Dirty data

A

Aquarians

Can someone who's got a historical data subscription help me out with clearing out an issue?

My provider (will not name it here yet) does have some inconsistencies in it's data. Raised the issue in the past by sending a mail to their support and got radio silence as response. Perhaps I wasn't insistent enough so I'll try again, more loudly this time.

But first I'd like to verify if possible, if it's an issue with the way they process their inputs, or there's a problem with the input itself, case when I expect that other providers may output the same errors.

So: 2016-Aug-02, Underlier: TIVO. Stock history I get from the provider says the same thing as Yahoo finance: close price = 19.29.

But options data lists the stock close at 10.52 and here are some strikes:

2016-Aug-19.CALL.10.0: B=0.43 A=0.60 *** 2016-Aug-19.PUT.10.0: B=0.03 A=0.28
2016-Aug-19.CALL.11.0: B=0.00 A=0.25 *** 2016-Aug-19.PUT.11.0: B=0.00 A=1.51
2016-Aug-19.CALL.18.0: B=0.00 A=0.10 *** 2016-Aug-19.PUT.18.0: B=7.00 A=8.00

Ends at strike 18, so definitely the options data doesn't reflect the Yahoo close price. I've no stock split listed for the date, checked Yahoo finance and there was no split at the time.

The call-put parity check at strikes 10 and 11 do make the case for stock price around 10 rather than 20.

So I'd appreciate if any of you can point me to a place where I can verify the data I got. Or if you do have a historical data subscription, verify it for me... a bit too much to ask I guess, wasting your time on this.

Otherwise, I'll raise another support issue and in the meantime figure out what the heck I can do. Throw the whole underlier away would be one thing, problem's I got quite a few of them with problems. Correct it myself would be preferable, but how? Just do some linear translation of strikes from 10.5 to 19.29? Don't think I can trust a backtest in this case...

Thanks for reading this.
 
Well, I suppose they may not like bad publicity. Being a developer myself also, I tend to be more lenient than the average on these issues :D

For now I sent them another mail with about the same contents as listed here. If still no answer, I'll try by phone. Then we'll see.
 
Aquarians said:
Well, I suppose they may not like bad publicity. Being a developer myself also, I tend to be more lenient than the average on these issues :D

For now I sent them another mail with about the same contents as listed here. If still no answer, I'll try by phone. Then we'll see.
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There is no issue with "anyone else seeing issues with <provider> data?" Publicity is how you get companies to give a damn if they're not helping you otherwise. Plus other people who might have that provider could cross-check the situation.
 
Agree with i960 & truetype. If you have bad data, and have proof, then hiding the source makes no sense, and tends to restrict others being able to help.
IMHO: It is not uncommon to have to "clean" your data, or categorize according to confidence level. I use CBOE Livevol for SPX option data and it is clean for 2016 to present, but earlier years require work to be trustworthy. -- not all discrepancies are necessarily a fault of the data provider.
Cleaning data can be very time-consuming and processing intensive, as you are likely aware.
 
There are two TiVos. One was delisted on 7 Sep 2016. The other is still listed.

How can this happen? Simple - this was a simple takeover of TiVo Inc by Rovi Corp, which subsequently changed its name to Tivo Corp. It changed its ticker too.

So, on 20160819, NASDAQ:TIVO was trading at $10.65 and NASDAQ:ROVI was trading at $19.66.

The issue here is that your provider doesn't understand corporate actions and how to map options to their underlying "parent" (or you don't understand how to do this).

You should name which vendor you're using and report back about if you can solve your issue with them, so others know how to do this.
 
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Too funny, so the takeover corp (ROVI) acquired Tivo and then kept the ticker TIVO but now assumed the equity trading for ROVI itself? Sounds like a great idea!
 
i960 said:
Too funny, so the takeover corp (ROVI) acquired Tivo and then kept the ticker TIVO but now assumed the equity trading for ROVI itself? Sounds like a great idea!
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That's quite normal in takeovers and also in spinoffs too.

Here's a couple I remember.

Southwest Bell takeover of AT&T, then rebranded as AT&T (this one is quite interesting because SBC was originally a forced spinoff due to monopoly issues from AT&T back in the mid 1980s)

NYSE:AA Alcoa spunoff its aluminum processing under a company - that spunoff company was a newly created company, but was renamed to Alcoa Corp. The original Alcoa renamed itself to Arconic (NYSE:ARNC). The stock price history of ARNC goes back to the 1950s and includes all trading in AA until late 2016. The stock price history of AA should only start in Nov 2016. If you have longer history in AA then your vendor has screwed up (and lots have screwed this one up). Some even have long history for both companies - which is weird because that clearly can't happen. Most of the tier 1 data vendors have screwed this one up (yes, this means you Reuters and Bloomberg)
 
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They're https://www.historicaloptiondata.com and already got in touch with their support (amazing, since it's weekend), told me about the ROVI thing too. They provide dividends and splits but not corporate actions at the time.

Will follow up next week.

Otherwise I've had no issues with them in almost two years and used to just discard such cases. Would rather ignore corporate actions than pay a Reuters/Bloomberg level subscription, if you ask me :) And as guys here said, even they screw up sometimes.
 
As JHarmon said, there are two companies involved. The original TIVO was taken over by ROVI in a merger on Sep 7, 2016 and the new company retained the name and symbol TIVO. Here are the terms of the deal and the option adjustments:

http://www.cboedirect.com/publish/TTStockSM/16-655.pdf

I have a subscription to Thomson Reuter for EOD data and it confirms both of your numbers:

On Aug 2, 2016 (old) TIVO was trading at $10.52 and ROVI was trading at $19.29 (new TIVO).
 
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