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hmmmcho avatar image
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Trying to retrieve Expired S&P500 Index option chain

Hello.


I am trying to retrieve the RICs of expired options.


In the case of non-expired options, I can get the RICs of options as follows:

df, e = ek.get_data(['0#SPX*.U'],
                    ['PUTCALLIND', 'STRIKE_PRC', 'EXPIR_DATE', 'CF_CLOSE', 'IMP_VOL']
                    )



However, to get the expired RICs of options, I guess the following should work, but it does not.

df2, e = ek.get_data(['0#SPX*.U^A21'],
                    ['PUTCALLIND', 'STRIKE_PRC', 'EXPIR_DATE', 'CF_CLOSE', 'IMP_VOL']
                    )



I think 0#SPX*.U^A21 should work, because it has following valid information as follows:

ts = ek.get_timeseries(['SPXa152138000.U^A21',], start_date='2020-01-01')

1637907758237.png


Could you please help me, how to get the all the RICs by using command like 0#SPX*.U^A21.


Thank you very much.

eikon-data-apipythonpython apipandas
1637907758237.png (36.4 KiB)
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2 Answers

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raksina.samasiri avatar image
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Hi @hmmmcho ,

This forum is dedicated to software developers using Refinitiv APIs.

The moderators on this forum do not have deep expertise in every bit of content available through Refinitiv products, which is required to answer content questions such as this one.

The best resource for content questions is the Refinitiv Helpdesk, which can be reached by either calling the Helpdesk number in your country or submitting a new ticket to the Eikon support team via MyRefinitiv.

The Helpdesk will either have the required content expertise ready available or can reach out to relevant content experts to get the answer for you.

In this case, I raised the case number 10723481 on behalf of you and you will be contacted directly for the support.

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haykaz.aramyan avatar image
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Hi @hmmmcho ,


In addition to what @raksina.samasiri already mentioned above and probably you have already learned from the content team:

Unfortunately it is currently not possible to extract expired option RICs through a single API call. The only way you can currently get them is to reconstruct expired RICs following the logic of Refinitiv RIC rules and the ones from exchange (e.g. CBOE in case of SPX) and check the validity via an API call. The article below is walking through that process and you can use the codes in GitHub folder to get RICs for SPX yourself. Please have a look and let us know should you have any further questions:

https://developers.refinitiv.com/en/article-catalog/article/finding-expired-options-and-backtesting-a-short-iron-condor-stra

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