Indexes price options off of futures prices for each expiration. Here's how ORATS does handles futures prices for indexes.

Indexes like SPX, NDX and VIX do not have a trade-able underlying price like stocks and ETFs do. What index options traders use is a futures price. Futures prices are usually quoted quarterly. For example, the CME Group publishes these futures prices for SPX:

null
 

Futures prices do not exist for every expiration. Traders need to interpolate or calculate an implied futures rate for the expirations without a corresponding futures price expiration date.

ORATS uses put-call parity to solve for the futures at each expiration. For example, here are the solves 14-minutes before the close when the VIX spot was $15.98.

null
 

Here are prices from Barchart for the close when the VIX spot was $15.85:

null
 

Here is a graphical look from VIX Central:

null
 

In the ORATS backtester, the stock price associated with the options trade is the implied futures price for the expiration. Similarly, in the ORATS Data API, the stock price associated with the options trade is the implied futures price for the expiration.

To get a free trial and to see pricing for various levels of the Data API or Backtester, go HERE

related posts

What To Do When The VIX Is This Low
Jul
15
Backtesting, contango, options trading, Futures Prices, VIX

What To Do When The VIX Is This Low

With the VIX hovering around 12.5, we looked at how various strategies have worked in the past...

Read Post
Dividend Forecasting Critical Features
Jun
25
Dividends, hard to borrow, options quotes, options, Index Options, Options Pricing, data api

Dividend Forecasting Critical Features

A quality dividend forecast feed is essential for calculating accurate greeks, implied...

Read Post

We're here, if you need us.

Still curious how we can help you?




LET'S CHAT