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»Forums Index »IQFeed Developer »IQFeed Developer Support »Get underlying for a futures option
Author Topic: Get underlying for a futures option (4 messages, Page 1 of 1)

homie70
-Interested User-
Posts: 6
Joined: Aug 12, 2018


Posted: Dec 4, 2018 02:07 AM          Msg. 1 of 4
Hi,

every option has an underlying. For index or equity options it is always the same. But for future options that changes with time due to the expiry of futures.

Therefore my question: Is it possible for a certain futures option to get the information about the ticker of the corresponding underlying through the IQfeed API, please?

Thank you

DTN_Steve_S
-DTN Guru-
Posts: 2080
Joined: Nov 21, 2005


Posted: Dec 14, 2018 11:58 AM          Msg. 2 of 4
Hello, sorry for the delay responding here.

I'm not sure I understand what you're asking for.

Future Options are issued based on a specific futures contract and expire at the same time (or close to).

The symbology also has the underlying contract specified as well.

For example

@ESZ18C120000

is an option for @ESZ18

homie70
-Interested User-
Posts: 6
Joined: Aug 12, 2018


Posted: Dec 14, 2018 12:21 PM          Msg. 3 of 4
Hello,

thx for your feedback.

What you are saying is sometimes true but not always, to my knowledge, e.g.

- Bund-Futures Options exists for every month, but you have only 4 Futures contracts per years (March, June, Sep, Dec)
- Corn Futures: you have the Jan, Feb and Mar Options which all have the March Futures as underlying

Therefore my question if an individual option maybe has a field which contains the underlying Futures?

DTN_Steve_S
-DTN Guru-
Posts: 2080
Joined: Nov 21, 2005


Posted: Dec 14, 2018 02:04 PM          Msg. 4 of 4
OK, I understand now. You're talking about serial options. We do not have this data directly in the feed currently. However, the next version of IQFeed (6.1) will have a way you can figure it out indirectly.

We are adding a List of contract months to the futures symbol's fundamental data.

As a result, using @C as an example:

@CF19C3300 is a serial option.

In IQFeed 6.1, watching @C# will give you a list of contract months so you will be able to compare the option Month code (F) to the list of future contract months (MKNUZ) and be able to determine what the next one would be which the serial month would apply to.
 

 

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