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Calculating Historical WTI Option Expiration Dates from Contract Rules

Article Quant Q&A · Author: Aslan Bayramkulov
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Summary

The document explains how to derive past expiration dates for WTI options when a historical calendar is unavailable. It starts from the underlying futures contract: its final trading day falls three business days before the 25th calendar day of the month before delivery. When that date is not a business day, the reference point becomes the last business day before the 25th. The option’s final trading day is then set three business days ahead of the futures contract’s final trading day.

This is a calendar-rule method rather than a supplied list of historical dates, and the document does not show computed examples or test results. Applying it requires a reliable business-day calendar and the relevant contract specifications; holidays affect the calculation. It describes date determination only and offers no trading strategy or guidance on option valuation.

Key ideas

  • WTI futures cease trading three business days before the 25th of the month preceding delivery.
  • If the 25th is not a business day, use the last business day before it as the reference date.
  • WTI options cease trading three business days before the underlying futures contract’s last trading day.
  • Historical option expirations can be derived from these contract rules using an appropriate business-day calendar.

Tags

CommoditiesOptionsFutures
Full text
# Expirations of WTI options


# Expirations of WTI options












Where can I find expiration dates of WTI options like this: http://www.cmegroup.com/trading/energy/crude-oil/light-sweet-crude_product_calendar_options.html

But I need dates in 2012-2016 years. Thank you for your attention!

## Answer by LocalVolatility (score 2, accepted)

https://quant.stackexchange.com/a/33258

You can calculate the past expiry dates yourself.

From the future contract specs you can see that the last trading day of the futures contracts is always three business days before the 25th calendar day of the month preceding the delivery month. If the 25th is not a business day itself, then the trading ceases three business days before the last business preceding the 25th.

From the option contract specs you can see that the last trading day of the options is three business days before that of the underlying futures contract.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.