historical data for OEX and NDX

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

  1. mgzheng

    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

    kut2k2

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

    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.