Missing price data in ONE.
- Thread starter Robin
- Start date
DaveN
Member
The first thing to do is compare with other sources, like your brokerage(s). If not that, check the options chains online. They are delayed but you'll be able to see if the strikes exist.
Generally speaking, as @status1 indicates, it's a new expiration and those strikes aren't available or have a market being made in them yet. You can call your broker to ask the exchange to add those strikes, or watch going forward to see if others ask or the exchange adds them in.
One consideration in these spotty expirations is your ability to make adjustments to the trade going forward. Let's say that you use the 3600 Put strike in your screenshot above, then want to adjust that by 10 points. It's very limiting, most traders I know will use the nearby expiration instead. Fortunately, with nearly daily expirations in SPX, especially in the DTE7 range, there are plenty of choices.
Generally speaking, as @status1 indicates, it's a new expiration and those strikes aren't available or have a market being made in them yet. You can call your broker to ask the exchange to add those strikes, or watch going forward to see if others ask or the exchange adds them in.
One consideration in these spotty expirations is your ability to make adjustments to the trade going forward. Let's say that you use the 3600 Put strike in your screenshot above, then want to adjust that by 10 points. It's very limiting, most traders I know will use the nearby expiration instead. Fortunately, with nearly daily expirations in SPX, especially in the DTE7 range, there are plenty of choices.
Another thing is the Tuesday expiration is only added 2 weeks in advance so the furthest out you can trade is the 19 Jul so that will have fewer $5 strikes available compared to the Wednesday which can be up to 30 DTE
Interestingly TOS has the 3 Aug Wed expiration while One does not have it unless it was just added recently and ONE did not update
If you look at the 5 Jul expiration you will see a lot more strikes so in theory you could place a trade 2 weeks out on Tuesday and if you don't need to make any adjustments in the first week (good luck with that) than as you get closer to expiration you will have more strikes available to make adjustments
Basically the more frequently it is traded the more strikes will be available
Interestingly TOS has the 3 Aug Wed expiration while One does not have it unless it was just added recently and ONE did not update
If you look at the 5 Jul expiration you will see a lot more strikes so in theory you could place a trade 2 weeks out on Tuesday and if you don't need to make any adjustments in the first week (good luck with that) than as you get closer to expiration you will have more strikes available to make adjustments
Basically the more frequently it is traded the more strikes will be available
Once I updated to the beta latest version, the strikes all came back.
Thanks
Is this for the original strikes you were looking at in your screenshot
I see a few more strikes were added but I would not say all the strikes came back The first strike missing now is the 3545 for the Jun 21 expiration in your screenshot
Maybe they added that retroactively so if you try to do a back test now you will have more strikes but looking ahead the first strike missing is the 3685 for the 12 Jul expiration and getting more missing below that so that is an improvement over the one you showed in your screenshot but not as good as the 5 Jul expiration
Are you saying you have all the strikes below 3685 for the Jul 12 expiration after the update ?
Sorry for late response... the strikes I needed came back.
I understand that they came back I just don't think it's any problem with ONE or TOS I think it's just a matter of not enough volume or open interest OTM in the Tuesday expiration
As the expiration gets closer they will add the strikes that are missing especially near ATM
Even the other weekly's if you look far OTM some of the strikes are missing
I am using ONE with IB, I can reproduce what you see, @SergB . The strikes at e.g. 4195, 4190, 4185 etc were only introduced today (Monday), they were not available the previous trading day (Friday). I can verify that from independent data. You should also be able to verify that in ONE tomorrow, after the daily update.
AFAIK in ONE we get to see newly introduced strikes only with the beginning of the following trading day. This has been bugging me since I started using ONE, did not find a way around it.
AFAIK in ONE we get to see newly introduced strikes only with the beginning of the following trading day. This has been bugging me since I started using ONE, did not find a way around it.
thanks. that makes perfect sense.