Days to expiration using ORATS data.

Discussion in 'Options' started by TheBigShort, Jan 14, 2019.

  1. Matt is probably in bed right now and I am currently working on something (could use a much speedier answer).

    If we take a look at the days to expiration for the first month on AAPL or MSFT, ORATS has the difference between Jan 11 and Jan 18 (expiration date) as 9 days. From an email I have with Matt:
    "For the Core API the trade date refers to the data we knew at the time. For example, the date for today of 10/23/18 would have a close of yesterday and HVs from yesterday but IVs from today when the market opens."
    I still am unable to get 9 days between the dates.

    There is no way ORATS is wrong here, I am just having trouble interpreting it
    This is from Quandl BTW. orats.PNG