Options data besides ivolatility.com ?

Discussion in 'Data Sets and Feeds' started by ozzie123, Feb 9, 2007.

  1. ozzie123



    I'm looking for options data provider besides ivolatility.com. The data that I need is IV, HV, options price, and also options greek. Is there any?

    Nothing wrong with the site though, it's just that they ask me to fill a form containing my credit card info to process it manually (which makes me inconvenient).
  2. ozzie123


    Hello Wayne,

    Thanks for the free link ;-) however, I'm looking for a more specific options data (in my case, IV and HV for certain index' component which isn't there, plus the options greek which isn't there too although it should be pretty easy to calculate nonetheless). And the site also doesn't offer a full options chain which kinda makes it a little bit difficult for me to assign the data to my neural network model.

    Any other options?
  3. CBOE has some vols: http://cboe.com/data/HistoricalVolatility.aspx

    Don't know where you can get everything you need for free.

    But if you wanted to do it yourself, and you don't need historical IV data (you could save IV/Quote chains if you wanted to create a db), you could use free chain quotes from Yahoo, for example.

    Then calc the current IV and all the greeks.

    Calc the HV from underlying price data.

    Then you have everything. Would take a bit of programming, tho.
  4. IB has historical options bid/ask data for contracts currently trading but they remove it once the options expire.
  5. ozzie123


    Hello Wayne,

    No I'm not looking for free, just an alternative to ivolatility.com. And as for Yahoo data, I don't recall that they have a historical options data (since it's historical that I need).

    I already got the Perl program to refresh the data once I already got the complete chain from 2000ish
  6. what are you looking for? chances are i can find it on bloomberg