EOD data for US future options including historical?

Discussion in 'Data Sets and Feeds' started by Phoenix_colossal, Aug 22, 2021.

  1. Hello,

    I have been searching for EOD US future options data for a while. Need to go back as long as possible. I want to have trade OHLC, vol/oi at least. bid/ask OHLC would be nice. the greeks are not necessary, since I will be calculating the IV surface myself anyway. So far only found:

    1). Algoseek, price is alright but only goes back to 2010~2013ish
    2). CSI data, but they only offer 5 years of history.
    3). Optionworks FOP implied volatility dataset on quandl, bought this one because it is relatively cheap ($1k/year), but it only has calculated IV and goes back to 2009. I also find matching their IV from current option data has some issues.
    4). CME datamine, best data goes back to inception, but most expensive. $60k for all exchanges + $20k per year for updates. A bit rich for me.
    5). Optionmetrics doesn't seem interested in quoting me. IVolatility is quite expensive as well, and data is less than CME datamine. Historicaloptiondata.com doesn't carry FOP data (as far as I know, maybe I am wrong).

    Does anyone know a better alternative? if not I may have to bite the bullet and go with CME datamine. Thank you.
    Last edited: Aug 22, 2021
  2. ZBZB


    It says history back to inception on www.csidata.com but that maybe just the underlying futures contracts not options.
  3. Yes, that’s referring to the underlying futures. FOPs only 5 years unfortunately. I subscribe to their world future data already, which is quite nice. Shame can’t get similar FOP coverage
  4. ajacobson


    Try Matt @ORATS. Not certain how deep he gets into FO. Sponsor here.
  5. Ponmo


    How far back do you want to go? algoseek has future options data from 2012 to the present, with all strikes and expiration dates.
    Last edited: Aug 23, 2021