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I filtered the CBOE/MDX supplied daily options chains to extract the options of interest to the stat arb strategy. Assuming I did that "correctly", I found that the number of options traded (backtested) and their closing price statistics differ from those that were obtained by the other party...

*bump* Perhaps I shouldn't be surprised at the lack of response...is it reasonable to say that Datastream terminals wouldn't be much used outside of financial institutions, universities and the like? Paul

Anyone using datastream as their data provider and willing to provide me with S&P500 and SPX daily prices? I can pay. I'm backtesting an options stat arb trading strategy and can't replicate someone else's backtest results. I'm wondering if the option price data I'm using is the culprit...

*bump* Third and final plea...

*bump* Somebody? Anybody?

Does anyone have daily SPX options data taken from DataStream covering the period 1998 to 2001 that they are willing and able to share? I'm trying to reproduce the options trading simulation results from a research paper using daily SPX options from 1998 to 2001. I have already bought...