Course Name: Options Volatility Trading: Concepts and Strategies, Section No: 16, Unit No: 21, Unit type: Notebook
Could you explain more about the content of this file? Are they the ATM options of the underlying traded each trading day? With which expiration each day?
ATM options with fixed expiration until the next month? Please an example of building that file could be great. Thanks
Hello Jorge,
The CSV has the details of all monthly expiry options contracts available for the S&P 500 index from 2018 to 2022. For SPX options, the expiry date of the monthly contract is the last trading day of the month. The data includes the strike price of the options contract, the implied volatility and the price of calls, puts of the strike price.
You can check unit 3 of section 2 for an example to create this data file.
Varun, many thanks for your response. Monthly expiry options, clear. If I want another expiration I imagine I am able to do it filtering and working on the data requested through the method explained in Section 2.
Do you mean in Section 2 "Sourcing Option Data", correct?
Hello Jorge,
You are right. You can filter the contracts of expiration you want to work with by referring to section 2, "Sourcing Option Data".