ES Mini Options & Futures Data ?

W

wimdhnt

Hi ,

I would like to testdrive a trading system based on trading options and futures combinations using the E Mini SP contract.

To test this strategy I need 10 years of history including the charts of the ES Mini contract and the options strikes' open, high, low, close and volume numbers and this for the front month and next month contracts + volatility %.

I've been doing some research on the internet and my conclusion is this information doesn't come cheap , in fact it is expensive just to use it as data for something that is still in the experimental phase.

Does anyone know any alternative to this problem and is this data available somewhere free or at a reasonable price ?

Thank you !

Wim
 
I can save you a ton of money. Describe your system here. I am certain some of us have traded it. I have been trading ES futures and futures options for six years.
 
If I understand you correctly, a long straddle makes sense (it is short theta and long/short from a directional standpoint). To avoid rapid time decay, go out 60-90 days until expiration. Couple ways to manage this: gamma scalp until about 30 days before expiration or close out once a big move occurs. You are not obligated to hold this spread until expiration and you shouldn't once a profit is there. The problem you have is determining a reasonable profit goal.
 
wimdht,

yeah I think anywhere you go for futs data it'll have a decent cost.

try http://www.ivolatility.com/data/historical_data.html

If you can use SPY as a proxy, ThinkorSwim has SPY price and options chain EOD data back to January 2005. For free, just download their platform.



for Jw and Elite, I actually like the opposite, long theta and hedge with the underlying near the b/e strikes. Not just technically hedging though, I also like to look at the short term macro outlook. For example, say you were long theta towards the middle/end of January and bank/prop trading rhetoric and Greek debt issues started emerging, that would definitely have you looking to hedge that long theta to the downside. Reevaluate after Feb 9th when EU comments backstopping Greek debt rallied ES midday.


Going forward long theta, just keeping an eye on sovereign debt/Fed comments/earnings/China tightening as 'indicators' to hedge that downside. Nothing new lol :)
 
Quote from jwcapital:

If I understand you correctly, a long straddle makes sense (it is short theta and long/short from a directional standpoint). To avoid rapid time decay, go out 60-90 days until expiration. Couple ways to manage this: gamma scalp until about 30 days before expiration or close out once a big move occurs. You are not obligated to hold this spread until expiration and you shouldn't once a profit is there. The problem you have is determining a reasonable profit goal.
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Sure, but I'm referring to trading the underlying into the barrier, primarily a ratio spread ie long and short 2 calls.
 
for Jw and Elite, I actually like the opposite, long theta and hedge with the underlying near the b/e strikes. Not just technically hedging though, I also like to look at the short term macro outlook. For example, say you were long theta towards the middle/end of January and bank/prop trading rhetoric and Greek debt issues started emerging, that would definitely have you looking to hedge that long theta to the downside. Reevaluate after Feb 9th when EU comments backstopping Greek debt rallied ES midday.


Going forward long theta, just keeping an eye on sovereign debt/Fed comments/earnings/China tightening as 'indicators' to hedge that downside. Nothing new lol :) [/B]
More...

Basically long synthetic strangles. Impressive feat to pull off successfully long term. Lookout Taleb...
 
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