Without data it is impossible to trade, analyze, or develop a trading system. While
there are hundreds of places where you can get historical stock data, there are
very few places where you can get historical option prices.
One of the reasons that this is true, is that one day's worth of option data takes
about 175 times the space as one day's stock data for the same underlying symbols.
HistoricalOptionData.com is dedicated to creating a repository of option data which
is easily available to its users. And while some users have the need to have a copy
of all of this data on their own computers, most option traders do not need it.
For those who require all of the data on their local machines, please refer to the
section below called "bulk data". For those who only require
a few symbols, please refer to the section below called "partial
data".
items of interest
bulk data
Bulk data contains data for all optionable symbols for each day in the dataset that
you purchase. The intended audience for this data is those people who are developing
their own option trading system and want to have access to a complete set of option
data.
Bulk data is downloaded in CSV (comma delimited files) which are collected into
compressed WinZip files. One year's worth of compressed data files is approximately
2 gigabytes in size.
The structure of the data has one file per day. Each file contains an average of 300,000
rows of data. Each row of data contains one contract. Most users who intend to import
the option data into a database will find that using the Excel formatted data will
be easier to digest. One problem that often arises with this format of data occurs
when users try to open the file with Excel. Since Excel has a row limitation of
65,536 rows, an error message will appear stating that the loading of data was incomplete.
Your first reaction when opening the data file using Excel will be that all of the
data is not there. Typically new users will call the support line saying that their
data only goes up to letter I and stops. Rest assured, all the data is there.
UPDATE! Excel 2007 supports 1,048,576 rows!
Please click here to see the column
structure of the data and to download sample files.
partial data
Any request for data that is less than bulk data is referred to as partial data.
A typical example would be, "Can you give me all the option quotes for the OEX for
the past year?", or "Can you give me all the LEAP data for 2004?", or "I need the
option data for a few symbols for one specific date". Each one of these types of
requests are somewhat unique. In contrast, a bulk data request would be, "Give me
all the data you have for 2004, and I will parse through the data and pull out what
I need".
Bulk data requests require no extra work on our part because the data is stored
on our server in bulk and can be easily and quickly delivered. Partial data requests
may involve some additional work on our part extracting the data, and packaging
it for special download. Therefore, partial data requests are usually MORE expensive
than bulk data requests because of the extra labor that is involved. In many cases
you will save money by purchasing the bulk data and extracting the data you need.
Each partial data request will require a quotation and you will either need to call
us or send us and email explaining what you are looking for and we will send you
an invoice to meet your request.. You also might first look at our online tool section
to see if there is something available for your circumstance.
historical options database
Using comma delimited files, and using our online web services are great for option
traders who only need a small subset of data. However at some point you will want
to have all of the data available in a database. Accessing data in a database is
a lot more flexible than accessing a data which is stored to CSV text files. And
while accessing the data using our web service gives you the flexibility that CSV
files do not provide, you are going to be limited by the speed of your internet
connection.
At some point it will be more productive for you to dedicate a computer in your
home or office to house your own options database. This product, the Historical
Options Database will provide you with the ultimate flexibility and freedom you
need to perform timely queries and back testing of your option strategies.
Our chosen choice of database vendors is Microsoft. Currently our servers house
the database which feeds the online web pages and online web service using Microsoft
SQL Server 2005. However, the data has also been tested on SQL Server 2008 and is
fully compatible. You may want to take advantage of the SQL Server 2008 Express,
which is free, in order to keep down your initial expenses.
As with our CSV data, the database contains end of day options data history. This
end of day data contains the following fields:
The data consists of exchanged traded options prices from all U.S. exchanges. This
data is commonly referred to as the NBBO (National Best Bid Offer) data set.
DeltaNeutral also calculates the greek values and adds them to the dataset using the
standard Black Scholes model.
The database is available for immediate download upon purchase, and the users may
also request that the database be mailed to them on an external hard drive for
an added cost.
online data
Small amounts of data may be accessed as part of our online tools. All of our option
data is available through our various web pages and if you have computer programming
skills available to you, the data is also available through our Web Service. If
you are interested in downloading a subset of our data, please go to our Tools and
Web Service sections of the web site for more information.
end of day data
To keep your historical data up to date, you will need to subscribe to our end of
day data service. You need to subscribe to Excel data formatted version, this is
also sometimes called the DBUpdate format. Those who have purchased our Historical Options
Database should subscribe to this same format, and will receive software which will
apply the daily updates to the database.
Approximately two hours after the market has closed, you will be able to download
your daily data.
We always keep at least five weeks of data on our server. So whether you go on vacation,
or decide to take a few days off, your data will be waiting for you to download.
For those of you who use our OptimalTrader Software you may be wondering why you would
need to use our service when you can download data for free from Yahoo using the
software. First of all, it was never Yahoo's intention to let everyone have free
data for those who want to download data for all symbols.
When our user's hard drives crash, they call us. As long as they are current subscribers
to the end of day service, we give them the current passwords for the historical
data and let them re-download all their data. It will make your life easier, that
is the main reason you should subscribe to our end of day service.
membership
products overview
Bulk Data
Historical data which is sold in one year blocks and contains all symbols for stocks,
indexes and ETFs traded in U.S. markets. The data can be downloaded immediately
after purchase as optionally you can receive the data on DVDs.
Partial Data
Any request for historical data that is less than a bulk data request. Each request
is priced separately according to how much time it will take to fulfill the order.
The data will be available for download from our server.
Online Data
Where you can view option chains online as well as download small CSV files using
your browser. This is subscription based with a monthly fee.
End of Day Download Service
Download each day's data a couple of hours after the market closes each day. The
data will include all symbols for the U.S. markets.
tools
Volatility Scans
Looking for a particular implied volatility setup for trading? Use our Volatility
Scan for finding your next trading opportunity.
Calendar Skews Anyone?
Our improved implied volatility skew finder will aid you in hunting for calendar,
diagonal and butterfly trades.
Technical Analysis Scans
Introducing Tech Scan, our collection of tools which help you find excellent trade
setups using technical analysis.
Options
Analysis Software
Try DeltaNeutral's OptimalTrader options analysis software. Find, manage and repair
your option trades. Free 14 day trial.
