I want to buy some option data to do research

Quote from sle:
"automaton", if i recall correctly, is a "self-operating machine", not a model of any sort.
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Ok, a better term is "engine" or "robot", ie. "options pricing engine", aka an "automaton" :)
 
Hey guys, did anyone get this data? I need historical options data for the past two years or so for S & P 500 stocks. Want to share? EOD day data is fine, or OCHL.
 
Quote from sle:

We have gone through the whole list. The core EOD data is more or less the same for all vendors - we have actually made a mistake of thinking otherwise and found out that bad days in historicaloptiondata are almost the same for LiveVol. As far as implied volatility calculations go, Optionmetrics is probably the best one, followed by the Livevol and iVolatility. However, neither are using proper industry strandards and volatilities for some indices and some single stocks are unusable. So we opted to buy EOD data from historicaloptiondata and intraday quotes and trades from TickData.com and re-write all of the calculations on our own.

In terms of pricing, LiveVol is the most expensive of all, Optionmetrics is second and iVolatility is third. There are one or two vendors that provide options data for 650-750 for the whole set (historicaloptiondata is one of them), the data is the same quality, it's the post-processing and treatment of the corporate actions that differs.
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Looked into some of these...... let me know i want data to... intraday is important to me.. having an account with live vol actually gives you access to their data i think
 
I'm looking for historical daily US equity options data (no need for intraday at this point) back to 1996 and would be interested in swapping data sets. (I have daily US stock data back to 1926, historical point-in-time fundamental data from various sources, historical constituents for various indexes, etc.)
 
I hate to contribute to the pervasive negativity on this forum, but I must advise some contributors to this thread to read a book about how options work or watch some Khan Academy or something. Its fine to not know what's going on, we're all learning, but to give advice conflating realized vol and implied vol is not a good move. If your purchasing historical options data, effectively what your paying for is implied vol data. So if you want to eschew the implied vol component, don't pay for options data, just get data on the underliers.
 
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