Options data on Quandl (equity and futures)

B

Brighton

https://www.quandl.com/vendors

Just an FYI, in the last month or so Quandl has added futures options data from OptionWorks and in the last couple of days they've added equity options data from Quantcha. Subscriptions are $100/mo if you go mo-to-mo or $75/mo if you sign up for a year. From what I've seen of the futures options data, the history goes back almost six years and I believe the equity options data goes back 13 years. Seems like a good price compared to some quotes I've received from ivolatility.com.

http://optionworks.com/
https://quantcha.com/
 
Thanks. Had some house guests for a while, plus I ran out of brilliant things to say. ;)

It will be interesting to see how Quandl does with the paid data. If successful, firms like ivolatility.com and BarChart who have had this data for a LONG time, are going to kick themselves for not updating their websites/pricing or aligning with Quandl.
 
New on quandl


US Equity Option Volatility Surfaces
One of our most commonly requested databases is finally here.

Published by Quantcha, a leading provider of options data, this database offers 60+ volatility indicators for more than 2,500 US equities. The database provides both historical and implied volatilities over time periods ranging from 10 to 1080 days.

The daily update time of 6:30pm ET and 13 years of history make this database not only a valuable resource for options traders, but also a definitive reference for back-testing.
 
Condensed data only I guess (e.g. implied surfaces and no price data of options)?
I need prices to compute implied variance.
 
I like the Optionworks Dashboards, but I already have all that information from various sources. It's simple presentation is commendable and packs good information. Also, there is a nifty strategy selection matrix.. The volatility analysis is based on skew history (1 yr +). Though the directional view is primarily trend based, it would be nice if they incorporate forward curves. I believe there is a comparison of tenors in options curve.

Quantcha looks like a standard (covered call) strategy screener. I still prefer Born to Sell and Uncle Bob's for that "homely" feel to it.
 
xandman said:
it would be nice if they incorporate forward curves. I believe there is a comparison of tenors in options curve.

Quantcha looks like a standard (covered call) strategy screener. I still prefer Born to Sell and Uncle Bob's for that "homely" feel to it.
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That's right. The OptionWorks dashboard (a separate product from what's offered on Quandl) does not have a futures forward curve, but there is an ATM IV curve for 1, 2, 3, 6, and 12 mo tenors.

I like the ability to graph RR and Fly values through time (3 month limit on dashboard, unlimited with the Quandl data). I haven't been able to find that elsewhere at a reasonable cost. I don't like that it's not really "end of day" data, it's more "early the next morning" (sometime after midnight).

I remember adding Uncle Bob's to my list of creatively-named option sites. I'll have to check out Born to Sell.
 
Here's the latest vendor on Quandl - ORATS:
https://www.quandl.com/data/OPT/documentation
http://www.orats.com/

At a glance, the data may be more useful for some than the Quantcha equity option offering. ORATS offers a closing price (a big miss from Quantcha) and in addition to interpolated IVs (30 day, 60 day, etc), they offer the actual ATM IV of the first four standard contracts (no weeklies) plus a DTE for those contracts.

The price is also better - $500/yr or $50/mo.
 
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