I am in the process of analyzing historical options data, and I keep finding options that mysteriously disappear before they are due to expire. For example:

For the QQQ $69 Put,
there is no data after 03/11/14

But the QQQ $70 Put,
is fine.

It seems that all QQQ Puts with strike below $70 mysteriously disappears after 03/11/14, despite some of them having significant open interest.

I have found this in a dataset I obtained through another vendor as well.

What is the cause of these disappearances? Is it a data problem or were they halted trading for some reason?

  • 1
    $\begingroup$ @Downvoters and closevoters: Please give a reason and/or some ideas how to improve the question - thank you! $\endgroup$ – vonjd Jul 2 '14 at 19:14
  • $\begingroup$ Can you please use readable dates! 03/11/14 could be 2003-11-14, 2014-11-03 or 2014-03-11. I want to check with my vendor but I don't know what I'm looking for. $\endgroup$ – hroptatyr Jul 4 '14 at 6:50

The data has definitely not disappeared, it's a problem with your vendor.

There has been a corporate action on 2014-02-27 and hence the strike prices have been adapted accordingly. According to Bloomberg bsym your P69 (composite ID BBG004L7P7L6) became P68.63, and P70 (BBG004L7P8C4) became P69.63.

  • $\begingroup$ Thanks for the answer! What vendor would you recommend as having the correct data? $\endgroup$ – yong Jul 4 '14 at 8:25
  • $\begingroup$ If it's solely US single stock options you're after, try Market Data Express (marketdataexpress.com) $\endgroup$ – hroptatyr Jul 4 '14 at 9:52
  • $\begingroup$ Do you have any experience with OptionMetrics? All I want is EOD bid/ask for US. $\endgroup$ – yong Jul 4 '14 at 13:38
  • $\begingroup$ OptionMetrics handles corporate actions and links the options, so you can track the contract before and after such event. $\endgroup$ – Eli Dec 5 '14 at 20:58

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