I have been searching the web to find historical end of day price data for a number of commodity futures options and the only two places that seem to have this dataset is CRB (Commodity Research Bureau) and CSI (COMMODITY SYSTEMS INC). This will be all well and good but the prices these guys are quoting for the dataset is a little too high for me. I was wondering if anyone knew of a different avenue to get the data like subscribing to a cheaper datafeed provider who will allow me to download the same dataset over a number of days or weeks? Or if anyone on this forum has the dataset and they are willing to share; that will be nice. I currently have access to a TR Datastream and Bloomberg terminal, is there a feasible way I can get the historical data via these platforms besides using their paid APIs? Thank you guys for the replies...
While I was searching for the exact dataset, the only way I found was to save manually (or parce automatically) EOD prices on the Barchart site. This is the only reasonable and totally free source for all futures options. Will be glad to hear some news on that.
https://www.quandl.com/search?query=commodity options EDIT: Search on options may be better https://www.quandl.com/search?query=options&type=all
Just checked and they do not seem to have options on futures data at least for commodities. Thank you for the information though.
I am thinking this provides only information on currently trading contracts or it is possible for me to parse their data to build a historical dataset that goes back decades?
Looks like CME is providing some information on quandl atleast on currently trading option contracts. Let me dig deeper into the dataset they have available and report back in a few. Thanks for the heads up.
Yeah, that's why I wrote about saving manually or parcing on a daily basis. I guess this won't fit your needs as you want history quotes back in the past. OK then, please share your conclusions on Quandle.
The Quandl dataset seems to be for only currently trading options contracts on popular metals and energy futures. So it is definitely something @Dael would want to check since you are doing daily saves.
The ICE database on quandl has Intercontinental Exchange Futures Data Futures data for softs, grains, energy products and financial instruments, with historical contracts going back decades. The WTI v brent option goes back to 2012.