Database | Description | Location |
Ivy DB Optionmetrics** |
Historical prices of options & their associated underlying instruments, implied volatilities, & option sensitivities. IVY DB US contains daily data on all US exchange-listed & NASDAQ equities & market indices, as well as all US listed index & equity options. To link to CRSP, use the Optionmetrics CRSP link. January 1996+. IVY DB Europe includes 900+ optionable securities from Belgium, France, Germany, Italy, Netherlands, Spain, and the UK. Daily - 2002+; TIck 2006+. Also see Optionmetrics research papers.
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Available through WRDS.** |
Datastream International* | Select options data from many countries & exchanges. | Available on the workstations located near Firestone A-13-J and Stokes Library. Part of Refintiv Workspace. |
Bloomberg* | Up to date as well as historical (though generally not before 1989) international data on options. Frequency varies but is typically daily for financial information & in some cases intradaily. Intradaily data is typically kept 30 to 90 days only. | Available on the workstations located near Firestone A-13-J, Robertson 046, Andlinger 211A, Master of Finance lounge in JRR, and Sherrerd lower level. |
Tick-by-tick Intraday Data* |
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Available on Workstations 9 and 10 located near Firestone A-13-J. |
E-mini S&P 500 options. Time and Sales data. (10/1/2004-2/2015) (Globex Options). | Tick data on trades of E-mini S&P 500 options on the Chicago Mercantile Exchange. | |
Berkeley Options Database* | Historical record of trades & quotes, time-stamped to the nearest second, for all standardized contracts traded on the Chicago Board Options Exchange for 1987-1995. Ceased in 1995. | Raw data files can be found on the DSS Server. |
Prophet Stock and Index Options* | Daily options data for United States equities, index & futures options from November 1995 to 2002. Provides all reported activity on puts & calls for all listed index & equity options that had trading volume. Includes the open, high, low, close, volume, & open interest for all strikes & series. See documentation. | DSS Study 5013 (CD) |
Currency Options* (Philadelphia Stock Exchange) | Tick prices for currency options traded on the Philadelphia Stock Exchange from 1983 to 1997. | Available through WRDS.** |
*Must be used for academic purposes only, that is, to support the teaching & research of Princeton University.
Handbook of World Stock, Derivative and Commodity Exchanges. | Provides a country by country listing of exchanges. Gives a brief history and other pertinent information. 1994, 1997-2010. | HG4551.H319q (Final edition in DSS) |
Also consult the FAQs.
** WRDS requires user to validate through password. Must be used for academic purposes only, that is, to support the teaching and research of Princeton University.