than a decade.
