Getting historical options data

harian

I want to be able to use Python for extracting options data from a database.

For our project focused on modeling implied volatility surfaces, we require historical end-of-day (EOD) data for US options spanning the last two to three decades, including major well-traded symbols, as well as less traded symbols with sparse implied volatility surfaces. The dataset should include:

• option strike price,
• expiration date,
• closing price or preferably implied volatility, and
• underlying asset prices necessary for calculating log moneyness.

Additionally, we need daily market data, specifically:

• S&P 500 returns,
• VIX values, and
• 13-week Treasury Bill rates as a proxy for the risk-free rate.

The final dataset should feature:

• log moneyness,
• time to maturity in years,
• implied volatility,
• market return,
• market volatility, and
• the treasury rate for each symbol at each trading day.

The following website is a suitable example: https://optiondata.org.

jason.ramchandani01

@harian Thanks for your question - we have written an article on how to get expired RICs for options and building historical and backtesting historical options. Please see it here. I hope this can help.