How can I use regex to parse an OCC Option Symbol?

Question

The OCC option symbol consists of 4 parts:

1. Root symbol of the underlying stock or ETF, padded with spaces to 6 characters
2. Expiration date, 6 digits in the format yymmdd
3. Option type, either P or C, for put or call
4. Strike price, as the price x 1000, front padded with 0s to 8 digits

As an example SPX 141122P00019500 means a put on SPX, expiring on 11/22/2014, with a strike price of $19.50.

Is it possible to use regex to parse this out automatically? I'm using JavaScript

Answer 1

Here is the regex (I highly recommend http://regexr.com)

([\w ]{6})((\d{2})(\d{2})(\d{2}))([PC])(\d{8})

Group1: ETF

Group2: Year

Group3:Month

Group4: Day

Group5: put/call

Group6: strike price

Your js would look something like this (somewhat psuedo-code. Not tested)

var myString = "SPX   141122P00019500";
var myRegexp = /([\w ]{6})((\d{2})(\d{2})(\d{2}))([PC])(\d{8})/g;
var match = myRegexp.exec(myString);

console.log("a " + match[5] + " on " + match[1].trim() + ", expiring on " + match[3] + "/" + match[4] + "/20" + match[2] + " with a strike price of $" + match[6]);

Answer 2

I don't think you even need a regex, assuming the OCC option string has a fixed format. Instead, you can try just using substring() to extract the various components.

var occ = 'SPX   141122P00019500';
var symbol = occ.substring(0, 3);
var year = parseInt(occ.substring(6, 8)) + 2000;
var month = occ.substring(8, 10);
var day = occ.substring(10, 12);
var date = month + '/' + day + '/' + year;
var type = occ.substring(12, 13) == 'P' ? 'put' : 'call';
var price = parseFloat(occ.substring(13, 21)) / 1000.0;

var output = 'a ' + type + ' on ' + symbol + ', expiring on ' + date +
             ', with a strike price of $' + price.toFixed(2); + '.';
console.log(output);

I would expect using substring to build your output string would generally perform better than using a regex.