Found that Bloomberg does have historical data for options. The Bloomberg helpdesk told me the opposite. But now we do have option historical data on BB. The problem is: with futures, the contracts keep changing, say the crude oil futures, how to download historical option data on futures and organize in a meaningful way?
There are many ways of doing it. All of them involve doing some work and depend on what exactly you're trying to achieve.
Interactive brokers have free historical option prices. Call up a chain, right click on strike, select chart.
Mizhael, I'm not a BB user, but just asked some questions about it in a previous thread. I saw your earlier thread as well... can you fill me in on what you found? Can you find historical option data for futures contracts 2-3+ years back? Can you get to a chart that shows implied vol and realized vol going back years?
Are you talking as in bloomberg terminal... You know the 1900 USD per month service? If so then what you need to do is generate the Bloomberg notation. I have not downloaded future option data in a while, but here goes... So for example, lets say we want an option of crude oil... CLF1C 100 Cmdty This is the Jan 2011 call for strike 100 on Crude Oil which is a commodity. The only catch are the NDX and NQ options as they change symbol depending on the strike that you are referencing. You really need to talk to your Bloomberg agent for this help. It is not trivial imo. I had a heck of a time since I wrote some C# routines to automatically download the data.
Forgot to add how I organize them... I do as follows for my example CL-2011-01-CALL-100 This way it generates a unique identifier. The only exception and you need to think hard about this one is that the currency contracts have both American and European contracts. So for them add an additional -American or -European identifier. Christian Gross
No in order to backtest we need intraday bid ask data. Its not okay to use close bid or close ask prices