Finding Free Option historical data

Discussion in 'Options' started by TianBa, Oct 12, 2015.

  1. TianBa


    Hi, everyone

    I am a beginner for option market. I am trying to find some options and stocks historical data for analyzing, but it seems difficult to find free historical data. I am here for asking help.

    Option SPY is selected to be my first invested target.
    For this reason, I need to have SPY's option and stock historical data at least 3 years.
    Both of two historical datas, we just need end of day.
    The historical data of stock SPY must have the information such as, date, open, lowest, highest and close price, etc.
    The historical data of Option SPY must have the information such as, strike price, open, highest, lowest, close price, volumn and open interest, etc.
    Examples for the option historical data :
    strike_price, open, highest, lowest, close, volumn, OpInt.
    201, 2, 3.2, 0.8, 2.6, 25165, 67219
    201.5, 2, 3.2, 0.8, 2.6, 25165, 67219
    202, 2, 3.2, 0.8, 2.6, 25165, 67219

    These historical data are used to analyze for finding a trading strategy.
    Can anyone tell me where to find the free historical data?
    Many thanks.
  2. TianBa:
    Free daily OHLC volume data is available from Yahoo Finance and from Quandl. I use Quandl, because more securities and indexes are available thru them.

    Free daily OHLC for options is a different story. I have not found it. You can obtain Endof Day price (not OHLC) from for a reasonable price. (The file produces OHLC but all four entries contain duplicate data)

    CBOE - Livevol has the data, but requires deep pockets to partake thereof.

    Let me know if you find better historical Option pricing data.

    Note: since you are only interested in SPY, you may be able to purchase that for a reasonable fee.

    You may also want to review:

    Also, if your analysis is simple enough, you may be able to write a ThinkScript Study in TOS to complete you task. TOS is free, and you do have access to the historical data (traded prices at the OHLC points). I have done this, but gave up due to the limitations available via ThinkScript for my objectives. Below is a screen shot of a SPY Straddle backtest using ThinkScript for a 14 day trade when IV percentile > 25%.
    Last edited: Oct 13, 2015
    TianBa likes this.
  3. TianBa



    Thanks for your help. I appreciate it.
  4. How far does tos offer historical option data ?
  5. just21


  6. just21


    Last edited: Apr 20, 2017
  7. The historical data VIA TOS Thinkscript (for greater than 6 months) is EOD. Accessing it via ThinkScript is difficult, and IMHO, not worth the effort (there are more productive endeavors to consume your time).
    An alternate approach is to use OnDemand in TOS. This does not have the EOD restriction, but requires you to manually set the date/time, or play/pause. -- Couple this with RTD, and it may be a viable option, depending on what you wish to accomplish. -- The historical data depth depends on the instrument, but is adequate for all but the most demanding. I used this for some manual backtesting for a while, but have purchased LiveVol historical data to play that role now (no need for manual operations with the live vol data).