Historical Index Option Data

Does anyone know of any free services that provide historical option data for the S&P 500? Minimum 3 years of data.

The CBOE has historical data on the indices and links to Market Data Express for option data, but this data is ~$400.

I wasn’t sure if this was included with any backtesting software from any of the brokerages at all… Or if someone has a Bloomberg terminal, could you verify if this is available through there? I will be getting a terminal again in about 1-2 months so this would suffice.

Back in college I used Wharton Research Data Services to get historical option data, but it was through my school’s account.

My brokerage platform (and most retail platforms) have look back capabilities were all data that is normal available is also available in historic replay of any date. You would have to go back a ring out all the numbers by hand. It won’t just spit them out in a spread sheet …anyway, what are you up to with all of that data?

Using thinkorswim I can get historical data but the option chain doesn’t expand to the full strikes - only lists about 10. Wasn’t sure if other platforms had more robust data or not.

I will do with the data whatever I please… which is mostly refine some strategies.

Klinko… I was actually going to start a thread directed at you. You have obviously spend a lot of time trading derivatives. I will have some time coming up were I can focus on learning more about them (remember, my adventures with SPX in previous thread). What have been some of your favorite derivative products to work with? Also, where can I start to self educate myself on some of the more sophisticated approaches to trading derivatives beyond what you get in basic knowledge of the Greeks and option strategies? Books? Sources?

I’ll throw together some resources for you later today.

As far as products go, I’ve traded nearly everything, and once you have the concepts down you can transfer strategies across markets. There will obviously be some nuances between products though, such as: dividend risk (equities), dividend assumptions for indices (ex: forward curve for spx being negative due to dividends), futures options and their underlying, calendar spreads on various products, box spreads (arbitrage can “appear”, but don’t be fooled), etc…

Reading the contract specs helps - for spx, futures, etc., but rarely is that stuff explained in laymans terms.

Again, I’ll gather some links and get ya going

^That would be awesome. …thanks!

EDIT: Forgot the link (I had one job) -> https://www.tastytrade.com/tt/learn?locale=en-US

Here’s a single link with multiple topics. Beyond the strategies which you’re familiar with, I’d recommend these topics:

(Note, I haven’t looked through each individual one on here, so I’m taking some at face value)

  • Order entry: seems easy, but knowing quick tricks can save you 1-2 pennies on each trade. Adds up.

  • Rolling and Return on Capital: Combining these concepts can help optimize your risk vs. return. Ex. You sell an option that is now pretty worthless, maybe $0.05. Might as well let it expire worthless, right? Well, maybe freeing up your margin to sell another option w/ more days to expiration is the better risk/reward.

  • Volatility skew and implied volatility

  • Expected move

  • Synthetics

I’ll refrain from just listing every topic, because there’s not going to be one that won’t be informative. Each of the above should cover multiple concepts and begin to bring beginner/intermediate concepts to the next level. Synthetics, in my opinion, is one of the most interesting concepts and once you fully get this you can implement any strategy.

As they say, a call is a put and a put is a call.

Good luck. Enjoy. And manage risk.

^Right, I use thinkorswim so I am familiar with that site. I am coming to realize the validity of it being a strong learning source… (you have to admit, it sounds kind or corny). Thanks for the specific topics as well.

Back to SPX, I went to learn more about it’s options but the specs seemed brief. I am I looking in the right place? I wanted to learn more about what goes into the pricing of options on an index.

http://www.cboe.com/products/indexopts/spx_spec.aspx

Also, in regards to your favorite products, I was more asking for ones that tend to behave more predictably, have decent liquidity. Like you said before, options on the VIX don’t tend to behave well. Maybe a better question… which products would you warn me to stay away from until my skills get more advanced?

Alright… thats all! I will stop questioning you,

CBOE is good. I’m guessing most of the videos on tasty trade or thinkorswim will primarily use SPX as an example since most of those guys used to trade in those pits. Other than that, maybe Options Volatility and Pricing. Very good book and will use European options for most examples, so pretty relatable back to SPX. I can’t remember if it mentions anything about Indices having divident impacts though - probably not.

CME Group as well. You’ll want to watch S&P futures in your analysis of SPX options to get a true sense of what the true ATM strike is - especially for options w/ a lot of time to expiration.

Productwise I use mostly SPX. Sometimes SPY, sometimes S&P futures, but all 3 have good liquidity and behave similarly aside from some of the nuances I’ve mentioned before. Save futures until last. Don’t mess w/ 3x leveraged ETF options (they’ll behave normally, just save your money). Keep an eye out for liquidity and always know earnings releases for stocks. On a similar note, check the IV of each month on the chain. If you see Aug is low but Sep is high, w/ no earnings in either month, there might be some other significant event in between (FDA stuff for the biotechs for example).

Trading tight spreads (like you’ve done) is a good price for real world education.

^^Feedback…I *LOVE* the Tasty trade live programs. They mostly focus on trading derivative products and they touch on beginner to advanced level. Sometimes they get a little off topic, but for the most part, amazing for a free service.

Good to hear!

Klinko… ever find that extensive historic options data? Now I want it!

I ended up getting some of the data through Bloomberg but they didn’t have everything I was looking for (either that, or I don’t have those specific data feeds). I could pull historical volatility skews though, so it gave me mostly what I was after. I was also able to pull some data through thinkorswim w/ the thinkback tool.

thanks. I was looking to get intraday implied volatility data. TOS only seems to store IV at daily close.

I was originally as well, but had to modify what I was doing.