Historical Equity Options Database

Discussion in 'Data Sets and Feeds' started by psytrade, Jan 6, 2006.

  1. Does anyone know of a commercially available equity options database with historical data going back 5-10yrs?

    Also are backtesting capabilities available with any of these databases?

  2. I also would like to have that resource.
  3. Bob111


  4. thank you Bob.
  5. Bob, have you used their service?

    All I see is historical volatility, not the actual historical option prices.

    Im looking for prices on the strikes going back 5 years.

    I think I got it now, mind you they want $50.00 for 10 yrs data on 8 stocks I choose.
  6. BTW, be careful with historical options information; you might begin to think you can beat the sytem, and then in the end you might find out it was a non-standard option, or there would be an underlying dividend obligation, etc.
  7. Im not actively pursuing it, but the system already works using equities, i just want to see if the option premium is cheap enough to justify an option version of the system. The main issues are liquidity of the options, and the cost long term options.
  8. If your software allows creating “artificial” tickers then simply create your own “options“ using black-scholes and some volatility, like n-day histvola +/- some random factor.

    The only true variable is implvola and while you may not duplicate actual past values, future values will deviate as well.

    For real prices you may consider

  9. chekhlov


    I believe that the historical option prices is a big problem for a strategy developper in options.

    First, very few historical data-providers of historical data -- I am aware of one that I have used in the past, CQG. Daily close data is also provided by Bloomberg Professional.

    But, the day-on-close data can be very misleading. For example, take for example, Eurodollar options. If you look on Bloomberg you will see very small daily volumes, that is one. Two what you will see as bid/ask prices (and no bid size/ask size at all) is simply wrong. Why? Because most of the volume is traded in so-called packages (straddles, strangles, spreads etc.) that are neither reported nor carefully collected by anybody, as far as I know. You can see 100 lots change hands today in a call, whereas it is actually highly liquid with 60000 changed hands and bid/offer size more that 1000 at a time.

    Using such data can lead to some very misleading stratgies...

    What do you guys think and how anybody handles these difficulties.

    #10     Feb 3, 2006