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Another good source for option prices is: https://datashop.cboe.com https://datashop.cboe.com I would not recommend to use the Yahoo or Google apis to get opti
by Schweigi 10y ago
Another good source for option prices is: https://datashop.cboe.com https://datashop.cboe.com
I would not recommend to use the Yahoo or Google apis to get option prices. Some of the bid/ask prices are completly wrong and some expiration dates are missing. I created an option scanner as a side project and found about this bad data quality the hard way.
- _dvdu 10y agoIt's a good place to get solid data but it's quite expensive. EOD history for SPX alone is $250 apparently. All symbols are $2500 and my understanding is that this is just CBOE options? Is CME not in there?
- matheweis 10y ago$250 is not bad... what does it include? iVolatility told me it would be ~$1000 for EOD chains + IV & Greeks since 1990 - just for SPX. CBOE is partners with iVolatility so I imagine their data is decent, but I can't bring myself to drop that much on it for a simple personal project.
- Veratyr 10y agoWith IV and greeks from 1990 is $384.62 apparently: https://datashop.cboe.com/option-quotes-end-of-day-with-calcs https://datashop.cboe.com/option-quotes-end-of-day-with-calc... Since CBOE is the exchange itself, I'd assume the quality of the data is at least the same as iVolatility, if not better.