Hi all, I studied the mysterious code for option symbols. I only need historical data for at the money call and put options on S&P 500. Since it is at-the-money option that I need, I am afraid that the option codes will be changing in the last a few letters, because the at-the-money strikes prices are changing daily. A stupid method I can think of at this moment is: 1. Check historical $SPX price everyday; 2. For each day, map the at-the-money strike price to the mysterious code; 3. Construct the option symbol (which is different each day for at-the-money options), and fetch the quotes of options with several expiration dates for that date; 4. Loop the 1, 2, 3 steps to get all historical data. My questions are: 1. In step 2, Is there a way to map the at-the-money strike price to the code automatically? I cannot think of any good method right now. 2. Is there a way to obtain bid-ask prices for options? 3. Any better and smarter method than the above 4 steps? IB has 1-year historical data restriction. Opentick doesn't go back to year 2005 even for $SPX index prices. I am right now looking for some other good data-sources. Could anybody give some suggestions? Thanks
mizhael, there is no free historical options data besides the sources that you mentioned in your post. But a quicker way can be using the "old VIX" index, which is Black-Scholes implied volatility on OEX, or the VIX which is model-free implied on SPX. CFE also disseminates bid and ask on the VIX : http://cfe.cboe.com/Products/vxbdata.aspx
Thanks dd4nyc. I think this is a brilliant idea. I do have some follow-up questions: (1) How far do these VIX data go back? (2) How do we back out the at-the-money S&P 500 option price (call/put) based on the VIX data? Of course, if we use the "old VIX" implied from BS formula, we just need to find that at-the-money strike price and S&P 500 price at each date, and find the risk-free rate at corresponding date, and then we can backout the option price using BS formula. But then there is the use of the risk-free rate, and the convention of the time-to-maturity used in BS, these two issues bother me. And for the new VIX, how can I back out the option price? (3) Are there any reasonably priced option historical data? I saw tickdata.com. They only have option back to 2004, and they charge thousands of dollars for that data. Thanks a lot!