Options Continuation Data

abhinav.gupta

Hi, I want to fetch the continuation options data for At the Money strike price for S&P. I found the 0#ES++ give me the continuation first expiry options data, but the RIC for each strike price is different. I just want At the Money for continuation contract for past 2-5 years. Let me know if we can also get the data using some dynamic RIC from Eikon and Datascope Select both.

Alex Putkov.1

@abhinav.gupta

To the best of my knowledge Refinitiv does not provide ATM continuation series you're asking for. I cannot help but wonder what might be the purpose of such continuation series, as I've never heard anyone asking for it previously. The price history of a "continuation ATM option" would fluctuate not only due to trading activity, but also due to constant ATM contract switching due to price movements in the underlying as well as due to expiration cycle. The only value that in my personal opinion might be worth looking at historically is the implied volatility, but even then you probably want to consider a range of ATM options when designing the methodology for these continuation series. And then, since we're considering not the implied vol of any individual option, but effectively the implied vol index for the underlying, you probably want this implied vol index to reflect constant maturity rather than jump with the options expiration cycle. We do compute such an implied vol index with 30, 60 and 90 day maturity, albeit not for the E-mini S&P 500 futures, but for the S&P 500 index. The latter is available under the RIC "SPXATMIV.U".