I subscribe to a daily download of SPX option quotes at 1 min intervals. Every morning I download quotes for the previous day, run some data validation checks, and use them, cumulatively, for backtesting. In one of the daily files I recently found a few quotes with $0 Ask price & 0 Ask size. The Bid prices and sizes had reasonable values, consistent with the minutes before and after. The Bid prices were anywhere from <$1 to >$200. When I asked the data provider about this, they said, and I quote ...... "It means nothing was there to trade, no quotes either." I've never heard of that market condition. Is anyone else familiar with that ?
What does it mean? It means that markets were thin. That's about it. Well-traded markets ("liquid" markets) have a thinner bid-ask spread, have smooth transitions from one price to another, have individual price points populated in the order book, etc etc. Options-wise, strikes closer to the money are better traded. Markets-wise, RTHs from 10 minutes after the open to 30 minutes before the close, will be more liquid. The further from the money, and the further away from RTH, the thinner option markets will be: • the bid-ask spread will widen. • the per-strike population will thin out, the more so the further away from the money. • "lumps" will appear at various strikes, from 0 contracts to trade, to tens or hundreds, right next to each other. Think of the tide going out, exposing more and more of what will end up to be a dry shore. An extreme of this? "0 ask at $0.00" So, if you use EOD or Opening data for SPX, you need to expect to see thinning markets as you get further out from the current SPX price. No big deal.
Is this from CBOE LiveVol or some other vendor? -- I think LiveVol may be the most reliable source! Also, can you identify the quote (time/date and option with the missing ASK value? -- I will compare to mine! Also, note that if you are using a quote after the option has expired, you MAY observe a zero ASK! (should not occur otherwise, unless you were provided a flawed download!)
%% YES; thin/not liquid contract- or market closed.LOL-your data provider told you the truth. I called to ask IBKR one time why my price was fine+ chart volume was so goofed up+ it really did not make any diference……….………………………………………………………………………. BY the way, a one minute chart is such a small slice- you could get goofy/more goofy quotes on SPY + the IBD ad forSPY calls that the ''liquidity leader''...………………………………………………………………………………………….
Since this editor doesn't allow pics or attachments, I did a copy/past of the data in .csv format hoping anyone interested can copy/paste into Excel (or other) to view. record,,,underlying_symbol,quote_datetime,root,expiration,strike,option_type,open,high,low,close,trade_volume,bid_size,bid,ask_size,ask,underlying_bid,underlying_ask,number_of_exchanges,{exchange,bid_size,bid,ask_size,ask}[number_of_exchanges] 4015607,Warning,bid price is > ask price,^SPX,10/3/2019 10:02,SPX,1/17/2020,2775,P,0,0,0,0,0,1,37,0,0,2863.64,2866.69,1,5,1,37,0,0 4027757,Warning,bid price is > ask price,^SPX,10/3/2019 10:02,SPX,1/17/2020,2850,P,0,0,0,0,0,2,32,0,0,2863.64,2866.69,1,5,2,32,0,0 5496286,Warning,bid price is > ask price,^SPX,10/3/2019 10:02,SPX,12/17/2021,2850,P,0,0,0,0,0,6,200,0,0,2863.64,2866.69,1,5,6,200,0,0 5497096,Warning,bid price is > ask price,^SPX,10/3/2019 10:02,SPX,12/17/2021,2875,P,0,0,0,0,0,1,0.05,0,0,2863.64,2866.69,1,5,1,0.05,0,0
I see the issues as well, but do cleaning that has been acceptable workarround for these specific cases for me! (you are NOT alone!)
To have the data for which you are wishing, you need a market. The strikes and the DTE for which you are seeking data have no market. No market == no data. Yo.