Where to Find: Historical Options Data
Does anybody know where I can find information about the number of and price of puts/calls on S&P 500 and gold options over the last ten years?
Thanks a ton.
SlyGuy
Does anybody know where I can find information about the number of and price of puts/calls on S&P 500 and gold options over the last ten years?
Thanks a ton.
SlyGuy
Career Resources
I have used SPX data from www.historicaloptiondata.com.
Historical price data for Options? (Originally Posted: 05/21/2013)
Where can I view historical price data for call/put options? Not finding it on Google or Yahoo finance.
You can buy it from option metrics (sp?) and also directly from the CBOE, I believe.
Historical volatility on options (Originally Posted: 11/15/2010)
Can anybody comment as to which price should be used in a historical volatility calculation. Say I have a data set with historical bid/ask prices, is there one that should be used instead of the other?
Any insight/reasoning would be helpful.
No real correct answer, just use the mid price but there are so many ways to measure historical volatility:
Buying historical options data (Originally Posted: 04/15/2012)
Hi everyone,
I'm looking for a good place to acquire a few months' worth of stock options data, especially if the data includes intra-day price changes. The exchange I get the data from doesn't matter that much for the project I'm pursuing.
I was wondering, what are the most reliable and (more or less) affordable ways to purchase this data? Is it available for free anywhere?
Thanks!
NANEX
www.optionsdatamine.com offers free historical options for options going back 2 years
you can also find volume analysis and options charts with historical O,H,L,C, V, Open interest.
http://www.marketdataexpress.com/
Not sure if you're talking about realized or implied when you say "historical." I'm going to guess realized and go from there.
I really don't think it matters as long as you're consistent. IE: bid-to-bid is OK but ask-to-bid probably isn't. In any case, vol is usually an inexact science- kinda like beta- and I'm not sure that a discrepancy between the bid and ask on a liquid stock is going to throw off a realized vol calculation over a sufficient period of time.
Bloomberg.
Most online brokers offer charts of this. I'm not sure about price tables. Bloomberg has tables - see if there's one on your campus, and you'll be able to export it easily. It could be kind of hard to find intraday data online (ie not from a professional service like Bloomberg) for a lot of options because less liquid contracts can go days without an executed trade. (The market maker will always offer a bid-ask, so maybe mid price is more what you should look for.)
I free, but somewhat tedious way is to go to bigcharts at marketwatch . com and find the underlying security, then click options chain, then find the option you're looking for and click the name (string of numbers). Then click interactive chart.
You can then use you mouse to check prices on each day. This only works if the option in question has not yet expired. It's a pain in the ass, but if you only have a few and are trying to put together historical performance or something, it works.
Thanks! My campus should have Bloomberg access somewhere. I'll check around.
take a look at optionsdatamine.com you can find historical data going back 2 years for all stock options. graphs, charts and other stuff
good luck
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