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I am preparing a study about Volatility and Variance Swaps. Does anyone know where I can found historical public data regarding this instruments? Thanks!

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1 Answer 1

There are no free resources that provide historical bid and ask prices for option chains. You should consider buying them from a data provider.

However, you can start accumulating data from yahoo using the getOptionChain function of the {quantmod} R package.

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Option chains are not varswap or volswap prices, though of course the two are related. Given all the arbitrary choices made in turning option chain data into a varswap price (mid-price or mid-vol, weighting, etc) it is fair to say two market participants could be quite far apart in varswap prices even with identical option chain feed data. –  Brian B Mar 19 at 14:06

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