Distinguishing historical market data for S&P options having the same RIC before OSI standardization

BPT7594

Hello,

As per the title, I have an issue distinguishing historical market data for S&P 500 options before OSI standardization in Nov 2009. The issue is that a single RIC can represent options with the same type, strike, just different maturities. Here is an example : SZV1650F.U. This RIC represents call options strike 1650, with maturities in June 20th 2009, Jun 19th 2010 & Jun 18th 2011.

When I do an extraction using either "#DataScope.Select.Api.Extractions.ExtractionRequests.PriceHistoryExtractionRequest" or "#DataScope.Select.Api.Extractions.ExtractionRequests.TickHistoryTimeAndSalesExtractionRequest", I seem to receive data for all 3 options. In addition, there are periods where there are at least 2 options in 3 traded at the same time.

My question is how do I distinguish which data belong to which option ? A solution can be found when no option in the three traded at the same time but this is not the case. I have contacted multiple help sources but there does not seem to be a workable solution. The issue is that the RIC can be recycled, there is no PermID attached to the options.

Jirapongse

@BPT7594

Thank you for reaching out to us.

I checked the Historical Reference report template and found that this RIC relates to SZV1650F.U and SPXf181116500.U.

I used the PriceHistoryExtractionRequest to retrieve historical data for these RICs from 1 January 2008 to 31 December 2012. I found that the Reference Company content field provides the following information. I summarized the extracted data, as shown in the image below.

I am not sure why the data for “SPB Jun9 1650.0C” ends on 6 November 2009.

As this is a content-related question, please contact the Datascope Select or Tick History support team directly through LSEG Support to verify the content.