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2

CBOE has something with limited capacity. Yahoo Finance also gives the current option chain. But historical option data is not free. The most affordable I saw is here. I don't know about its validity but their structure seems good and almost clean. More importantly, data seems reliable. p.s. I am not sure if providing the paid data link is within T&C ...


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I found US data here. While this data doesn't include correlations, these can be calculated relatively easily.


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You can find VIX intraday history back to 2003 at Pi Trading, http://pitrading.com. Look under the market data package.


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Most of these classifications of aggressive trades are not so relevant anymore, due to smart order routers which execute aggressive parent orders using passive child orders, as Maureen O'Hara points out in http://www2.warwick.ac.uk/fac/soc/wbs/subjects/finance/fof2014/programme/maureen_ohara.pdf I am not sure what I would do if I wanted this information, ...


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I've found that the EODData website is difficult to understand. That can be overcome with reasonable support. I wrote to EODData with a support request one week ago. I have yet to get any response. This site, absent decent support, is worthless. I would advise that you avoid it like the plague until the owners start to pay attention to support requests. ...


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The most commonly-known approach to this is described in Inferring trade direction from intraday data (1991) by Lee and Ready. You will find that the non-trivial part has to do with classifying trades that are reported inside the spread. I believe you will find that the Lee-Ready algorithm will outperform the naive midpoint reference approach suggested by ...


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I think spread midpoint will be more safe reference, after that if transaction price is higher from midpoint its buy, otherwise sell, if equal then not specified.



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