Tracking New Option Strikes and Exchange Listing Changes
Summary
The document explains why option strike availability varies by exchange, underlying, and expiration. Exchanges generally have rules for strike spacing and schedules for adding expirations, while new strikes may be introduced as the underlying price moves. The material distinguishes price-driven additions from changes prompted by liquidity: growing open interest alone may not lead to more distant strikes when the underlying price is stable.
For monitoring, it suggests maintaining alerts for new instruments and reference-data changes, with daily reports as a backup. Comparing downloaded option chains across days is another practical approach, though the source cautions that this method is not foolproof. Exchange practices can differ, and participant requests may also affect listings, so a universal timetable or rule set may not exist. The example of a large, liquid ETF illustrates that a single expiration can have many strikes, but the document does not provide a complete exchange rulebook or a comprehensive automated tracking method.
Key ideas
- Strike spacing and expiration schedules depend on the exchange.
- Exchanges may add strikes as the underlying price moves, while liquidity alone may not trigger additions.
- Monitoring instrument listings and reference-data changes can help identify new strikes.
- Comparing option chains over time is useful but may miss changes or provide incomplete coverage.
- Market participants may request new strikes, so listing practices are not always fully rule-based.
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# How to track dates when new strikes are added to option chain for any underlying # How to track dates when new strikes are added to option chain for any underlying I believe exchanges try to maintain some range of ITM/ATM/OTM issues for a particular underlying/expiry pair. Eg minimum 5-1-5 to maximum 10-1-10, so there are atleast 5 OTM issues and maximum 10 OTM issues at any time for a given expiry/underlying. How does one obtain this rule set or the dates when new strike options get issued to maintain this rule set. ## Answer by Sergei Rodionov (score 1) https://quant.stackexchange.com/a/60700 This depends on the exchange. The exchanges I have access to release new instruments on schedule, prior to market open, and the strike range is relatively stable. It appears to be based on a formula. Having rules in the database that alert on new instruments as well as on reference data changes can be useful in this regard. As an example, we have a bot that posts new instruments and changes to a dedicated private channel in Telegram, with a daily report as a backup. ## Answer by Bob Baerker (score 1) https://quant.stackexchange.com/a/60709 The option exchanges have a set of general rules for the distance between strikes as well as a fixed schedule for when new expirations are added. When an underlying first begins offering options, in-, at- and out-of-the-money strike prices are initially listed. New strike prices can be added as the underlying index level moves up or down. Addition of new strike prices is a price driven not a liquidity driven event. IOW, they're not going to add further OTM strikes just because the Open Interest of current strikes is increasing with price relatively unchanged. The liquidity of the options is a big determining factor. For something like the SPY, there are can be 120+ different strike prices for a single expiration. You can contact the CBOE and request that they add new strikes (see their web site). They will accommodate you if your request is reasonable such as adding a strike for a later weekly option that exists for earlier week(s). Here's the general outline for CBOE equity options. ## Answer by user42108 (score 0) https://quant.stackexchange.com/a/60698 Strikes might be added by the exchange at the request of market participants, i.e. there is not always a set of rules that govern strike availability. I would suggest downloading the options chain each day and comparing to previous strikes, but this is by no means foolproof.
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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.