Where to find historical options data?

[victsavio]

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.

Thank you very much Kevin. P / max (1,p+c) , you mean put volume / the higher number btw put volume+ call volume and ???

 

[Kevin Schmit]

Thank you very much Kevin. P / max (1,p+c) , you mean put volume / the higher number btw put volume+ call volume and ???

No, the base formula would be P / (P+C) so that the number is a proportion between zero and one. The max(1,(P+C)) is so that you have a one in the denominator in the rare instances where both put and call volume is zero. In many languages 0 / 0 is +Inf or throws an error.

 

[victsavio]

No, the base formula would be P / (P+C) so that the number is a proportion between zero and one. The max(1,(P+C)) is so that you have a one in the denominator in the rare instances where both put and call volume is zero. In many languages 0 / 0 is +Inf or throws an error.

Oh yes of course. Many thanks

 

[Matt_ORATS]

I m looking for daily historical put/call ratios to import in excel....anybody has an idea where to find them ? I need them frm 2006 for about 10 names

victsavio
ORATS provides a data API for programmers and an Excel interface to access the data you mention plus much more. Put Call Ratios are there and also a measure of skew so you can see if there is pressure on the low strike puts or the high strike calls that may be moving the implied volatility relationships.
You can see all the data headers in our docs: https://docs.orats.io/data-api-guide/definitions.html

 

[calvinp239]

Have you checked out Algoseek (https://www.algoseek.com/equity-options/)? I have worked with their Trade and Quotes data on US Equities before and I was pretty satisfied with it...