Where can I find a list of historical strike prices?

D

d0rian

I want to run a bunch of backtesting stuff (prob using IB's historical data lookup) for a bunch of different underlyings, but I need to know what strike prices were offered for which expiry dates in order to set up the lookup parameters properly.

I don't need the actual bids/offers/trades, which I assume would probably be a paid service (and it's what I'm using IB's historical lookup tool for anyway, which I already pay for.) I just need to know which strikes were avail. Seems like that should be free?
 
Why don't you perform the same operation you would do with live data? Check what is avail, then use from what you find. Strikes tend to follow specific algorithms depending on underlying, time to expiry, and whether it is monthly, weekly, etc. Look at the data, then derive your algorithm.
For example, I use a 2-step process. step 1: Discovery phase, step 2: extraction phase
 
Yup, that's my fallback plan. But if such a list existed, it would save me a half day of work or so given how many I want to look up. Hence my post here.
 
You don't understand how IB's historical lookup works, but that's fine. I don't need OPRA codes, I just need the strike prices.
 
You must log in or register to reply here.
Back
Top