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I have a difficulty understanding the ouput of quantmod when using the function getOptionChain.

For a reproducible example:

library(quantmod)
AAPL.2015 <- getOptionChain("AAPL", "2019/2021")

A truncated part of the output:

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....

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The Options that are currently traded on the other hand are the following:

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First there is a discrepancy between what quantmod returns and the current situation. E.g., the call at strike $215 appears with Bid 7.95 and Ask 8.10 by the quantmod output while the true current terms are Bid 4.45, Ask 4.85.

More generally, how should I interpret the last digits of the option code the ones after capital letter C?

halfer
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user8270077
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1 Answers1

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First part:

The data returned by the options chain comes from yahoo. There is a time delay between what your broker shows and what yahoo shows (15 min give or take). See this page on the data delays from yahoo.

Second part:

The option symbol rules the new way: From investopedia

Root Symbol + Expiration Year(yy) + Expiration Month(mm) + Expiration Day(dd) + Call/Put Indicator (C or P) + Strike Price Dollars + Strike Price Fraction of Dollars (which can include decimals)

See explanation on the investopedia site linked above.

phiver
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  • Thanks. The function downloads a very large number of calls for the specific date while the calls actually traded as of 20-9-2019 were just 4. So possibly the remaining quotes refer to options traded with the same expiration date in the past. If that is the case is there anyway to know when these quotes appeared? And if this is not that the case what is the explanation of the data? – user8270077 Sep 22 '19 at 10:58
  • Yahoo lists all the valid options for this date. That does not mean they are traded but they are available for trading. See the option chains in your broker software. The chains should be the same. I don't know when new strikes are introduced, but that depends partly on the differences in strike increments and how much the stock moves to the outer edges of the chain. This is more of a question for https://quant.stackexchange.com – phiver Sep 22 '19 at 11:15