where do we find historical option volume?

Discussion in 'Options' started by mizhael, Feb 25, 2011.

  1. no matter how good the backtest looks, if there is no liquidity there is no use... so how do I figure out historical liquidity? thx
  2. rew


    Several vendors sell historical option data with bid/ask spreads and trade volume. For example:


    And some also include open interest, for example,


    I'd look mainly at the bid/ask spreads myself. If I see a major stock with near the money bid/ask spreads under a nickel I know I'll have no trouble getting in or out. But if its a mid size stock and options have a bid of 1.00 and an ask of 1.60 I stay away.
  3. skk7963


    Any free ones ? It doesn't need to be real-time
  4. Yeah, I need the real time historical option volume, too.

    I also need "current" historical housing data.

    While you are at it, could someone tell me what todays inflation rate is 30 years ago.


    I'm so funny.
  5. rew


    Given the vast quantity of data required for historical option information (so many strike prices and maturities) I would be very, very surprised if anyone is going through the trouble and expense of collecting the raw data, cleaning up any inaccuracies, carefully marking relevant events such as stock splits and special dividends, and then giving the result of this labor away for free.

    You don't always get what you pay for but you do pretty much always have to pay for what you get.
  6. http://wikiposit.org/p?futures has volume info. you need to click on"volume" after you select the data you want. it's free.
  7. rew


    I see futures data there but no options data, which, due to the multiple strikes, is far more voluminous.
  8. sorry rew, misread your original post. no options, just futures.
  9. Thanks a lot!

    Any options on futures historical data?
  10. For the newcomers -- he's an incessant pest/nudge/shnorrer -- endless requests for info, freebies & etc.
    #10     Feb 27, 2011