Discussion in 'Data Sets and Feeds' started by EliteTraderNYC, Jan 30, 2013.
Anyone use this for historical option data? It looks affordable.
(a) I have not used this particular vendor, but I am sure they are offering the same thing as most cheap vendors, which is OPRA EOD data.
(b) If you are after a cheap source of option prices, it's ok, but if you need reliable implied volatilities, they would be very off and you going to have to do a lot of work for it.
(c) Another problem is if you are doing anything related to single stocks, they do not adjust their data for splits or mergers, so you are going to have to find that data yourself some place else (it's not cheap).
I bought similar data from deltaneutral.com, but I needed to strip my own volatilities and forwards anyway.
http://www.ivolatility.com/ is a good one
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