SPX and SPY data. Options.

Discussion in 'Options' started by raf_bcn, Apr 15, 2019.

  1. raf_bcn



    I want to get some options data, but I know nothing about this kind of stuff.
    I am going to explain what I am looking for and maybe someone can tell me what is the best way to get this.

    Only SPX and SPY options. I would like to have the price of a particular strike for SPX and SPY options for a period of a year.
    I don't need any greeks values , only the price. It has to be possible to get the option price in a specific exact time,
    but it doesn't matter which is this specific time , it can be at any hour. So I don't need all the day prices.

    E.g I would like to consult what was the option chain for SPY and SPX for a period of a year at 12:30 pm. EST

    I would appreciate if someone could tell me where to find this.

    thank you
  2. ZBZB


  3. Felix168


    I am not sure what you are trying to do, but as you seem hesitant to purchase quotes, I am guessing that you are more exploring possibilities than looking for hard backtested data.

    If my assumption is true, consider using artifical quotes. Using Black-Scholes, you can can calculate option prices based on SPX and VIX. You will lose insight into some of the irregularities of option pricing, e.g. volatility skew/ smile, but it might do the trick for you.

    TuringTrader can generate this kind of 'Fake Quotes' for you, have a look at this blog post:

    Cheers, Felix
    fullautotrading likes this.
  4. raf_bcn


    Thanks ZBZB . I suppose you mean www.ivolatility.com

    @Felix168, what I want is to know the market price of some SPY and SPX options in different moments of time. I think it's better a real quote than a theoretical one.

    Thank you.
  5. Doobs789


    SPY is roughly 1/10 SPX. You can beta weight deltas/gammas. But keep in mind euro vs American, div, exp time, settlement details.