Historical option datas

Discussion in 'Options' started by neo-13, Oct 2, 2018.

  1. neo-13


    Hi everybody
    I found this provider, and it's seems to have good price, so I wanted to know if some of you knew it? and if their datas are corrects?
    They write that their datas come from opcra, but don't appear in the revendor list in the opcra website.

    Thanks a lot in advance
  2. You did not post any links/detail!
  3. tommcginnis


    MAN! THAT is some bad-ass latency right there, it is! :wtf:

    rb7 likes this.
  4. ironchef


    You should be able to get historical options data from your broker for free. But mine only provides six months look back.
  5. neo-13


  6. Interesting! The data is EOD, but I do not find where they disclose the time of that daily sample. Hopefully it is taken at the close or just before the BID/ASK widens!
    The data, for SPX, seems to only include the AM Monthly expiration (from their free sample), so it does not appear to include weeklies for SPX.
    This is an interesting find! Thanks for posting!
    I did not review the Greeks, which vary vendor to vendor, but expect the BID/ASK may be reliable, which is the critical data.
  7. I am the owner of Historical Option Data com.
    I have looked at their data. It exactly matches mine. (Even the greek values I calculate each day)

    (Meaning they have no authorization to be selling my data !!)

    So far, I believe they are selling stolen property.

    We are in the vendor list under StrickNet which we wholly own.

    Thanks. DeltaNeutral.
  8. neo-13


    Oops :(
    Thanks for your answer.
  9. sle


    Having looked at your data some time ago, I'd not go as far as calling these numbers "greeks" :p
  10. DeltaNeutral's greeks haven't gotten any better. But they're his secret weapon for determining whether someone else is reselling his data. Since all the OCC vendors report the exact same options prices,bids, asks, etc., the greeks are the only way to distinguish.

    I subscribe to both DeltaNeutral and CBOE/Livevol EOD equity options services. CBOE/Livevol gives a few extra data points (15min before close bid/ask and bid/ask on underlying) and somewhat better greeks. Delta Neutral is cheaper, earlier and more reliable in the nightly delivery.

    As far as I can tell, DeltaNeutral does not take estimated forward dividends into account in its greek calcs. Nothing else can explain why, e.g., SPX implied forwards are so far off.
    #10     Oct 6, 2018
    tommcginnis likes this.