Historical Options Data

Discussion in 'Data Sets and Feeds' started by vash.amethyste, May 26, 2009.

  1. Hi,

    I serach tick data or better: 1-minute bar, for options.

    - OpenTick is dead.
    - Tick data is very expensive and is tick (not 1-minute bar)
    - CBOE is the same
    - MrMarketData ???

    I have the OHLC but now I want the 1 minute bar.

    Ideas ?
     
  2. I don't know what they offer or what they charge but CSI Market Data has been around for a long time.
     
  3. CSI Market Data : just futur/index options and not stock options
     
  4. MTE

    MTE

  5. dmo

    dmo

    Tick data is more detailed than 1-minute data; if you can get the tick data then your charting software should be able to turn that into 1-minute bar charts.

    DTN iq should have 1-minute data for options, although I don't know how far back they keep it.
     
  6. Tick data provides an app [TSB] to construct any time series you need, but I think the OP needs something less costly.
     
  7. dmo

    dmo

    OP - are you looking for historical data going way back, or recent data and continuing data going forward? The latter shouldn't be terribly expensive from dtn iq for example, if you don't mind a 15-minute delay. I'm familiar with buying historical data from the CME which can indeed be expensive, but if you can make a reasonable case that it is for educational purposes or an educational institution, you can get it for half price.

    I just looked on www.dtniq.com and for the basic $100/month (80 if you pay a year in advance) they give you 120 days of minute data. They also have "ProphetX" which is a little cheaper and gives you "over 1 year of intraday minute data" (although they don't mention options for ProphetX, you'd have to check on that).

    Have you called TOS to see what historical data they keep for options?
     
  8. I see dtniq

    they use IB for the data ?
     
  9. Well, I'm not sure how far back you want to go, but market express seems to have the earliest data. However, it is quite expensive and I doubt it has a one minute granularity. Right now, I would settle for just open and close prices that go back to 1990. I have been looking for historical options data myself for something reasonable. It seems that prophet.net is the best one that I can find for offline options data. It is about $500 and goes as far back as 2000. If anyone finds a better deal, I would love to know about it...
     
  10. Thanks optionsgirl

    actualy 2 solutions :
    - prophet.net
    - dtniq
     
    #10     May 27, 2009