How to obtain historical data on at-the-money options on S&P 500?

M

mizhael

Hi all,

I studied the mysterious code for option symbols.

I only need historical data for at the money call and put options on S&P 500.

Since it is at-the-money option that I need, I am afraid that the
option codes will be changing in the last a few letters, because the
at-the-money strikes prices are changing daily.

A stupid method I can think of at this moment is:

1. Check historical $SPX price everyday;
2. For each day, map the at-the-money strike price to the mysterious code;
3. Construct the option symbol (which is different each day for
at-the-money options), and fetch the quotes of options with several
expiration dates for that date;
4. Loop the 1, 2, 3 steps to get all historical data.

My questions are:

1. In step 2, Is there a way to map the at-the-money strike price to
the code automatically? I cannot think of any good method right now.
2. Is there a way to obtain bid-ask prices for options?
3. Any better and smarter method than the above 4 steps?

IB has 1-year historical data restriction. Opentick doesn't go back to
year 2005 even for $SPX index prices. I am right now looking for some
other good data-sources.

Could anybody give some suggestions?

Thanks
 
mizhael, there is no free historical options data besides the sources that you mentioned in your post.

But a quicker way can be using the "old VIX" index, which is Black-Scholes implied volatility on OEX, or the VIX which is model-free implied on SPX.

CFE also disseminates bid and ask on the VIX :
http://cfe.cboe.com/Products/vxbdata.aspx
 
Thanks dd4nyc.

I think this is a brilliant idea.

I do have some follow-up questions:

(1) How far do these VIX data go back?

(2) How do we back out the at-the-money S&P 500 option price (call/put) based on the VIX data?

Of course, if we use the "old VIX" implied from BS formula, we just need to find that at-the-money strike price and S&P 500 price at each date, and find the risk-free rate at corresponding date, and then we can backout the option price using BS formula.

But then there is the use of the risk-free rate, and the convention of the time-to-maturity used in BS, these two issues bother me.

And for the new VIX, how can I back out the option price?

(3) Are there any reasonably priced option historical data? I saw tickdata.com. They only have option back to 2004, and they charge thousands of dollars for that data.

Thanks a lot!
 
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