Hello;

I would want to know if IQFeed supports (or will support) CBOE weekly options. If there is historical data support for weekly options, how far in time can we query this historical data? How is the iqfeed symbol for these options?

Thanks!

Miquelvm

The IQFeed does have the weekly CBOE options in the feed.
OEX1309H780 EXP 08/09/2013
OEX1317H780 EXP 08/17/2013
OEX1330H789 EXP 08/30/2013

the experation date is on a different week and inside the symbol, the 2nd 2 numbers will indicate the day of the month.

As to historical data, all the data on these current options is available.

Thanks Loren;

I was trying to find the weeklys for AAPL in the market symbols file downloaded from IQFeed website. If I try to find Apple calls weeklies for july I only find AAPL1320G and AAPL1326G.

cat mktsymbols_v2.txt|grep AAPL13..G

Maybe this file only cointains the most recent weeklies in order to summarize. Can you confirm me that IQFeed stores historical data for weeklies prior to july 20th?

If you can also tell me when does the historical weekly repository start (when IQFeed started storing weekly option data) that would be awesome.

Thanks.

Miquelvm

As far as the july AAPL weekly options go, they have expired. We do keep that data in the historical servers for a period of time, when they expire the option is taken off our symbol look-up.If you know the exact symbol, you can pull the data that we have available.

Here is a web site that talks about the weeklys:
http://www.stock-options-made-easy.com/weekly-options.html

Miquuelvm
I did some research and I found some additional information that I feel could be helpful in trying to access our data for these items.

Our current symbology has been in place for just over 2 years, so we should have expired history on traded options going back that amount of time. That said, to access this data there is a specific format that our symbols follow. In this example AAPL1312G400 (Apple Inc. 2nd week of July 2013, 400 Call) , the symbol can be split up as follows;
Field Value
Underlying Symbol = AAPL
The 2 digit Year of Expiration = 13
The 2 digit Day of Expiration = 12 //This is always the Friday of the week you are looking at.
The Letter Code for month = G //Month codes for call and put are: Calls A-L and Puts M-X, where A and M are Jan and L and X are DEC.
Strike Price = 400

Using this pattern you should be able to pull data for any traded strike over the last couple years.

I hope some of this helps to explain things a little clearer.


This is the web site for the monthly call/put:
http://www.cboe.com/tradtool/strikepricecode2.aspx

That was the info I was looking for. Thanks Loren.