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.
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 EODDATA.com for a reasonable price. (The file produces OHLC but all four entries contain duplicate data) http://eoddata.com/products/default.aspx CBOE - Livevol has the data, but requires deep pockets to partake thereof. http://www.livevol.com/stock-options-analysis-data 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: http://www.elitetrader.com/et/index.php?threads/where-to-find-historical-options-data.171577/ 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%.
http://www.ivolatility.com/data/historical_data2.html 30% off at ivolatility for large amounts of data. Small amounts of data e.g just closing option prices for all strikes for one year is $3.60 per stock, $10 per ETF, $20 per index. http://www.ivolatility.com/data/data_download_intro.html?smid=.2.5.1
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).