Historical options data ...

Discussion in 'Data Sets and Feeds' started by BrooksRimes, Oct 6, 2009.

  1. I'm looking for historical options data (initially on RUT) containing O/H/L/C and delta and implied volatility (IV). This isn't easy to find.

    So far, I've found Livevol (http://www.livevol.com/). They sell options data for a very reasonable $12/yr but with a $300 minimum order. I'm seriously considering them.

    Has anyone done business with them?

    Or know of other sources?


  2. d138


  3. Thanks for the post.

    A friend of mine uses them and says for daily quotes they only have C and are missing O/H/L.

    Do you know different?

  4. d138


    That's right. Quality of data is good though.
  5. Well, some brokers provide HV and IV data. But they don't go too far back --for TD Ameritrade at least. OPRA says that brokers provide their data cheap, but I haven't heard of any access to unfiltered OPRA data through retail brokers...

    If you want data on the clientside, this is the most comprehensive that I have found:


    Really expensive, if you want option tick data...
  6. IB provides it but it's only on currently active (e.g. unexpired) options. They provide bid/ask data though that can be HUGE when you're looking at thinly trader options.

    You can export data from IB using jtwsdump or ibcollector (and maybe others?), or you can also roll your own export module.

    Tradestation also provides OHLC data for currently trading options, but no bid/ask.
  7. Thanks for the post. I visited the website. Could not find any greeks. Sent them an inquiry.


  8. I doubt they will provide you with the greek data. Greeks are not usually stored data anyways. It's more efficient to let software calculate them on the fly from the prices of the underlying and the option prices themselves.
  9. Would you have a formula simpler than the Black Scholes?

  10. FIG


    If you're interested in a daily options data feed checkout this website:


    Here is a promotional code to extend the free trial:


    This service is only 30/month and there is an awesome excel spreadsheet that is also free!
    #10     Oct 25, 2009