Anyone know of a good source of historical option data? I am looking for historical bid/ask (a/o close) and this might be asking too much, but what about historical open interest? any links or help greatly appreciated, thanks!
Hi, I use the QCharts datafeed for getting historical tick data. They have historical tick data (bid, ask, open interest, trades) for ALL 5 options exchanges concerning options data. It's not perfectly accurate...and sometimes there will be stale quotes on 1 or more of the options exchanges within the tick feed...but it's the best that's out there. Plus, you can go back about 6 months.. for tick data on options. No other datafeed has that much historical tick data... I've looked around. QCharts isn't the most reliable for real-time action... Sometimes you'll have difficulties logging on...or servers will be flaky or down... but when it's up..and the data is good... you can get a pretty full set of historical data...to then do analysis on. www.qcharts.com
If you have access to Bloomberg's professional service, type in the option symbol and then the function <QRM>, it provides you with intraday quotes for any time span and you can go (I think about) 30 days. Definitely the best and most accurate I know, but not everybody uses the Bloomberg terminal.
Hi, I have two low cost alternatives for you: 1. Charts only: Propehtfinance. http://www.prophetfinance.com/tradequest/optionschains.asp 2. Quotes only: Use Hquotes downloader. Then you can get option quotes from Yahoo in daily or intraday format for the most recent options. http://www.hquotes.com/hquote.html Hope this can help....
We currently provide end of day options data to a few customers. You would have to archive it yourself. Take a look at our web site at www.osicorp.com. Austin.