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where can I get historical options market data?

This is a discussion on where can I get historical options market data? within the Options forums, part of the Financial Markets category; do you guys know where can I get historical market data for options? Free is preferable but i dont mind ...

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Old Jun 16, 2009, 11:53am   #1
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Thumbs up where can I get historical options market data?
do you guys know where can I get historical market data for options?

Free is preferable but i dont mind paying

thanks!
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Old Jun 16, 2009, 11:55am   #2
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What market, what data?
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Old Jul 17, 2009, 2:46pm   #3
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I'm also looking for data - Major index options (FTSE, S&P, Dow, CAC).
Rather that get actual market data (which I assumed was difficult) I assumed to price off historic index data which seems more readily available for free. However, I'm not sure how to accurately created the volatility input. Any ideas?
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Old Jul 17, 2009, 2:49pm   #4
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You can't expect to be able to accurately price options without the implied vol, which is only available if you have the options prices. Whatever other proxy for implied vol you use, you're going to end up with prices that don't necessarily reflect the mkt.

In general, the first place to look for things like that should always be the website for the appropriate exchange. For instance, LIFFE has this page here to show daily FTSE options closes:
http://www.euronext.com/trader/summa...epDerivative=7
If you browse you will also find that you can get historical data from them, although most often it won't be free.
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Last edited by Martinghoul; Jul 17, 2009 at 2:57pm.
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