historical data for OEX and NDX

Discussion in 'Data Sets and Feeds' started by mgzheng, Jun 20, 2005.

  1. mgzheng


    I am looking for historical open interest, put call ratio and implied volatility for OEX and NDX. Can anyone recommend a good source? Thanks ahead of time.

    I have spoken to cboe and onechicago. They don't provide historical data. I talked to ivolatility.com, their idiot salesman was exetremely hard to work with. I had to chase him down for quote and PO. It's been several days and it's still not done yet. This is why I'm trying to look else where.
  2. kut2k2


    I think implied volatility depends on the pricing model you assume. What is your pricing model?
  3. mgzheng


    Just black-scholes.

    I'm answering my own question here:

    http://www.theocc.com provides past option volume by type (call or put) going back 3 years, from which I can get put/call ratio from. But have to download it month by month.

    http://www.csidata.com/ provides historical option prices, from which I can derive IV.