I would like to explore some listed options trade ideas on the SPX (and maybe later on its components too), and naturally I would need historical data to backtest those ideas.

In my quest for a provider of historical listed SPX option prices, I found the data shop of the CBOE which appears to sell them. Has anyone tried their data? If yes, how good is the quality? Are there a lot of missing or wrong prices and greeks?

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    $\begingroup$ I haven't used them but as you are specifically asking for Greeks: these are usually a problem with any data provider as they a) depend on other market data that is often not directly observable (e.g. dividends, repo rates, ...) and b) they are model dependent. $\endgroup$ – LocalVolatility Oct 12 '17 at 7:17
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    $\begingroup$ Missing or wrong prices, I think you can exclude that. But there are always delicate issues in any option price database: non-simultaneity, poor coverage for options that are very illiquid, plus the Greeks issues that LocalVolatility mentioned. Empirical researchers in options need to be aware of these issues, and they are mentioned in published papers. $\endgroup$ – noob2 Oct 12 '17 at 14:12
  • $\begingroup$ I have worked with several data sources. All of them have their issues, but you can usually figure out a reasonable solution. If you can give me a few more details I will help if I can. Do you need Intra-Day data or will end of day work? Will you be using your own options model (BS, Binomial, etc..) or do you want to rely on their greeks calcs? Depending on your answer do you have a source of Risk-Free Rate and dividend yield numbers? A bit of a description of the testing you want to do would be useful. $\endgroup$ – drobertson Oct 17 '17 at 19:58

The most widely used dataset for stock returns is the CRSP dataset. If you are studying at a university it is very likely that your school will subscribe WRDS which grants you access to CRSP. Otherwise, Bloomberg is probably your best alternative.

If you cannot access either CRSP or Bloomberg, my suggestion is for you to purchase 5 tickers from CBOE which apparently is very cheap (around $15) and compare them with other sources. Ideally, one of the two above or Yahoo Finance/Google Finance.

Edit: Only now I understood that you are looking for options data. The most reliable database for options is OptionMetrics (which again you can access through WRDS for example). Follow the same procedure as above. Pick a few tickers from CBOE purchase the data and compare them with OptionMetrics.


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