Historical Options & Order flow Info...

[leonlorenzo]

I know this is very much a long-shot as I have looked and dont beleive that there Is an archived collection of Historical FX options data available to the public, but Its possible that somebody here has collected this Info.

Exactly what Im looking for Is IFR rumoured options levels (not just the maturity calendar) from as early a date as possible. DNT's NT's Strikes Vanilla's ect...

...and archived info From the order-board would be very usefull.

If you have such info collected and feel asif you would like a little incentive to shair then thats fine. Contact me on this thread or by PM if you would prefer.

I will probably end up bumping this thread quite regularly, sorry If that annoys anyone.

Leon

 

[GammaJammer]

Won't make any difference whether you 'bump' or not. Well, it will annoy people, but won't get you the info.

FX options are traded otc primarily - volume traded this way totally dwarfs that traded on exchange, so the data you need simply isn't in the public domain. Not only is it proprietary and semi-confidential, it's also dispersed across institutions. Sure, there are some high profile times where the whole market sees certain flow going through (both in vanilla stuff and in exotics) usually because it's being executed noisily in the bookies, but most of the time this stuff just isn't widely disseminated. Sorry

GJ

 

[leonlorenzo]

Yea, Ive noticed people over here seem to be quite angry. Wouldnt want to do anything to provoke them.

Well, all the Info Im looking for Is available through Thompsons IFR service. Im just trying to hunt down someone who has this info saved. I could do with several months worth of data, If I cant find It then Im just going to have to save it myself. Id prefer to save some time though.

 

[GammaJammer]

I don't subscribe to that service. But in any case it's anecdotal info, for the reasons I've just listed. To publish it they are totally reliant on people at banks giving out the info, so like I'm saying, it can be useful, but caution if you're trying to jam it into some sort of rigid quantitative framework. If you just want to get a broad view of who's long gamma, where a few expiries and barriers are etc then cool. But if you do insist on doing any statistical analysis on it I'd suggest non-parametric measures to add a touch of robustness.

 

[dragan53]

the options maturity calendar in oanda,is that vanilla options(call and put only) or the exotic bunch like barrier,no touch.. are included as well?

does anybody know