Historical Options Data for statistical analysis

dumbing down is exactly what i was referring to when i said loss of flexibility to extract, manipulate and analyze data in anyway you want if it was accessed directly instead of through a web app..
i'm a total Noob so i'm only curious about these things.. I didn't mean to sound paranoid i'm sorry..
 
(a) Unless you are a AMM, you do not need high-frequency or trade-level data for options. While it's useful to know what vols have done intraday historically, it is not crucial.

(b) The EOD price data on options can be bought fairly cheaply, about a grand for the US optionable stocks.

(c) EOD level would always be the last quote, not the last print (there are options that never trade at all and yet they would be in the dataset).

(d) The real problem is not the security level database, is the creation of a smart volatility-level database.

Anyway, just my 0.2 vols
 
Wasn't trying to be rude. Sorry if it came across that way.

If you are a n00b I'll give you a tip:
Everyone in this business thinks that everyone else is out to get them. Tip #2: The real fangs come out when money is involved.
 
Quote from sle:

(a) Unless you are a AMM, you do not need high-frequency or trade-level data for options. While it's useful to know what vols have done intraday historically, it is not crucial.

(b) The EOD price data on options can be bought fairly cheaply, about a grand for the US optionable stocks.

(c) EOD level would always be the last quote, not the last print (there are options that never trade at all and yet they would be in the dataset).

(d) The real problem is not the security level database, is the creation of a smart volatility-level database.

Anyway, just my 0.2 vols
More...

nor could one afford to be involved unless you were doing business on a much larger level to be able to use details like this.. i trade butterflys, ratio backspreads in back months in a 20k account. all i'm trying to do is give myself the opportunity to generally sell expensive vol in a limited risk way, and buy cheap vol in a limited risk way..

There is no way i can make sense of using that detailed of data.. i sure hope to one day!
 
May want to verify with your data source... we went through testing a boat load of historic data providers. The ask/bid provided by historic bar providers was that at time of last reported trade. MOO / MOC are an entirely different issue and are based on specific exchange procedures. Even CTA "official" data is a bit of guestimate.

Please share if you have any reliable and reasonably priced sources for historic options quote and trade data (RTH 1 min precision/bars).

Regarding EOD data.. You still need to tie in corporate actions.. splits / divs and special settlements. EOD typically is Date, Symbol, OHLCV and adjusted Close. Historically you should see special settlement formulas and multipliers for assignment calculations. Without this related data you see significant price changes without the action causing it.

Obviously there is a big difference between EOD analysis and intraday. I'm not even sure if this stuff is relevant for EOD but for intraday the differences are significant. Changes entire outcomes of trading algo's...


Quote from sle:

(c) EOD level would always be the last quote, not the last print (there are options that never trade at all and yet they would be in the dataset).

[/B]
More...
 
I have. Like every other dealer, the data requires cleaning and vols are wrong, but the prices are there. You can't beat them for the price.
 
Quote from sle:

I have. Like every other dealer, the data requires cleaning and vols are wrong, but the prices are there. You can't beat them for the price.
More...

geesh i've got to get down with excel alot better then i am now ..
 
You must log in or register to reply here.
Back
Top