Posted: Oct 05, 2016 @ 02:07 PM             Msg. 1 of 4

A question about the discrepancy in the future options symbology:

an option with symbol OE5CV6 C209.5 has the expiration date of 11/02/2016.
The month letter for November is X, not V. Yet the symbol has the month letter V.

Can you clarify how the month letter is set in the symbol depending on the expiration date? Does it go by Monday or Sunday date of the week of expiration? And if so, is that a general principle for future options or is that OEC specific?

Also - for equity options, the call month codes are different from put month codes. Doesn't look like they are for futures options. Can you confirm that too?
Edited by MMedved86 on Oct 05, 2016 02:09 PM
Edited by MMedved86 on Oct 05, 2016 02:14 PM

Posted: Oct 05, 2016 @ 02:54 PM             Msg. 2 of 4

OE5C is the 5th week Weds weekly option, which do not exist at the exchange until November. The OE5CV6 options are not a valid contract and the option chain will not populate data. This symbol will be purged from our contract server.

The exchange offers the nearest two week options:

At any given time, two nearest weeks of E1C, E2C, E3C, E4C, E5C will be listed for trading

See the exchange calendar - http://www.cmegroup.com/trading/equity-index/us-index/e-mini-sandp500_product_calendar_options.html?optionProductId=8227#optionProductId=8227

Weds. Weekly options contract specs - http://www.cmegroup.com/trading/equity-index/us-index/e-mini-sandp500_contractSpecs_options.html#optionProductId=8227

Equity and futures options do not follow same symbol formats. Futures options symbols are not standardized from one futures platform to another. Our symbol format is

[BASE] + [MONTH] + [last digit of YEAR] space [C/P] + [strike]

We try to make our base symbol match the exchange symbol, to the best of our ability.

Posted: Oct 05, 2016 @ 03:07 PM             Msg. 3 of 4

So - to follow up, when I get all the futures options for a parent contract, I can go through them and if the expiration date's month does not match the month code, consider that contract invalid?

Posted: Oct 05, 2016 @ 03:20 PM             Msg. 4 of 4

We should not be offering invalid contracts on our API. This might be fluke since contract is brand new.

See http://www.cmegroup.com/trading/equity-index/weekly-equity-index-options-on-futures.html?utm_source=cmegroup&utm_medium=banner&utm_campaign=equityoptions&utm_content=homepage