options backfill: skip empty month frames before concat (pandas FutureWarning)

Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>

research/lab/fetch_options.py

@@ -562,6 +562,7 @@ def backfill_one(api: Api, u: str, start: str, end: str, lte_active: str, hist:
                                                                       + dt.timedelta(days=1)).isoformat()), g)
             lo = (pd.to_datetime(f["expiry"]) - pd.Timedelta(days=DTE_MAX)).dt.strftime("%Y-%m-%d")
             frames.append(f[(f["date"] >= lo) & (f["date"] <= f["expiry"]) & (f["date"] <= end)])
+    frames = [f for f in frames if len(f)]
     bars = pd.concat(frames) if frames else pd.DataFrame(columns=BAR_COLS)
     _atomic_csv(bars, os.path.join(hist, f"{u}.csv.gz"))
     rec = {"underlying": u, "contracts": int(len(meta)), "bars": int(len(bars)), "requests": api.n - n0,