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I am trying to systematically extract option data at a certain date based on the underlying.

Input: interchangeably ISIN/RIC/Mnemonic Output: list of underlying symbols, preferably mnemonics.

I am using Eikon/Datastream web services (DSWS) Rest APIs. While it seems possible to find an option chain RIC (at least for OPRA) in a rule-based manner, I have no clue about how to go get this for expired options in the DSWS mnemonic symbology.

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I am not sure why you are doing this. It is a wasted effort if you are going to use this data to evaluate your strategy/models.

If you have the EOD (End of Day) data of any comp, you can calculate the price of any Option, with any expiration date.

The expiration dates are fixed by index. Often, Wed/Friday of every week for the US. Monthly options expire on last week of a month on a Wed/Fri. (Not sure of the day, but it is fixed) if any expiry date is a holiday (as per index), then the expiration date would be preponed to the last trading day.

I agree that the prices of Real Options vary slightly from the calculated ones, but the difference isnt worth the time and effort being invested. Hence, suggesting an alternative solution.

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