Oh, I copy-pasted to my own script from the webpage.

I found the issue. Apparently the SPY_20XX.t6 files getting downloaded were corrupt, but the SPY.t6 was good. So deleting the SPY_20XX.t6 files resolved the issue and now I can do EOD backtesting with artificial SPY Options data.

Cool.

Next step is to try to find tick (t8) data for SPY 2020. I am going to plot intra-minute histogram of the EOD closing price as the last minute or so elapses.