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Open Feature request MC-1513

Expiration Date Rules

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Description

The VIX Futures expires on the second to last Wednesday of the month. This is a problem because sometimes there are 3 Wednesdays, sometimes 4, and even 5. The possible "custom rules" only allow things like the 3rd Wednesday of the month or 4th.... but not the ability to count backwards through the calendar.

Steps to reproduce this issue

I added the symbol via my Interactive Brokers search in QM. I've also tried to import ASCII data to a custom futures symbol. To reproduce the problem, just try and make a custom exipry rule and notice it wont count backwards from the last Wednesday of the month

Comments (1)
#0
user-offline.png  JoeTrader (Guest)
Nov 19, 2013 - 22:09

Andrew got back to me very quickly. After both of us looking at the CBOE website for the VIX futures, we came up with "30 days before the 3rd friday of the next calendar month". That IS possible in custom rules, but it seems to be off; sometimes the expiry is 31 days before.....

History
Issue basics
  • Type of issue
    Feature request
  • Category
    Usability
  • Targeted for
    Not determined
  • Status
    Under Review
User pain
  • Type of bug
    Not triaged
  • Likelihood
    Not triaged
  • Effect
    Not triaged
Affected by this issue (2)
People involved
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Issue details
  • Resolution
    Not determined
  • Severity
    Critical
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