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Interpreting Historical S&P 500 and VIX Option Symbol Formats

Article Quant Q&A · Author: Dee
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Summary

The discussion explains how option symbols in a historical dataset may encode expiration, call or put type, and strike, while cautioning that conventions vary across periods and datasets. For older records, one answer suggests that two-letter symbols may encode serial expiration months; another describes a legacy format in which the first letter distinguishes call and put expiration months and the second letter represents a strike-price code. These interpretations depend on the dataset’s conventions and should be checked against its source.

For later records, the note describes the OCC-style symbol as comprising an underlying root, expiration date, option type, and a zero-padded strike value. It also says that VIX serial expirations occur on Wednesdays before the third Friday. The discussion does not establish one universal mapping for every symbol it mentions, and it does not specify the exchange or fully resolve the older two-letter codes. Treat the examples as clues for decoding the particular dataset, not as a definitive reference for all option data.

Key ideas

  • Historical option datasets may use different symbol conventions across years.
  • A described legacy format uses letters to represent expiration months and strike-price codes.
  • The OCC-style format encodes an underlying root, expiration date, call or put type, and strike.
  • The discussion associates VIX serial expirations with Wednesdays before the third Friday.
  • The exact interpretation of older symbols depends on the dataset and is not fully established here.

Tags

OptionsDerivatives pricingUS markets
Full text
# What is the convention for option tickers on S&P 500 and VIX?


# What is the convention for option tickers on S&P 500 and VIX?












Can you please explain what are all possible versions of S&P 500 option tickers and VIX option tickers?

My options historical data is from 2006 to 2013 and I can see something like VIXAB, VIXAC, ..., VIXWY (is this a VIX option?).... and also 130213C00010000,VIX.XO for the later years, but I don't know what is the general (exact) convention. I just need the exact tickers to look for S&P 500 and VIX options. There are some sources online but sometimes they differ, so I am not sure. Thank you in advance.

## Answer by OGC (score 3)

https://quant.stackexchange.com/a/37639

The convention is to name each month with the Future Month Codes (http://www.cmegroup.com/month-codes.html), which it doesn't seem like your data does.

Without more information, I would guess that each letter pair (AB, AC, etc.) represents a different future month. AA would be the first, AB second, and so on. As far as translating "AB" to a certain expiration date, you should check the last quote date for that letter pair. Weeklies didnt trade on VIX in 2013, so I think its safe to assume that these represent serial future months.

The first 6 numbers in the option ticker (130213) refers to the expiration date. For VIX, the serial expirations are the Wednesdays before the third Friday. The letter (C) refers to call or put. The next 8 numbers refer to the strike price, padded by zeroes.

## Answer by Dee (score 1)

https://quant.stackexchange.com/a/37697

This is the Stricknet dataset (doesn't specify the exchange).

What I figured out so far:

2006-2010 uses this convention: First letter: A-L are expiration month codes for calls, M-X are expiration months for puts, so VIXAB is a call which expires in January. This is also explained here: https://en.wikipedia.org/wiki/Option_symbol so this was the standard convention apparently.

Second letter: A-Z are strike price codes as in this table: https://en.wikipedia.org/wiki/Option_naming_convention#Strike_Price_Codes

2011,2012,2013 use different convention, the OCC option symbol which consists of four parts:

- Root symbol of the underlying stock or ETF, padded with spaces to 6 characters

- Expiration date, 6 digits in the format yymmdd

- Option type, either P or C, for put or call

- Strike price, as the price x 1000, front padded with 0s to 8 digits

Example:

SPX 141122P00019500 represents a put on SPX, expiring on 11/22/2014, with a strike price of $19.50.

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