Corporate Actions Can Change Option Strikes in Historical Data

Summary

The document explains why historical records for some options may appear to end before expiration. In the QQQ example, puts below a particular strike disappear from one vendor’s data after a date, while a nearby strike remains available. The accepted explanation is a corporate action that adjusted the option terms, changing the affected contracts’ strike prices.

The practical lesson is to check for corporate actions and adjusted contract identifiers before treating a gap in an options dataset as a trading halt or missing market activity. The account cites Bloomberg identifiers to illustrate the changed strikes and reports that the same apparent gap occurred in data from more than one vendor. It does not identify the corporate action in detail or establish whether every vendor handles adjusted options consistently, so the example supports investigating contract mappings rather than assuming a universal data failure.

Key ideas

• Corporate actions can change an option’s strike and contract identifier before expiration.
• A historical data gap may reflect a contract adjustment rather than halted trading.
• Check adjusted option mappings when comparing records across vendors.

Tags

# Mysterious disappearance of options from historical datasets


# Mysterious disappearance of options from historical datasets












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, http://www.eoddata.com/stockquote/OPRA/QQQ140322P00069000.htm there is no data after 03/11/14

But the QQQ $70 Put, http://www.eoddata.com/stockquote/OPRA/QQQ140322P00070000.htm 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?

## Answer by hroptatyr (score 4, accepted)

https://quant.stackexchange.com/a/12913

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.

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.