Finding Available SPX Option Strikes in Exchange Quote Files

Summary

The document addresses how to identify the full range of listed SPX option strikes, including strikes with no trades or open interest. The contract description says in-, at-, and out-of-the-money strikes are initially listed, with additional series generally introduced as the index moves beyond the available range. The question seeks the theoretical listing range rather than a record of executed trades.

The answer points to Cboe’s daily end-of-day option quote files, which include the highest and lowest available strikes for each expiration, even when those options have not traded. Processing the files across many dates and expirations may require substantial data work. The answer also offers a trader’s anecdotal observation that new strikes may appear before the index reaches the current outer strikes. That observation is not a formal exchange rule or systematic evidence, so the quote files are the more direct source for reconstructing historical availability. The document does not provide a formula for predicting initial brackets or strike additions.

Key ideas

• Traded-option datasets may omit listed strikes that have no trades or open interest.
• Cboe end-of-day quote files report available strike ranges by expiration.
• Historical strike availability can be reconstructed by processing daily files over the period of interest.
• New series may be introduced before the underlying reaches an existing outer strike, according to anecdotal experience.
• The document gives no rule or formula for predicting initial strike brackets.

Tags

# SPX options strike bracket


# SPX options strike bracket












By what rule does the CBOE determine the available strikes for puts and calls on the SPX? The contract specification (http://www.cboe.com/products/stock-index-options-spx-rut-msci-ftse/s-p-500-index-options/s-p-500-options-with-a-m-settlement-spx/spx-options-specs) says

> Strike Prices: In-,at- and out-of-the-money strike prices are initially listed. New series are generally added when the underlying trades through the highest or lowest strike price available.

Note that I am specifically not looking for traded options, but theoretically available options. I do have a dataset of option prices available, but options that have never been traded are not included.

Instead, I am looking for the initial minimum and maximum strike that CBOE makes available, and the added strikes that are created when the underlying trades through the initial bracket.

## Answer by nbbo2 (score 2)

https://quant.stackexchange.com/a/47573

If you download the daily EOD Quote File for SPX from the CBOE web site https://datashop.cboe.com/option-quotes you will be able to see for every expiration the highest and lowest available strike, including strikes that have no trading or no open interest. However, it could be a big job to process all the data for every trading day for a long period of time.

By the way, in my experience the exchange introduces new options before the underlying crosses the highest or lowest available strike. In years of trading I never remember a situation where there was only one strike above or below the current SPX and you had to wait for more to be introduced.

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.