Historical Commodity Futures Options Data

Discussion in 'Options' started by liftoff, Feb 21, 2017.

  1. just21

    just21

    #11     Feb 21, 2017
  2. Robert Morse

    Robert Morse Sponsor

    I would call them to check, though you might be right.
     
    #12     Feb 21, 2017
    liftoff likes this.
  3. liftoff

    liftoff

    #13     Feb 21, 2017
  4. Futures option data is hard to find, expensive, and difficult to work with.

    I have only found two good sources for comprehensive historical end-of-day futures option data -- CME DataMine and IVolatility.com. CME has EOD data going back to, IIRC, 1986 and costs $50k for the full set. IVolatility has data going back to Dec. 2005 and charges $3900 for the full set, but every year or so has a data sale discounting the set to about $2500. Daily updates run $250 a month with, I think, some discount for paying a year in advance.

    I have not worked with the CME back data (out of my price range!) but bought in the IVolatility history in late December during their last sale. It is extremely difficult to work with, at least compared to equities/indices option data. I am still struggling with parsing, cleaning, and calculating vols, vol surfaces, and greeks -- futures options have so many types, quoting conventions, and per-underlying/per-root idiosyncracies the task is almost Sysiphean.
     
    #14     Feb 21, 2017
    liftoff and sle like this.
  5. liftoff

    liftoff


    Thanks for the heads up. Finding an cheaper alternative to the CME, CRB and CSI options is a start. Let me look into the IVolatility alternative.
     
    #15     Feb 22, 2017