Option prices historical data for research

coxs

New Member
Hi guys,
I am looking for intraday option price data with underlying asset a stock or an ETF listed on NYSE or NASDAQ.
Since now, I did not discover a site/database that offers Free historical option prices. I would be pleased if someone could provide me a Free website or send me data file with historical option prices.
I am focusing on the Black-Scholes model and whether the implied volatility forecast the realized volatility as well as the difference between option price in the Market and the theoritical option price computed through Black Scholes equation.
Thank in advance.
 

Peter M

Active Member
C++ Student
You're very, very, very unlikely to find historical daily option pricing data for free. Even less so for intra-day data. Good news is nowadays though, it is fairly cheap. Check out CBOE's LiveVol database. I believe for a years worth of 1 min option pricing data for a single symbol (e.g., S&P 500 Index) is about $70.

There's a lot of research out there that documents the implied volatility in option prices exceeding realized underlying asset price volatility.
 

wchurch

New Member
I agree very much with what Peter has just mentioned, getting intraday institutional data is not easy. However you can try IEXtrading.com, they offer free historical intraday stocks data for free. Only that the data isn't clear on some time stumps, you'll have to spend a lot of time cleaning it. So the best choice you can go for is getting it from the vendor. Nowadays you'll be able to find data at a very low price. I have been using intray data from algoseek.com they are affordable and in depth quality data.
 
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astroamanj

New Member
These websites mentioned, look nice, I have also observed that you can get FX intraday minute data quite easily, are you aware of any source for spot data of energy commodities and base metals. Thanks!
 
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