Inexpensive provider for historical intraday option data?

Discussion in 'Data Sets and Feeds' started by Steve06, Dec 30, 2009.

  1. Steve06


    what data provider for historical intraday (tick level preferable) on options from US and german exchanges (EUREX) would you recommend? I'm mostly into index options. The underlying major indices would also be nice.
    I'd like to create a database of up to 5 years to do some backtesting.

    Best regards
  2. d138


    Such provide does not exist
  3. Steve06


    Well, ok, let's agree that they are all quite expensive, but then please recommend me the cheapest providers among the existing ones.
  4. just21


    You can chart option prices in IB TWS and can probably get the data from the api.
  5. I doub't you will find historic options data.
    But here is a workaround for backtestings etc:
    You only need the historic data of the underlying.
    Then use the Black-Scholes formula for calculating the option premiums yourself. In this posting you can find more info:
  6. Steve06


    but in option markets implied volatility has to be considered!
    of course you can approximate it by using historical volatility of the underlying, but it's not exactly the same, since historical vol has some 'lag' effect, contrary to implied vol.

    other suggestions?
  7. spindr0


    If you start collecting data now, in 5 years you'll have exactly what you need :)

    Seriously, I doubt if you're going to find historical intraday data and if so, it's probably going to be costly. But what do I know?

    CSI Data has been around for a long time and I've heard that their data is good. Check their web site or give them a call to see if they have anything of use to you.
  8. CSI apparently provides the historical data you find on Yahoo Finance. Which is notoriouly unreliable.
  9. You can compute the "moving volatility" from the data of the underlying, ie. the annualized volatility with each bar... much like in a MA calculation...
    After all it's all just an approximation you can get.

    As said, for backtesting option strategies I would take only the data of the underlying and apply the Black-Scholes option pricing model on that data.
    Everything else is much less reliable than that solution, IMO, YMMW.
  10. spindr0


    LOL. Well if that's the case then CSI is probabably not a reliable source anymore :)
    #10     Dec 31, 2009