Futures Prices Implied from Options Prices for Indexes

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:

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.

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

Here is a graphical look from VIX Central:

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.

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