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Historical SPX Option Expirations, Weeklys, and Quarterly Listings

Article Quant Q&A · Author: Oleg
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Summary

The document explains several apparent irregularities in historical SPX options data from 2008–2009. Traditional options can show Saturday expiration dates for historical reasons, although the practical settlement reference is Friday: the index close for PM-settled contracts or the opening level for serial options. The answer distinguishes the recorded expiration date from the time that matters for settlement.

It also says that Weeklys existed during the period, so their absence from a dataset suggests incomplete coverage. The end-of-month contracts shown in the example are identified as quarterlies, which were the only such EOM series before 2014. The listed quarterly months correspond to standard futures expiration months, offered as a likely explanation rather than a definitive account of CBOE’s listing decision. The guidance is brief and addresses the specific historical period and SPX contract conventions; it does not provide a comprehensive listing calendar or explain later rule changes.

Key ideas

  • Historical Saturday dates can appear in SPX records even though practical settlement occurs on Friday.
  • PM-settled options use the Friday close, while serial options reference the Friday opening level.
  • Weeklys were available in the period discussed, so their absence may indicate gaps in the dataset.
  • Before 2014, the described EOM series were quarterly options listed in standard futures expiration months.

Tags

OptionsUS marketsFuturesMarket microstructure
Full text
# Old CBOE SPX options data: listing and expdate issue


# Old CBOE SPX options data: listing and expdate issue












I can't figure out the logic behind SPX option data for 2008-2009 years.

First, all traditional SPX options have exp_date on the third Saturday of each month. How can it be? Why not Friday?

Second, I have traditional and end-of-month option series, but not Weeklys. Is my dataset incomplete, or were they not introduced back then?

Third, the list of exp_dates doesn't make any sense to me. For example, on 17-Jun-2008 I have traditional options with expirations in: Jun 08, Jul 08, Aug 08, Sep 08, Dec 08, Mar 09, Jun 09, Dec 09 and Dec 10. And EOM options expiring in Jun 08, Sep 08, Dec 08, Mar 08. How does CBOE decide, which options to list?

## Answer by onlyvix.blogspot.com (score 4, accepted)

https://quant.stackexchange.com/a/25695

1 - For historical reasons options expire on Saturdays, before noon. This has to do with potential reconciliation issues that are largely gone nowadays because of back-office automation. Practically, you can think of SPX index options as expiring at index settle, which is 4:00 pm EST on Fridays for PM expiring options, or 9:30 am EST on Fridays for serial options.

2 - Weeklys were around since 2006, your dataset is incomplete.

3 - Those are actually quarterlies, the only EOM options before 2014. And the four months you listed are indeed the only months for quarterlies. I assume that the reason for this choice is that they correspond to standard futures expirations months.

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.