I'm trying to collect the following daily data from around 1998 to the present: share price, volume, option prices, volumes and implicit volatilities. I would be prepared to pay if need be and the source is "official." I need these data for stocks traded on Wall Street, though I'm not yet sure which.

Sam Marx replies:

I recommend that you start with the CBOE itself and if you need more, they may be able to assist. Check with the CBOE website as a start.





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2 Comments so far

  1. MisanthropeOfGreenwichCT on October 13, 2007 3:07 pm

    I no longer work in this area but I vaguely remember http://www.optionmetrics.com/ and its database IvyDB. It is a commercial data vendor but perhaps they have a discount for you as a university user.

  2. Fabrice Rouah on October 15, 2007 10:00 pm

    Follow Misanthrope’s suggestion and try OptionMetrics, they have TONS of data. I was able to get some free data from them for a book I wrote on option pricing, and I was impressed with the quality of their data and the coverage. You may also be able to get a trial offer. I recommend them highly. Best of luck with your search.


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