Historical option datas

neo-13 · Oct 2, 2018

Hi everybody
I found this provider, and it's seems to have good price, so I wanted to know if some of you knew it? and if their datas are corrects?
They write that their datas come from opcra, but don't appear in the revendor list in the opcra website.

Thanks a lot in advance

stepandfetchit · Oct 2, 2018

You did not post any links/detail!

tommcginnis · Oct 2, 2018

MAN! THAT is some bad-ass latency right there, it is! :wtf:

ironchef · Oct 2, 2018

neo-13 said:
Hi everybody
I found this provider, and it's seems to have good price, so I wanted to know if some of you knew it? and if their datas are corrects?
They write that their datas come from opcra, but don't appear in the revendor list in the opcra website.

Thanks a lot in advance

You should be able to get historical options data from your broker for free. But mine only provides six months look back.

neo-13 · Oct 3, 2018

Thanks,
@stepandfetchit
sorry link is: https://www.discountoptiondata.com/home/index

@tommcginnis
what do you mean by latency? is not real time data.

@ironchef
6 months is not enought and my broker doesn't have, otherwise I will not ask!!

thanks

stepandfetchit · Oct 3, 2018

Interesting! The data is EOD, but I do not find where they disclose the time of that daily sample. Hopefully it is taken at the close or just before the BID/ASK widens!
The data, for SPX, seems to only include the AM Monthly expiration (from their free sample), so it does not appear to include weeklies for SPX.
This is an interesting find! Thanks for posting!
I did not review the Greeks, which vary vendor to vendor, but expect the BID/ASK may be reliable, which is the critical data.

rickfortier · Oct 4, 2018

neo-13 said:
Hi everybody
I found this provider, and it's seems to have good price, so I wanted to know if some of you knew it? and if their datas are corrects?
They write that their datas come from opcra, but don't appear in the revendor list in the opcra website.

Thanks a lot in advance

I am the owner of Historical Option Data com.
I have looked at their data. It exactly matches mine. (Even the greek values I calculate each day)

(Meaning they have no authorization to be selling my data !!)

So far, I believe they are selling stolen property.

We are in the vendor list under StrickNet which we wholly own.

Thanks. DeltaNeutral.

neo-13 · Oct 6, 2018

Oops

Thanks for your answer.

sle · Oct 6, 2018

rickfortier said:
Even the greek values I calculate each day

Having looked at your data some time ago, I'd not go as far as calling these numbers "greeks"

Kevin Schmit · Oct 6, 2018

sle said:
Having looked at your data some time ago, I'd not go as far as calling these numbers "greeks"

DeltaNeutral's greeks haven't gotten any better. But they're his secret weapon for determining whether someone else is reselling his data. Since all the OCC vendors report the exact same options prices,bids, asks, etc., the greeks are the only way to distinguish.

I subscribe to both DeltaNeutral and CBOE/Livevol EOD equity options services. CBOE/Livevol gives a few extra data points (15min before close bid/ask and bid/ask on underlying) and somewhat better greeks. Delta Neutral is cheaper, earlier and more reliable in the nightly delivery.

As far as I can tell, DeltaNeutral does not take estimated forward dividends into account in its greek calcs. Nothing else can explain why, e.g., SPX implied forwards are so far off.