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BTIG Option Retention Pattern

BTIG removes certain closed options from their P&L downloads, breaking ITD (Inception-to-Date) P&L continuity. This document explains the pattern and how Sable handles it.

The Problem​

Options that were held historically can disappear from BTIG's PnL file after closing. When this happens, we lose track of the realized gains/losses on those positions, breaking ITD P&L calculations.

Retention Rules​

After analyzing transaction patterns, the rule is:

ScenarioBTIG Behavior
Any voluntary close (BTC, SEL, EXW) at any pointRetained in PnL
Only involuntary closes (ASB, AST, EXB, REO)Removed from PnL

Key Insight​

BTIG tracks whether you ever actively traded out of a position. If you did any voluntary closing action (even partial), they keep the history. If the position was ONLY closed through assignment/exercise with no voluntary action, they drop it entirely.

Transaction Type Reference​

Voluntary Closes (Position Retained)​

CodeDescription
BTCBuy to Close - voluntarily closed short option
SELSell to Close - voluntarily closed long option
EXWExpired Worthless - let option expire

Involuntary Closes (Position Removed if ONLY these)​

CodeDescription
ASBAssigned Buy - put exercised against us
ASTAssigned Transfer - option assigned
EXBExercise Buy - we exercised the option
REOReorganization - corporate action

Example Scenarios​

Retained: Mixed Close​

2025-02-26: SSL (open) 40 contracts
2025-03-11: BTC (voluntary) 20 contracts  ← voluntary close
2025-03-17: ASB (assigned) 18 contracts
2025-03-18: ASB (assigned) 2 contracts
Result: RETAINED (had voluntary close)

Removed: Only Assigned​

2025-11-20: SSL (open) 30 contracts
2025-12-18: ASB (assigned) 30 contracts  ← only involuntary
Result: REMOVED from PnL

Detection Tooling​

SQL Function​

SELECT * FROM sable.fn_disappeared_options();

Returns all options that existed historically but are missing from recent PnL data.

CLI Command​

sable pnl disappeared --account AV7K

Options:

  • --date <date> - Reference date (default: latest)
  • --account <code> - Filter by account
  • --json - Output as JSON

Fill-Down Strategy​

For disappeared options, Sable implements "fill-down" logic:

  1. Identify options with only involuntary closes
  2. Capture final itd_total_pnl from last PnL appearance
  3. Create synthetic rows with qty=0 carrying forward that P&L value
  4. Maintain ITD continuity for reporting

Current Statistics​

As of January 2026:

  • 45 disappeared options need fill-down (all had only involuntary closes)
  • 547 retained closed options (qty=0 still in PnL)
  • Accounts affected: AV7K (43), XPB006152 (2)
  • BTIG Files - File formats and processing
  • Epic: Options Fill-Down for ITD P&L Continuity