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Historical Options Data for statistical analysis
- Thread starter cdcaveman
- Start date
Resurrecting this thread.... So, I decided to double up on my key instruments and bought VIX and SPX options from these guys. The whole EOD package (with "vols" calculated) was about the same price as the whole set from 2002 from one of the other dealers, which made me cringe but ok, whatever.... Guess what? The data is a tad better but not a knock-em out of the park better. In the end, I am actually trying to combing SPX from two sources plus SPYs and VIX from two sources. Blah.Quote from PocketChange:
livevol is really expensive $6000 just for 1 month of 1 minute quotes for all option symbols.
Quote from sle:
Resurrecting this thread.... So, I decided to double up on my key instruments and bought VIX and SPX options from these guys. The whole EOD package (with "vols" calculated) was about the same price as the whole set from 2002 from one of the other dealers, which made me cringe but ok, whatever.... Guess what? The data is a tad better but not a knock-em out of the park better. In the end, I am actually trying to combing SPX from two sources plus SPYs and VIX from two sources. Blah.
inevitably if you haven't been collecting the data yourself.. your subject to everyone elses distortions.. how far did you get back historically? and just out of pure nosey curiosity what are you planning to do with that pair.. you obviously are volatility trading..
Quote from cdcaveman:
inevitably if you haven't been collecting the data yourself.. your subject to everyone elses distortions.. how far did you get back historically? and just out of pure nosey curiosity what are you planning to do with that pair.. you obviously are volatility trading..
Livevol goes back to 2004, the other source I bought from (historicaloptionsdata) goes back to 2002. I think the longest data out there is from 1996, but you don't need data so far back.
Do you think an end-of-day historic database made of settlement prices provided by the OCC would make some sense? I was told that settlement prices are sort of "fake", misleading, because that is not the market doing them (bid/ask), it is just the clearing house. That made me think about.