Answered By: Barbara Coffey Last Updated: Sep 17, 2019 Views: 37
Answered By: Barbara Coffey
Last Updated: Sep 17, 2019 Views: 37
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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