Intraday data will be ORDERS of magniture more expensive and harder to deal with (imagine, it's a full option chain at tick level). For traing vol, unless you are a AOMM, closing prices is more then enough.
You are using an out of date browser. It may not display this or other websites correctly.
You should upgrade or use an alternative browser.
You should upgrade or use an alternative browser.
Where to backtest a very basic option strategy?
- Thread starter kroon1ke
- Start date
deltaneutral.com has OPRA data from 2004 - you might have to do some serious cleaning but overall it's ok.
Serious cleaning is an understatement! DeltaNeutral is ok as a backup source but I have not been impressed with it. Livevol is much superior, in my experience. And for the yearly eod subscription, slightly cheaper. Livevol also has 15:45 bid/ask and underlying bid/ask, which is quite useful. One of the main problems with deltaneutral is that some of their underlying close prices are one day lagged (e.g. all ISE fx indices, all NYSE byrds indices...) , leading to grossly miscalculated IV and greeks on these instruments. Also open interest is one day lagged on deltaneutal.
Up to a few months ago there was also EODData.com and OptionCast for eod option file downloads, but now the former has stopped offering OPRA data and the latter went out of business.
These are good posts - it appears to me that while stock price data is relatively cheap and available, option price (historical) data still sits behind a giant paywall. If the CBOE were serious about democratizing options trading then they would address this issue so that independent traders could back-test their strategy ideas.
Enough with the webinars and sales crap, CBOE - make clean data affordable to us!
Enough with the webinars and sales crap, CBOE - make clean data affordable to us!
sle:
the livevol 1min data for SPX only is about $1K + a small yearly fee to get overnite updates. (Raw data, no greeks); I agree on doing the calcs & Greeks myself. Less fine granularity drops the price.
the livevol 1min data for SPX only is about $1K + a small yearly fee to get overnite updates. (Raw data, no greeks); I agree on doing the calcs & Greeks myself. Less fine granularity drops the price.
That's very cheap, I think. Personally I'd go with a full market daily prices for the whole market if I were buying data right now.sle:
the livevol 1min data for SPX only is about $1K + a small yearly fee to get overnite updates. (Raw data, no greeks); I agree on doing the calcs & Greeks myself. Less fine granularity drops the price.
@sle, for full EOD history going back to 2003, LiveVol charges $2500. The early years seem to have been bought in from some other firm and don't include all the current LiveVol fields, also symbol coverage in earlier years seems spotty.Kevin Schmit, I never used it for anything but some hobby level stuff. This said, i would calculate forwards, vols and Greeks using my own tools no matter what the source is. How much is livevol historical data, out of curiosity?
IVolatility.com is selling EOD equity/index option history back to 2000 for $2450 (sale price good until end of year).
They are also offering full EOD futures options data since 2005 for the same price, which is not a bad deal considering that there are really no other sources anywhere near that price range. I am thinking of buying this as futures options are one area where my database is lacking.
Agree on calculating your own vols/greeks but still need a closing price or closing mid to work from. At the time I subscibed to DeltaNeutral a few months ago, I have no independent source of the ISE/FX and NYSE/ByRDs indice closes. I still had the LiveVol closing mids on those indices but the whole point of having a backup options eod data source is redundancy. Also, LiveVol is not available for a given day until the OCC updates the day's open interest (~4:00 am EST) so I can start the calcs on the DeltaNeutral data earlier. This is a consideration as I am doing my calcs in PLSQL and, for American Expiry options on dividend paying stocks, the process is slow.