A friend of mine is looking for option prices older than his broker seems to offer online (a month). He’d like to be able to answer something like:
“On April 3, 2007, what were the bid/ask spreads of the put and call options for all strike prices for ABC Corp. with expiration dates of September 2007?”
Where might one get access to such data?
For the moment, the specific numbers he’s looking for: the bid and ask prices for DJ put and call options on May 21, 2007, and July 24, 2007, with expiration dates of Sep07 or Dec07. But, a general solution to this data issue would be more useful.
(Also, this is my friend’s first exposure to the SDMB. I know you guys can make me proud. )
I don’t know of free sources. I’ll have a little poke around.
One guy I know who did work on financial markets - he was interested in 10 minute interval data over a number of years for a number of commodities on the London Metals Exchange - certainly had access to the kind of data your friend requires (and in very great quantities). So they exist, at least for some markets. However, I do know that this guy spent a lot of his research time applying for grants to buy the data.
Maybe this bump will bring some of our finance types out of the woodwork.
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