Hi there,
TLDR: Does anyone have a list of historical option chains IE the ticker symbols for options that have traded in the past going back to ~2010? Not prices or other information, just the symbols themselves IE ".BAC 160204C0004500"
I'm putting together a historical dataset that includes stock and option data. I'm using activetick for the data, which seems to be pretty good esp. for the price. I'm rolling up the level 1 tick data to 1-15sec resolution, which is fine for my purposes. Equity data is fine, now I'm collecting options data. Therein lies the problem.
Basically, if I have the full option ticker symbol, I can get the historical option data, but I need the ticker symbol first, for which I need to know my expiry date and strike price. But how to know the expiry date and strike price if I really just want to say "show me the options that were expiring around x and y date"?
I've been able to find expiry date calendars (http://www.optionsclearing.com/components/docs/about/publications/xcal2012.pdf) but those dates don't seem to line up correctly with activetick or yahoo finance. Strike price is a little trickier -- I'm interested in a certain window of options around the current price of the stock and that window keeps changing. Given a list of the available tickers, I can determine this properly based on the historical equity price data and the dates.
So, the easiest thing I could think of would just be to get a rather large text file with every option ticker symbol going back to 2010. I've got a few feelers out to see if I can get that (or an alternative), but so far nothing. Does anyone happen to have this? Or an alternative suggestion?
TLDR: Does anyone have a list of historical option chains IE the ticker symbols for options that have traded in the past going back to ~2010? Not prices or other information, just the symbols themselves IE ".BAC 160204C0004500"
I'm putting together a historical dataset that includes stock and option data. I'm using activetick for the data, which seems to be pretty good esp. for the price. I'm rolling up the level 1 tick data to 1-15sec resolution, which is fine for my purposes. Equity data is fine, now I'm collecting options data. Therein lies the problem.
Basically, if I have the full option ticker symbol, I can get the historical option data, but I need the ticker symbol first, for which I need to know my expiry date and strike price. But how to know the expiry date and strike price if I really just want to say "show me the options that were expiring around x and y date"?
I've been able to find expiry date calendars (http://www.optionsclearing.com/components/docs/about/publications/xcal2012.pdf) but those dates don't seem to line up correctly with activetick or yahoo finance. Strike price is a little trickier -- I'm interested in a certain window of options around the current price of the stock and that window keeps changing. Given a list of the available tickers, I can determine this properly based on the historical equity price data and the dates.
So, the easiest thing I could think of would just be to get a rather large text file with every option ticker symbol going back to 2010. I've got a few feelers out to see if I can get that (or an alternative), but so far nothing. Does anyone happen to have this? Or an alternative suggestion?
