SPX and SPY data. Options.

R

raf_bcn

Hi

I want to get some options data, but I know nothing about this kind of stuff.
I am going to explain what I am looking for and maybe someone can tell me what is the best way to get this.

Only SPX and SPY options. I would like to have the price of a particular strike for SPX and SPY options for a period of a year.
I don't need any greeks values , only the price. It has to be possible to get the option price in a specific exact time,
but it doesn't matter which is this specific time , it can be at any hour. So I don't need all the day prices.

E.g I would like to consult what was the option chain for SPY and SPX for a period of a year at 12:30 pm. EST

I would appreciate if someone could tell me where to find this.

thank you
 
I am not sure what you are trying to do, but as you seem hesitant to purchase quotes, I am guessing that you are more exploring possibilities than looking for hard backtested data.

If my assumption is true, consider using artifical quotes. Using Black-Scholes, you can can calculate option prices based on SPX and VIX. You will lose insight into some of the irregularities of option pricing, e.g. volatility skew/ smile, but it might do the trick for you.

TuringTrader can generate this kind of 'Fake Quotes' for you, have a look at this blog post:
https://www.turingtrader.org/2019/02/new-showcase-strategy-parking-trade/

Cheers, Felix
 
SPY is roughly 1/10 SPX. You can beta weight deltas/gammas. But keep in mind euro vs American, div, exp time, settlement details.
 
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