"Mulmat" is a Python library that maps futures option codes to their
corresponding underlyings and expiration date. Futures options and their
underlying futures contracts have distinct expiration dates which cannot always
be calculated in a straightforward manner (may be affected by holidays, and are
irregular in some products, such as ags). For example, the option code /OZFX1
(options 5-Year T-Note treasuries) has an underlying of /ZFZ1 and an
expiration of 10/22/2021 (of the option itself, not of the underlying
contract).
"Mulmat" also provides a simple database of size multipliers for each product.
The local database of contracts is stored in this repository as a static file and updated regularly by the author running the script. See commit history for the latest updates. A script is included that can download a list of fresh contract data from the CME website and aggregate it in the existing database, in order to maintain data for expired contracts. Historical expirations will be accumulated. I started this database in August 2021; prior data is not available.
The Python library provides simple indexing into this library. The list of contracts updated in the local database by default are those commonly available in retail platforms, but the code supports any product. If you'd like to me to add more to the list, please send email.
Some retail platforms only provide futures options codes and one cannot thereafter determine the expiration date for that contract. This is intended to make it easy to do this mapping and maintain a database of it.
You lookup a name like this:
$ mulmat-lookup LOX1
{
"Product Group": "Crude Oil",
"Product": "Crude Oil Option",
"Symbol": "LOX1",
"Underlying": "CLX1",
"First Trade": "11/20/2015",
"Expiration": "10/15/2021 13:30",
"Settle": "10/15/2021",
"Clearing": "LO",
"Globex": "LO",
"Prs": "LO",
"Floor": "LO",
"Group": "LO",
"Itc": "LO",
"Exchange": "NYMEX",
"Contract Type": "Option"
}
It also supports TOS-style expirations with the decade, e.g., LOX21 and a
leading slash, e.g. /R3EX1. (This is relevant because it's really that
particular platform which is not providing us with this information in the first
place other than it being rendered in the UI which uses decades in the contract
names.)
This project is under the Apache license.
Author: Martin Blais blais@furius.ca
(Note: The project is named as such as a token of appreciation of Pete Mulmat, a futures expert previously at the CME and currently a commentator on futures markets and show host on the Tastytrade network.)
