ES E-Mini Options: Listing, Trading Activity, and Time Value
Summary
The document explains why historical data for ES E-mini options can begin at different times before expiration. The accepted answer clarifies that these expirations are available well in advance; a data series begins when trades or other recorded market activity appear, which varies with participants’ interest and business needs. Thus, the first observed print should not be treated as a formal issuance date or as evidence of a regular listing schedule.
A further answer points readers to contract specifications for strike listings, whose ranges and increments can change as the underlying futures contract approaches delivery. Another response argues that an option’s prior trading age does not itself determine its value: with identical terms and remaining time, arbitrage links equivalent options. The question’s claim about time value reflects a simplified square-root-of-time intuition and does not establish an advantage to buying newly active options. The exchange does not provide a general issuance formula.
Key ideas
- ES option expirations can exist before a trade history becomes visible.
- The first recorded data depends on when market participants begin trading that expiration.
- Exchange specifications describe strike listing ranges and increments.
- Equivalent options are priced according to their terms and time remaining, rather than how long they have been listed.
- The square-root-of-time intuition does not imply that recently active options are inherently better purchases.
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Full text
# When are ES E-mini future options issued?
# When are ES E-mini future options issued?
Since options lose 2/3 of their time value in the second half of their lifespan, it makes sense to be aware of when an option was issued. What are ways of figuring out when ES futures options have been and will be issued?
An ad-hoc way of doing this would be to bring up a yearly chart, which would indicate when data started becoming available. I did that for some ES FOP Dec18'15 options, and data became available on Jan 27 or 28, 2015. That's 3.75 quarters back (why weren't these options issued in Dec 2014?). Same for Mar'16 options - apparently issued in Apr 2015; Jun '16 options - no data prior to 7/1/2015.
On the other hand, data for Nov20'15 options became available around 7/21 - 7/23, so only one quarter back. Are there two cycles at play here?
But then again, for Oct16 '15 - data became available on 5/19/2015. That's ~5 months before expiration. This is confusing.
What is the general formula, and when are new options being issued?
## Answer by Brian B (score 3, accepted)
https://quant.stackexchange.com/a/21054
These options are not "issued" in the same way, say, employee stock options are "issued". Instead, the expiration months already exist indefinitely into the future, and in a sense options at all expirations already exist.
The data series therefore start showing prints when market interest in a given expiration date starts up. This is of course highly variable and depends on the business needs and psychology of market participants.
## Answer by Franck Dernoncourt (score 0)
https://quant.stackexchange.com/a/35600
Look at the contract specification pages, e.g. E-mini S&P 500 Options Contract Specs (mirror):
- Strike Price Listing Procedures: At all multiples of 25 index points within ±50% of Exercise Price Reference, centered on previous day’s settlement price of the underlying futures At all multiples of 10 index points within ±20% of Exercise Price Reference, centered on previous day’s settlement price of the underlying futures Once the option’s underlying futures contract becomes second nearest to delivery, at all multiples of 5 index points within ±10% of Exercise Price Reference, centered on previous day’s settlement price of the underlying futures
## Answer by nbbo2 (score 0)
https://quant.stackexchange.com/a/35618
It does not really matter when an option was issued. All that matters is the time remaining until expiration.
Suppose there are two exchanges, one issues the options 12 months before expiration, the other 6 months before expiration. Then for the last 6 months, two options with identical strike trade at the same price, by arbitrage. It does not matter that one is "older" (has been trading for longer) than the other one.
The idea that "options lose 2/3 of their time value in the second half of their lifespan" is because $\sqrt{\frac{1}2{}}= 0.7 $ but does not imply it is "good" to own options that have been recently issued.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.