What kind of data is best for options traders?

[genedo]

Hi guys - As part of a class I'm involved with at uni, I'm looking at data usage amongst option traders. I'm especially interested to know if there's a need/demand for End of Day option chain pricing information. My searches so far for such data have found only really costly or seemingly outdated providers. Is there an interest for something like this? If so, what kind of requirement -- full history, minute-level data or EOD or some other increment, IV/HV/greeks calculations as well? Would love to hear your thoughts!

 

[Dommo]

Nice area you got yourself into!

Regardless of asset, option traders are pretty much interested in the underlying and vol and vol projections. Greeks are an immediate corollary at any moment.

What do you propose EOD option chain info adds?

If you're looking for data use projects, may I suggest you consider either use of (i) vol or (ii) PL explain?

 

[Martinghoul]

Hi guys - As part of a class I'm involved with at uni, I'm looking at data usage amongst option traders. I'm especially interested to know if there's a need/demand for End of Day option chain pricing information. My searches so far for such data have found only really costly or seemingly outdated providers. Is there an interest for something like this? If so, what kind of requirement -- full history, minute-level data or EOD or some other increment, IV/HV/greeks calculations as well? Would love to hear your thoughts!

All of the above, apart from minute-level data (which in many case doesn't really exist). You definitely need the EOD prices.

 

[genedo]

Guys - thanks for your responses! While I'm not quite sure of the use of EOD option chain data, I've started to collect it. Strike Price, Option Price, Bid, Ask, Vol, OpenInt and Change over the previous day. I was thinking about adding the inherent stock's info as well, but that seems to be easily gotten from other sources. Inherent Volatility is also key, I recognize, but can't add it until I have enough back data (at least 30 days, right?).

In terms of the project, the goal is to build a usable dataset for the public, so I want to offer data for free in daily downloadable CSV's. Is there any value in that? I put it up on a website, optionengine.net, for now, and seeing if it gets picked up by anyone, but so far it's earily silent...

 

[danielharris]

Option traders are pretty much interested in the underlying and vol and vol projections. stock options is to encourage company officers to take actions that will increase stock value and in so doing enrichen themselves.