Contract conventions
Symbology, multipliers, expiration schedules, and quoting rules.
These are the conventions that make an option quote unambiguous. Most integration errors in options data come from misreading one of the fields below, particularly the strike encoding in the symbol.
Standard listed equity option
| Attribute | Convention |
|---|---|
| Multiplier | 100 shares per contract unless the contract has been adjusted |
| Quotation | Price per share. A quote of 2.50 costs 250.00 for one standard contract |
| Exercise style | American |
| Settlement | Physical delivery |
| Standard expiration | The third Friday of the expiration month |
| Trading hours | 9:30 to 16:00 Eastern for most equity options |
| Minimum increment | Commonly 0.01 for series under 3.00 and 0.05 above, varying by penny-quoting program membership |
OSI option symbol structure
The 21-character Options Symbology Initiative format. Reading the strike field wrong by a factor of 1000 is the most common parsing bug.
| Field | Width | Format | Example |
|---|---|---|---|
| Root symbol | 6 | Left-justified, space-padded | AAPL |
| Expiration | 6 | YYMMDD | 260918 |
| Type | 1 | C or P | C |
| Strike | 8 | 5 digits whole, 3 digits decimal, zero-padded, no decimal point | 00185000 = strike 185.00 |
Expiration cycles
| Type | Schedule | Note |
|---|---|---|
| Monthly | Third Friday of the month | The historical standard. Deepest liquidity in most names |
| Weekly | Most Fridays that are not a third Friday | Now listed on a wide set of underlyings |
| Quarterly | Last business day of a calendar quarter | Primarily index and ETF products |
| LEAPS | Long-dated, generally more than nine months to expiration, expiring on a January third Friday | Marginable differently from short-dated options |
| Daily | Every trading day on selected high-volume index products | Concentrated in the largest index and ETF underlyings |
Entries
Expiration date - Friday, not Saturday
Standard monthly listed options expire on the third Friday of the expiration month. Prior to a rule change effective with February 2015 expirations, the technical expiration date was the Saturday following the third Friday, with Friday as the last trading day.
- Historical data sets and older documentation may carry Saturday expiration dates. Date-matching against a modern calendar will fail on those rows.
- When the third Friday is an exchange holiday, expiration moves to the preceding Thursday.
Also described at: Wikipedia · Wikidata · SEC order approving SR-OCC-2013-04 (Friday expiration)
Moneyness
The relationship between the underlying price and the strike, stated from the perspective of the long holder.
| Field | Value |
|---|---|
| Call in the money | S > K |
| Call out of the money | S < K |
| Put in the money | S < K |
| Put out of the money | S > K |
| Intrinsic value (call) | max(S - K, 0) |
| Intrinsic value (put) | max(K - S, 0) |
| Extrinsic value | Option price - intrinsic value |
- Extrinsic value is always non-negative for a fairly priced option and decays to zero at expiration.
- Delta is frequently used as a rough proxy for the probability of finishing in the money. It is a biased proxy, not an identity - it equals the risk-neutral probability only for d2, not d1.