Expiries

Expiries

Five listed cycles under one ExpiryKind, so a scanner can take the cycle as data rather than branching on it.

The five cycles

Cycle	What it is
DAILY	Every trading day. SPX, NDX and XSP list an expiry each session, so this cycle is the trading calendar
WEEKLY	That week's Friday, rolled back to the previous trading day when the Friday does not trade
MONTHLY	The classic third Friday, stepped to the previous day when that Friday is a scheduled holiday
QUARTERLY	The monthly of March, June, September and December, the triple-witching months
VIX	The Wednesday thirty days before the following month's third Friday

Four of the five settle at the close, which is why they share next_expiry_after and its Hour parameter. VIX is the odd one out in both dimensions at once, and that shapes the API.

Why VIX keeps its own functions

Its date is anchored in the following month, and it settles in the morning, at the 09:30 New York opening auction that prints the Special Opening Quotation. A close-shaped Hour cannot name that moment.

So VIX has its own instant pair, vix_settlement and next_vix_settlement_after, and joins the others only where the date alone matters: is_expiry_day and expiries_between.

Passing ExpiryKind.VIX to next_expiry_after raises rather than quietly ignoring the Hour you supplied:

next_expiry_after: ExpiryKind.VIX is a.m.-settled and has no close-shaped Hour. Use next_vix_settlement_after

The VIX rule in full

The Wednesday thirty days before the following month's third Friday, stepped to the business day immediately preceding it when either that Wednesday or that Friday is a Cboe holiday.

Both branches happen in practice:

• Good Friday landing on the third Friday moved 2022-03 and 2025-03 to a Tuesday.
• Juneteenth landing on the computed Wednesday moved 2024-06.
• Juneteenth observed on the Friday moves 2026-05.

The Cboe holiday set is the NYSE rule set the library already carries, with the Juneteenth epoch of 2022 and the Saturday-observed-on-Friday rule included. The 2026-05 and projected 2027-05 exceptions both hang on those two details.

The rule reproduces every settlement on the published Cboe calendars from 2021 to 2026, all four Tuesday exceptions included. Past the last published calendar the same arithmetic runs as projection, and Cboe can move any future date by circular, which no rule predicts.

Note the thirty-days-back arithmetic needs no weekday check: thirty days before a Friday is a Wednesday by identity, since 30 is two days past four whole weeks.

Scheduled holidays only

monthly_expiry_day and vix_settlement_day step for scheduled holidays and not for unscheduled closures, deliberately and for the same reason: the exchange knew the published calendar when it listed the contract. An unscheduled closure moves settlement by circular, which no rule predicts.

Tenors

parse_tenor turns the strings a desk actually writes into a Period:

String	Meaning
"1D", "7D"	Days
"2W"	Weeks, as 14 days
"3M", "6M"	Months
"1Y"	Years

Combined with plus_period and adjusted, that is the whole "three months forward, rolled modified following" story in three calls. See Trading Days and Day Counts.

Scanning a range

expiries_between(from_ms, to_ms, kind, z) returns the dates ascending. It raises past a 20,000-day span rather than silently truncating, so derive the span from what you are drawing rather than passing the whole chart. See Performance and Limits.

is_triple_witching() is the quarterly test on a date you already hold, and is_expiry_day(kind) the general one.

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