Dear friends, I've just moved from stock trading to options trading, looking for historical options data for backtesting some strategies. Two questions: 1) is there a source of free historical options data for at least some stocks or index futures ? (any historical options data is OK) 2) where to buy historical options data for cheapest price ? (found http://optionsdatamine.com/order_form1.php so far with $4.5 per stock per year) thanks in advance for any help Alex
I don't know what they charge, but this is great source. http://www.livevol.com/stock-options-analysis-data What are you looking for, EOD mark and bid/ask spreads or bid/ask spreads at some interval? Keep in mind that unlike equities, some options don't trade every minute or every day. Last sale is meaningless. You can't make the case that the midpoint is a place you can execute consistently. You have to assume that you will have to take offers and hit bids, which may or may not be the worst case, based on your liquidity needs. I'm not looking for a response. Just pointing out that your back testing with options will have more uncertainty than equities. Good luck. Bob
Years ago, I tried deltaneutral.com and eoddata.com. I think that one of them stopped providing bid-ask data for options, which made the data nearly worthless. I don't know what the situations are with them now.
by the way, optionsdatamine.com seems good choice since price is low per stock. still looking for more, to have at least some historical options data for free. comment for previous post: deltaneutral.com - overpriced eoddata.com - can't find options