Where to find historical options data?

Discussion in 'Data Sets and Feeds' started by Wumbate, Jul 29, 2009.

  1. victsavio

    victsavio

    Thank you very much Kevin. P / max (1,p+c) , you mean put volume / the higher number btw put volume+ call volume and ???
     
    #21     Feb 26, 2019
  2. No, the base formula would be P / (P+C) so that the number is a proportion between zero and one. The max(1,(P+C)) is so that you have a one in the denominator in the rare instances where both put and call volume is zero. In many languages 0 / 0 is +Inf or throws an error.
     
    #22     Feb 26, 2019
    victsavio likes this.
  3. victsavio

    victsavio

    Oh yes of course. Many thanks
     
    #23     Feb 26, 2019
  4. Matt_ORATS

    Matt_ORATS Sponsor

    victsavio
    ORATS provides a data API for programmers and an Excel interface to access the data you mention plus much more. Put Call Ratios are there and also a measure of skew so you can see if there is pressure on the low strike puts or the high strike calls that may be moving the implied volatility relationships.
    You can see all the data headers in our docs: https://docs.orats.io/data-api-guide/definitions.html
     
    #24     Dec 28, 2019
  5. #25     Apr 24, 2020