Where to find historical options data?
- Thread starter Wumbate
- Start date
I don't look at vol charts (at least not in my current incarnation)
I have had access to the entire Ivydb data and it is of minimal value. Even as little as a year ago, it was worth having. Today imo it's value is dubious.
You could probably get away with say 1 hour intraday snapshots, but I would not want to get worse than that.
Very few people have intraday options data. It is overwhelming both computationally and storage wise. I think it is worth keeping.
if you are looking for historical stock options data, check out www.optionsdatamine.com for free historical stock data options with volume analysis and other stuff.
I found this one pretty cheap compared to other sites www.discountoptiondata.com
Are you the vendor? Are you the guy behind DiscountOptions? With just one post it kind of looks that way. I'm assuming it is a one-man operation, so I guess you are marketing as well as IT as well as accounting...
Do you have an EOD update service? If so, how much is it on a monthly or annual basis? If not, if I buy the 2017 data file, how am I supposed to update it between now and the end of the year?
At http://crimsonmind.com/optionsr/index.aspx,
I read:
"Free trial for 14 days and then $49 for each month or $117 per quarter (20% discount)"
I'm guessing this is an automatic process where if we can forget about it, 14 days later we start getting charged. Can anyone confirm or deny?
All the other links had various prices involved. If anyone else has ordered data because of this forum and would like to share their analyses of which data were the best deal, that would be most helpful. If I go this route, I may do this myself
Cheers, all
I read:
"Free trial for 14 days and then $49 for each month or $117 per quarter (20% discount)"
I'm guessing this is an automatic process where if we can forget about it, 14 days later we start getting charged. Can anyone confirm or deny?
All the other links had various prices involved. If anyone else has ordered data because of this forum and would like to share their analyses of which data were the best deal, that would be most helpful. If I go this route, I may do this myself
Cheers, all
DeltaNeutral (aka Stricknet aka HistoricalOptionsData.com) has that information in their historical data offering. For every day in their history they give you an "optionstats_YYYYMMDD.csv" file with one line for each underlying name. IIRC, fields 6 and 7 are put and call volume, and fields 8 and 9 are put and call open interest (OI is one day lagged).
DeltaNeutral sells its full history for, IIRC, around $2500. If that is too high a price for you, consider partnering up with Aquarians -- he is known to have bought the back-history and is looking for collaborators. The other advantage to collaborating with Aquarians is that, given that he has put the full historical daily files in a SQL database, calculation of more complex PC ratios (e.g. dollar-weighted, greeks-weighted, the Cadbury premium ratio favored by Prof. Mark Brown, etc...) is just a simple query.
Also, some advice: calculate your PC ratio as P / max(1,P+C) rather than P/C. The former is bounded between 0 and 1, doesn't blow-up if call volume or OI is zero, and benefits from the vast stats literature on and experience with modeling compositional independent variables.