historic option data

Discussion in 'Data Sets and Feeds' started by man, Dec 16, 2002.

  1. man


    I am looking for sources offering reasonable historic data. I found it rather frustrating that you can get derived data out of several expiry dates from sources like ivolatility, optionvue or bloomberg, but no data without bias.
    actually what you need IMO is time stamp, bid-ask and option specifications. then you can get intraday stock data to match the time stamp of the option and thus derive the greeks.

    I am considering to build that data base on my own in order to test out things like shorting straddles after a gap or other equilibrium-distorting events of that kind. I am very much fond of portfolio effects and mechanic edge exploitation, yet all my option strategies traded so far never really paid of, due to - from my perspective - distortions in the root data set.

    Would anybody be interested in setting up a joint database in that field? I would start with one stock or future and get familiar with all the necessary updating and shifting routines. then shift to a dozen futures markets and about five dozen stocks.

    To me there are two possible reasons for the lack of accurate data:
    1. this is a still small market and therefore it does not pay off for
    a data vendor to deliver such data
    2. this is a still small market and people who own such data know its value to well to give it out.

    opinions? suggestions?
  2. 1) True;

    2) True.
  3. man


    that was my guess.
  4. just21


    I read, a few weeks ago, about a university that has a historic tick by tick option database that they charge $30,000 a year for access to. Try a search on google.
  5. man


    I think you probably referred to the Berkley Options database. Their site states that the CBOE forbid them to spread the data any longer.
    thanks anyways
  6. oratguy


    optionmetrics has historical equity option price data that goes back at least 6 years and is in the range of $2000 per month. tell them that the guys from option research and technology services sent you.
  7. quote.com has some historical option datas for stocks and qqq but it doesn't seem to have for indices ?

    I will begin to compile intraday datas myself in a few days.

  8. man


    thats good, i already use quote.com to derive minute data on stocks, did not know they are in options as well.

    i am considering to build a database on my own as well. its rather challenging since the data management needs to be rather dynamic since you have changing strikes and rollovers.

    another post proposed berkley optiondatabase but it seems they stopped doing this. strange thing this option data.

  9. hans130


  10. man


    i am a client of csi and IMO they do not have stock option data. but i will check again. thanks anyways.

    #10     Jan 8, 2003