where do we find historical option volume?

M

mizhael

no matter how good the backtest looks, if there is no liquidity there is no use... so how do I figure out historical liquidity? thx
 
Several vendors sell historical option data with bid/ask spreads and trade volume. For example:

http://www.livevol.com/historical_files.html

And some also include open interest, for example,

http://www.optionmetrics.com/ivydbus.html

I'd look mainly at the bid/ask spreads myself. If I see a major stock with near the money bid/ask spreads under a nickel I know I'll have no trouble getting in or out. But if its a mid size stock and options have a bid of 1.00 and an ask of 1.60 I stay away.
 
Quote from skk7963:

Any free ones ? It doesn't need to be real-time
More...

Yeah, I need the real time historical option volume, too.

I also need "current" historical housing data.

While you are at it, could someone tell me what todays inflation rate is 30 years ago.

:P

I'm so funny.
 
Quote from skk7963:

Any free ones ? It doesn't need to be real-time
More...

Given the vast quantity of data required for historical option information (so many strike prices and maturities) I would be very, very surprised if anyone is going through the trouble and expense of collecting the raw data, cleaning up any inaccuracies, carefully marking relevant events such as stock splits and special dividends, and then giving the result of this labor away for free.

You don't always get what you pay for but you do pretty much always have to pay for what you get.
 
Quote from rew:

I see futures data there but no options data, which, due to the multiple strikes, is far more voluminous.
More...

sorry rew, misread your original post. no options, just futures.
 
Quote from rew:

Several vendors sell historical option data with bid/ask spreads and trade volume. For example:

http://www.livevol.com/historical_files.html

And some also include open interest, for example,

http://www.optionmetrics.com/ivydbus.html

I'd look mainly at the bid/ask spreads myself. If I see a major stock with near the money bid/ask spreads under a nickel I know I'll have no trouble getting in or out. But if its a mid size stock and options have a bid of 1.00 and an ask of 1.60 I stay away.
More...

Thanks a lot!

Any options on futures historical data?
 
You must log in or register to reply here.
Back
Top