Initial trading date for individual stock options

S

SWScapital

I have been running/backtesting a trading strategy that involves optionable stocks only. I`m running into a problem though. For instance. Strategy A buys stock XYZ on 1/1/01 and sells it at 3/1/01 for a profit/loss. I`ll go back and visually check for errors and find that although the stock is optionable NOW, it was not THEN. Therefore in real life trading the position would have never been taken. So you can see where this gets hairy for me.

So my question is besides the CBOE website which has new options listings going back to 2001(which you have to check one day at a time). Does anybody have data on one spreadsheet or hard copy that list the date the option began trading? How has anybody else dealt with this issue?

Thanks
 

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Looks like the position involves selling the itm(preferably) or atm straddle + long underlying. You would need implied vols as well. If it's not a combo of stock and options it must be some sort of statistical arbitrage strategy related to the introduction of options on the underlying.

Sorry for the rant; can't help you with your data req.
 
Quote from riskarb:

Looks like the position involves selling the atm straddle + long underlying. You would need implied vols as well. If it's not a combo of stock and options it must be some sort of statistical arbitrage strategy related to the introduction of options on the underlying.

Sorry for the rant; can't help you with your data req.
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No worries. I enjoy your rants. :cool:

Thx anyway.
 
I realize it wasn't my place to out your strategy. Probably no harm done as I am sure to be off-base. But apologies nonetheless. Good luck with it -- the eq. curve looks great. :)
 
Quote from SWScapital:
How has anybody else dealt with this issue?
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You can't be using real historical option price data because if so then there would be no prices for 1/1/01.

So you're probably creating "artificial" options using eg. black-scholes and some implvola estimation. If that's indeed the case then why is it a problem that a stock was not optionable ? You'd be testing on prices that "would have been if ...." , perfectly legal.

One can test an options strategy on a non-optionable stock: as implied take 30 days histvola or 60 days or anything else. While this may not be realistic, over a longer period it's probably just as much too high as it is too low. Furthermore, using REAL past implied data may be even more unrealistic for future expectations of a strategy.
 
Quote from nonprophet:

You can't be using real historical option price data because if so then there would be no prices for 1/1/01.

So you're probably creating "artificial" options using eg. black-scholes and some implvola estimation. If that's indeed the case then why is it a problem that a stock was not optionable ? You'd be testing on prices that "would have been if ...." , perfectly legal.

One can test an options strategy on a non-optionable stock: as implied take 30 days histvola or 60 days or anything else. While this may not be realistic, over a longer period it's probably just as much too high as it is too low. Furthermore, using REAL past implied data may be even more unrealistic for future expectations of a strategy.
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1/1/01 was just an example not an actual trading date from my testing. And just to clarify. I am using only optionable stocks in my testing to cut down my watchlist by a few thousand...to only trade "real" companies with somewhat of an Inst following.
I appreciate your taking the time to respond but you and riskarb are REAL far off...the strategy has nothing to do with the actual trading of options themselves. Sorry guys...nice try though. :D

thx and good luck!
 
Quote from SWScapital:

but you and riskarb are REAL far off...
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I don't know about riskarb but afa I'm concerned you are definitely right! :)

But that you'd worry about a few months of non-optiona-bi-li-ty when you use this merely as a liquidity indicator... why not use things like market cap or %Inst Ownership instead?

Perhaps I just don't get it indeed.
 
Quote from SWScapital:

I have been running/backtesting a trading strategy that involves optionable stocks only. I`m running into a problem though. For instance. Strategy A buys stock XYZ on 1/1/01 and sells it at 3/1/01 for a profit/loss. I`ll go back and visually check for errors and find that although the stock is optionable NOW, it was not THEN. Therefore in real life trading the position would have never been taken. So you can see where this gets hairy for me.

So my question is besides the CBOE website which has new options listings going back to 2001(which you have to check one day at a time). Does anybody have data on one spreadsheet or hard copy that list the date the option began trading? How has anybody else dealt with this issue?

Thanks
More...

I'm not sure I follow your backtesting question. Are you looking for when all options first began trading on a particular stock or when a particular option began trading?

It looks as though you can type in the symbol on the CBOE's website and it will give you the date options were listed on a stock (2001 and beyond). GOOG:

http://www.cboe.com/tradtool/NewListingsDoc.aspx?DIR=TTNewLs&FILE=04-474.doc&CreateDate=26.08.2004

http://www.cboe.com/tradtool/NewListingsDoc.aspx?DIR=TTNewLs&FILE=04-475.doc&CreateDate=26.08.2004

As far as getting historical pricing for series that have already expired, not sure how you get that. Once the options expire all historical data disappears from quote services from what I've seen.
 
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