Historical options data ...

Thanks to all who posted.

An update: I purchased data from both Livevol and iVolatility for RUT.

Livevol has 30 months of data and includes both OHLC and greeks. They waived the $300 minimum order.

iVolatility has 10 years of data including the greeks but no OHL, just C.

Both companies are good to work with.

I have found some significant differences in the EOD bid/ask between the two vendors, on some days, which I'm still trying to resolve.

Brooks
 

I have found some significant differences in the EOD bid/ask between the two vendors, on some days, which I'm still trying to resolve.
More...

I have seen case when data provider will mix options priced in CAD and USD. Sometimes they confuse end of the quarter vs normal options. Certainly split is the main problem
 
Quote from BrooksRimes:
I have found some significant differences in the EOD bid/ask between the two vendors, on some days, which I'm still trying to resolve.[/B]
More...

Be sure the exchange (all? CBOE only? etc) and time-of-day (4pm? 4:15?) match between vendors.

Also, I notice http://pmpublishing.com/ which has long been highly-regarded (FWIW, N&&&&m T&&&b once mentioned to me he used them) is apparently now offering historical data (or it's "coming soon")
 
You must log in or register to reply here.
Back
Top