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Viewing User Profile for: veng1
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Joined: Oct 8, 2018 09:09 AM
Last Post: Oct 9, 2018 08:03 AM
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Post Statistics
veng1 has contributed to 6 posts out of 19076 total posts (0.03%) in 225 days (0.03 posts per day).

20 Most recent posts:

Picking a random expiration, the most popular strike, by file size, SPXW1708L2570 has 40 EOD prices.

The same strike has 288 1Min quotes starting at 2017-10-12 10:55:00 and ending at 2017-12-08 15:43:00.

Interestingly, SPXW1708L2650_Min has 1866 quotes.

I'm not pulling tick data.


After the demise of XIV, I'm looking at option trades for backtesting, primarily on EOD, with a vertical on VXX. I believe that the term structure needs, among other things that are needed, to do a synthetic short, exit or hold cash. The reason for 1 minute data is to look for block trades, not so much as price action.

The term structure for VIX can be calculated on daily basis. Whether there are suitable options trades remains to be seen. I don't much care to simply short VXX.

I agree in the value of collecting one's own data but that can only be done one day at a time. However, it is a fast trip to the poor house to trade based on past history without forward testing.

And yes, I've watched the tape on options, specifically on Livevol for literally years.
Edited by veng1 on Oct 8, 2018 at 03:38 PM


I am particularly looking forward to expired futures contracts. My requirement is to calculate contango and backwardation. In an ideal world, there would be a continuous front month and continuous back months so the the term structure would be simple math.

If there are at least all the past symbols it would be easier.
Edited by veng1 on Oct 8, 2018 at 02:44 PM


I appreciate that this is an alpha product. My code traps an error to a file but does not attempt to save the trade to csv if there is "NO DATA" returned.

My post was intended to be constructive in an effort to help find bugs.


Does the daily data actually include at least one trade?


In using a modification of Mathieu's excellent client (Thanks, Mathieu) I'm seeing symbols that are in IEOPTION but appear to have no data. Could this be verified and, preferably, the data added or the symbols removed from the file.

SPY1018L180 !NO_DATA!
SPY1018L185 !NO_DATA!
SPY1030I71 !NO_DATA!
SPY1228L130 !NO_DATA!
SPX1018L550 !NO_DATA!
SPX1117L525 !NO_DATA!
SPX1118F550 !NO_DATA!
SPXW1531H1795 !NO_DATA!
VXX1228L23 !NO_DATA!
VXX1228X24 !NO_DATA!
AAPL1703K110 !NO_DATA!

Thanks.
Edited by veng1 on Oct 8, 2018 at 09:50 AM


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