Answered By: Barbara Coffey
Last Updated: Sep 17, 2019     Views: 35

Options data is available from several sources.

  • From 1996 to present - Use Option Metrics - through WRDS.
  • For 1987-1995, use Berkeley Options https://dss.princeton.edu/studies/611
  • Bloomberg - has both domestic and international data, intraday data kept for 30-90 days. (For instance - ticker <equity><go> OMON <go> this will give list of current options trading on that ticker. )
  • Datastream - has international data.
  • Global Insight - has daily data on select option contracts
  • WRDS - Currency options use Option Metrics for current and for historic use Philly Exchange data from 1993-1997.

Intraday prices on options 

  • Tick-by-tick data - on select indices. Tickdata has a very useful manual. 

Currency options. Some of the often used currency option tickers are below, N.B. some of these options are thinly traded. 

  • Australian Dollar (XDA)
  • British Pound (XDB)
  • Canadian Dollar (XDC)
  • Euro (XDE)
  • Japanese Yen (XDN)
  • Swiss Franc (XDS)
  • Mexican Peso (XDM)
  • New Zealand Dollar (XDZ)
  • South African Rand (XEV)
  • Swedish Krona (XEH). 

 

Some of the Treasury Interest Rate Options issued by the CBOE - For Interest Rate Options:

  • 13-Week Treasury Bill - IRX
  • 5-Year Treasury Note - FVX
  • 10-Year Treasury Note - TNX
  • 30-Year Treasury Bond - TYX

 

 

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