Limitations of Rule-Based Retrieval for Expired Option Symbology

Summary

The document concerns retrieving historical option identifiers through Refinitiv Eikon or Datastream services, especially for expired contracts linked to an underlying security. The question asks how to turn an ISIN, RIC, or mnemonic into a list of underlying symbols, and notes that constructing option-chain identifiers may be possible for some US-listed contracts but is unclear for expired options.

The answer challenges the value of investing heavily in identifier retrieval for strategy evaluation. It suggests estimating option prices from end-of-day data for the underlying and says that expiration calendars follow fixed schedules, with dates shifted to the prior trading day when a holiday intervenes. It concedes that estimated prices can differ from observed option prices, but provides no pricing model, validation, or evidence that the differences are immaterial. The suggestion is therefore incomplete: option valuation also requires relevant contract terms and market inputs, and the document does not explain how to recover historical symbology or prices reliably.

Key ideas

• The question concerns identifying expired options from underlying security identifiers in market data services.
• The response suggests estimating option values from end-of-day underlying data instead of retrieving every contract symbol.
• Option expiration dates generally follow exchange or index calendars and may shift around holidays.
• The answer provides no valuation method or evidence supporting the accuracy of its price estimates.

Tags

# Option symbology with reuters DSWS


# Option symbology with reuters DSWS












I am trying to systematically extract option data at a certain date based on the underlying.

Input: interchangeably ISIN/RIC/Mnemonic Output: list of underlying symbols, preferably mnemonics.

I am using Eikon/Datastream web services (DSWS) Rest APIs. While it seems possible to find an option chain RIC (at least for OPRA) in a rule-based manner, I have no clue about how to go get this for expired options in the DSWS mnemonic symbology.

## Answer by user43629 (score 1)

https://quant.stackexchange.com/a/50219

I am not sure why you are doing this. It is a wasted effort if you are going to use this data to evaluate your strategy/models.

If you have the EOD (End of Day) data of any comp, you can calculate the price of any Option, with any expiration date.

The expiration dates are fixed by index. Often, Wed/Friday of every week for the US. Monthly options expire on last week of a month on a Wed/Fri. (Not sure of the day, but it is fixed) if any expiry date is a holiday (as per index), then the expiration date would be preponed to the last trading day.

I agree that the prices of Real Options vary slightly from the calculated ones, but the difference isnt worth the time and effort being invested. Hence, suggesting an alternative solution.

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