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Finding and using financial data at Princeton University

Options - Data

Database Description Location
 Ivy DB Optionmetrics** Historical prices of options & their associated underlying instruments, implied volatilities, & option sensitivities. IVY DB US contains 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 UK, French, German, Swiss, Netherlands, Belgium, Spanish and Italian exchanges.  2002+

 

Available through WRDS.**
Datastream International* Select options data from many countries & exchanges. Firestone Library -- A Floor and Stokes Library
Global Insight* Daily data for select options contracts. Online.
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. Firestone Library -- A Floor
Tick-by-tick Intraday Data*
  • Intraday data. 
  • Princeton subscribes to the following options components:
    • SPX (Standard & Poor's 500 options) (Trades & Quotes July 2, 2004-May 29, 2015)
    • VIX (CBOE Volatility Index) (Trades February 2, 2006-May 29, 2015; Quotes February 2, 2006-April 30, 2015 )
  • Updated daily. User's manual includes many helpful tips.
Firestone Library -- A Floor Workstations 9 and 10
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.


Options - Guides

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)

Options - Web Sites

Options - Notes

Also consult the FAQ.

Bobbi Coffey and Bobray Bordelon

** WRDS requires user to validate through password (undergraduates request a research assistant account and list your adviser as your faculty member). Must be used for academic purposes only, that is, to support the teaching and research of Princeton University.