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Can you please explain what are all possible versions of S&P 500 option tickers and VIX option tickers?

My options historical data is from 2006 to 2013 and I can see something like VIXAB, VIXAC, ..., VIXWY (is this a VIX option?).... and also 130213C00010000,VIX.XO for the later years, but I don't know what is the general (exact) convention. I just need the exact tickers to look for S&P 500 and VIX options. There are some sources online but sometimes they differ, so I am not sure. Thank you in advance.

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    $\begingroup$ It might help if you indicate the source of the data you are looking at. As you note, there are different conventions in use in different systems. $\endgroup$
    – nbbo2
    Commented Jan 8, 2018 at 13:23

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The convention is to name each month with the Future Month Codes (http://www.cmegroup.com/month-codes.html), which it doesn't seem like your data does.

Without more information, I would guess that each letter pair (AB, AC, etc.) represents a different future month. AA would be the first, AB second, and so on. As far as translating "AB" to a certain expiration date, you should check the last quote date for that letter pair. Weeklies didnt trade on VIX in 2013, so I think its safe to assume that these represent serial future months.

The first 6 numbers in the option ticker (130213) refers to the expiration date. For VIX, the serial expirations are the Wednesdays before the third Friday. The letter (C) refers to call or put. The next 8 numbers refer to the strike price, padded by zeroes.

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    $\begingroup$ 130213C00010000 => Call expiring Wednesday 2013/02/13, with strike 10.000 $\endgroup$
    – nbbo2
    Commented Jan 8, 2018 at 17:58
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This is the Stricknet dataset (doesn't specify the exchange).

What I figured out so far:

2006-2010 uses this convention: First letter: A-L are expiration month codes for calls, M-X are expiration months for puts, so VIXAB is a call which expires in January. This is also explained here: https://en.wikipedia.org/wiki/Option_symbol so this was the standard convention apparently.

Second letter: A-Z are strike price codes as in this table: https://en.wikipedia.org/wiki/Option_naming_convention#Strike_Price_Codes

2011,2012,2013 use different convention, the OCC option symbol which consists of four parts:

  1. Root symbol of the underlying stock or ETF, padded with spaces to 6 characters
  2. Expiration date, 6 digits in the format yymmdd
  3. Option type, either P or C, for put or call
  4. Strike price, as the price x 1000, front padded with 0s to 8 digits

Example:

SPX 141122P00019500 represents a put on SPX, expiring on 11/22/2014, with a strike price of $19.50.

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  • $\begingroup$ Also from wiki: "On February 12, 2010 the five-character ticker format stopped being used in the US and Canada." $\endgroup$
    – Dee
    Commented Jan 12, 2018 at 13:40
  • $\begingroup$ Investopedia's "Understanding the 2010 Options Symbology" investopedia.com/articles/optioninvestor/10/… was also useful for me. This pretty much solves the issue for potentially unlabeled option data. $\endgroup$
    – Dee
    Commented Jan 22, 2018 at 12:14

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