Daily option historical price database?

Dear friends,

I'm currently doing a postgraduate research on pricing CDS using option implied volatility but I cannot locate any free data for the weekly or daily option prices for the ASX listed companies such as BHP, RIO from 2004 to 2009. Anyone can provide this data?

Thanks
Andrew Liew

Hi Andrew,

I don't work with ASX options, but maybe some of the others here can confirm whether Hoadley's option add-in can extract this sort of information?

I'm sure this data is downloaded via the macro for may of its calcs...otherwise you may have to pay for it:
www.premiumdata.net

G'luck with your paper

activesun1982 said:

but I cannot locate any free data for the weekly or daily option prices for the ASX listed companies such as BHP, RIO from 2004 to 2009.

Click to expand...

Commsec does. You need to sign up with them and it is free. Log in and select News & Research/Charting/End of day Price data. Enter the option series symbol eg. CBATK9 and you should get a text file downloaded to your PC with historical data.

Also try
http://www.tradingroom.com.au/apps/qt/quote.ac?section=pricehist&sy=tpl&code=CBAUC8#tabs

Given the number of exchange traded options on the ASX (about 30,000 trading these days) from 2004 through to 2009, you're talking say 252 days plus say 80 bytes per record with all of the relevant information (strike price, expiry date etc.), you're look at over 3GB of data.

This is the reason that such data is not "free".

We don't supply historical delisted options data for this reason. Indeed, we only receive about 1 query a year for such data that it doesn't justify itself as a commercial product.

You shoud contact SIRCA as they would be able to help you here. Hopefully your university subscribes to them.

Watch out for illiquid ASX options too... The final price for the day may be nowhere near its true value.

Also beware too of symbol reuse by the ASX. They regularly re-use ETO symbol with completely different strike prices/expiry dates.

Feel free to ask me any more questions - data is what I do.