US Equity Options Security Master and Lookup File Guide

version 1.2 (Jul 2023)

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TABLE OF CONTENTS

INTRODUCTION        4

DATA ORGANIZATION AND FILE FORMAT        4

LOOKUP TABLE FILE        6

APPENDIX A. LOGIC        8

INTRODUCTION

The Equity Options Security Master file is a single data file containing all the listed and delisted OPRA options, which include options on stocks, ETFs, ETNs, Indexes, etc, from 2012 to present, with summary information like option type, settlement type, etc.

The Security Master File is organized based on algoseek's unique identifier called algoseek ID (ASID), which remains unchanged during the specific option root ticker's life.

A lookup file is available for converting an ASID to the option ticker and to the underlying ticker.

DATA ORGANIZATION AND FILE FORMAT

List of Data Fields

Security Master File is provided as a single flat file (eq_opt_sec_master.csv) in CSV format,  with each row corresponding to an option root ticker (for example, AAPL).

The Security Master File is updated on a daily basis. It can be used to backtrack any historical modifications to an option root symbol (by ASID) or to restore point-in-time data.

Table 1 shows the complete list of data fields in the Security Master File with sample contents for a few Option ASID, in which rows and columns are inverted for the convenience of the document display.

Table 1: Sample Data from Security Master File

Table 2 below summarises the name, brief description, and data type for each data field (column) in the Equity Options Security Master File. The table column “Missing” indicates a default value or behavior in case the data field value is not present or cannot be determined, where “Never” means that a value is always present in the data field.

Table 2: CSV File Fields Schema for Security Master

For the OptionTradeDates field, a format of yyyymmdd:yyyymmdd is used to indicate the start and end date of a period of time, and a semicolon is used to separate the different periods. For example

20120103:20130318;20130415:29991231

in which the end date value 29991231 implies that the range is ongoing and no end date has been set.

Underlying Type

The “UnderType” column in the Security Master File provides the type of underlying. Table 3 below includes a list of available underlying types and their brief descriptions.

Table 3: Underlying Types

Option Type

The “OptionType” column in the Security Master File provides the type of option. Table 4 below includes a list of available option types and their brief descriptions.

Table 4: Option Types

Option Settlement Type

The “SettlType” column in the Security Master File provides the settlement type of option. Table 4 below includes a list of available option types and their brief descriptions.

Table 5: Option Settlement Types

LOOKUP TABLE FILE

To find the correct Option ASID for a specific option root ticker (or vice versa), you will also need a trading date because sometimes the same ticker may refer to different option ASIDs due to the ticker being used by different companies during different periods (for example, S for Sprint Nextel, Sprint and then SentinelOne Inc).

algoseek provides one lookup file (opt_ticker_to_asid.csv) for mapping option ASID to the option ticker name, to the underlying ticker, and vice versa.

Option ASID to Ticker Lookup

Table 6: Sample Data from Option ASID to Ticker Lookup File

Table 6 above is a sample of a truncated ASID-to-Ticker lookup file.

Table 7 below summarizes the name, brief description, and data type for each data field (column) in the ASID-to-Ticker Lookup data file.

Table 7: Option ASID to Ticker Lookup File Fields Schema

APPENDIX A. LOGIC

A new date range for the option root ticker is created when the difference between the previous and next dates is more than 7 days.

Assigning ASID to Options Based on Root Option Ticker

There are three types of option tickers that have slightly different logic for assigning ASIDs. All details are described in Table 8.

Table 8: Assigning ASIDs to Option Tickers

Daily Updates

If the option ticker is not traded for more than 3 days, it will be marked as Delisted (D). And can be changed again to status: Listed (L), without assigning a new ASID if past less than 30 days. It is not applied to adjusted (non-standard) tickers.