Hi there, TLDR: Does anyone have a list of historical option chains IE the ticker symbols for options that have traded in the past going back to ~2010? Not prices or other information, just the symbols themselves IE ".BAC 160204C0004500" I'm putting together a historical dataset that includes stock and option data. I'm using activetick for the data, which seems to be pretty good esp. for the price. I'm rolling up the level 1 tick data to 1-15sec resolution, which is fine for my purposes. Equity data is fine, now I'm collecting options data. Therein lies the problem. Basically, if I have the full option ticker symbol, I can get the historical option data, but I need the ticker symbol first, for which I need to know my expiry date and strike price. But how to know the expiry date and strike price if I really just want to say "show me the options that were expiring around x and y date"? I've been able to find expiry date calendars (http://www.optionsclearing.com/components/docs/about/publications/xcal2012.pdf) but those dates don't seem to line up correctly with activetick or yahoo finance. Strike price is a little trickier -- I'm interested in a certain window of options around the current price of the stock and that window keeps changing. Given a list of the available tickers, I can determine this properly based on the historical equity price data and the dates. So, the easiest thing I could think of would just be to get a rather large text file with every option ticker symbol going back to 2010. I've got a few feelers out to see if I can get that (or an alternative), but so far nothing. Does anyone happen to have this? Or an alternative suggestion?
Since every options quote has the same syntax, some regex/string manipulation should help. python would be a good language to try. https://en.wikipedia.org/wiki/Regular_expression https://docs.python.org/2/library/re.html I don't know if you can program or not, just the first thing that popped into my head.
Funny you should mention it... Python is definitely my language of choice and I have indeed written some code to construct the symbols based on current equity price (and shift up or down to get strike prices). For some reason, the strike dates aren't being calculated right so I'm thinking a list hard coded would be easiest. But yeah, will keep searching...