anybody plays options on futures? Bloombrg: how to download and organize data?

mizhael · Jan 14, 2011

Found that Bloomberg does have historical data for options.
The Bloomberg helpdesk told me the opposite.
But now we do have option historical data on BB.
The problem is:

with futures, the contracts keep changing,

say the crude oil futures,

how to download historical option data on futures and organize in a meaningful way?

Martinghoul · Jan 15, 2011

There are many ways of doing it. All of them involve doing some work and depend on what exactly you're trying to achieve.

just21 · Jan 15, 2011

Interactive brokers have free historical option prices. Call up a chain, right click on strike, select chart.

heech · Jan 15, 2011

Quote from mizhael:

Found that Bloomberg does have historical data for options.
The Bloomberg helpdesk told me the opposite.
But now we do have option historical data on BB.
The problem is:

with futures, the contracts keep changing,

say the crude oil futures,

how to download historical option data on futures and organize in a meaningful way?

Mizhael,

I'm not a BB user, but just asked some questions about it in a previous thread. I saw your earlier thread as well... can you fill me in on what you found? Can you find historical option data for futures contracts 2-3+ years back? Can you get to a chart that shows implied vol and realized vol going back years?

christianhgross · Jan 15, 2011

Are you talking as in bloomberg terminal... You know the 1900 USD per month service? If so then what you need to do is generate the Bloomberg notation.

I have not downloaded future option data in a while, but here goes...

So for example, lets say we want an option of crude oil...

CLF1C 100 Cmdty

This is the Jan 2011 call for strike 100 on Crude Oil which is a commodity.

The only catch are the NDX and NQ options as they change symbol depending on the strike that you are referencing. You really need to talk to your Bloomberg agent for this help. It is not trivial imo. I had a heck of a time since I wrote some C# routines to automatically download the data.

christianhgross · Jan 15, 2011

Quote from mizhael:

Found that Bloomberg does have historical data for options.
The Bloomberg helpdesk told me the opposite.
But now we do have option historical data on BB.
The problem is:

with futures, the contracts keep changing,

say the crude oil futures,

how to download historical option data on futures and organize in a meaningful way?

Forgot to add how I organize them...

I do as follows for my example

CL-2011-01-CALL-100

This way it generates a unique identifier.

The only exception and you need to think hard about this one is that the currency contracts have both American and European contracts. So for them add an additional -American or -European identifier.

Christian Gross

mizhael · Jan 15, 2011

Quote from Martinghoul:

There are many ways of doing it. All of them involve doing some work and depend on what exactly you're trying to achieve.

I want to backtest strategy on historical data.

mizhael · Jan 15, 2011

Quote from just21:

Interactive brokers have free historical option prices. Call up a chain, right click on strike, select chart.

No in order to backtest we need intraday bid ask data. Its not okay to use close bid or close ask prices

mizhael · Jan 15, 2011

Quote from christianhgross:

Are you talking as in bloomberg terminal... You know the 1900 USD per month service? If so then what you need to do is generate the Bloomberg notation.

I have not downloaded future option data in a while, but here goes...

So for example, lets say we want an option of crude oil...

CLF1C 100 Cmdty

This is the Jan 2011 call for strike 100 on Crude Oil which is a commodity.

The only catch are the NDX and NQ options as they change symbol depending on the strike that you are referencing. You really need to talk to your Bloomberg agent for this help. It is not trivial imo. I had a heck of a time since I wrote some C# routines to automatically download the data.

You use Ac to pull data from BBG? That's amazing!

mizhael · Jan 15, 2011

Quote from christianhgross:

Forgot to add how I organize them...

I do as follows for my example

CL-2011-01-CALL-100

This way it generates a unique identifier.

The only exception and you need to think hard about this one is that the currency contracts have both American and European contracts. So for them add an additional -American or -European identifier.

Christian Gross

I think we need to organize tick data. Any thoughts?