I've been downloading historical options data from TOS thinkBack. First of all it's tedious, you have to download one day at a time. Then, when running my backtest I was getting some strange results. It turns out there are quite a few errors in the data. For example in the SPY: A few days in (IIRC) January 2008 where some of the near expirations are just plain missing. I think they were non-trading days, but my simple minded program doesn't check for those. From 2005 to present there were more than 1200 entries with positive theta and some of those were like +97 etc. Some errors in the high,low on the underlying, like +1120 (I think the max high for SPY was 157). Related were some where the last price was 0 so the net change for the day was way off. I think there a couple more that I found that I can't recall at this point.