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Where can I find historical data for option prices on a given index ? Ideally I'd like to find for a period of several months 1) historical prices on options on a given index 2) historical prices on options on the components of this index

Potential for an index that doesn't have too many components

Is there a website where this data is easily available ? Thanks!

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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 of this site (if it is please immediately delete this post). But, as an academic studying on options, I am sharing the link mainly because finding affordable and quality data on options is almost impossible even for research purposes.

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  • $\begingroup$ @berkobay, it's either affordable or quality :). As an academic, you can check if your university is subscribed to OptionMetrics. $\endgroup$
    – Eli
    Sep 12, 2014 at 19:25
  • $\begingroup$ @Eli Let's say it is good quality for the price :) I did and I even tried for our university to purchase it. But I think to justify the cost, (many) more researchers are required. $\endgroup$
    – berkorbay
    Sep 15, 2014 at 6:36
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    $\begingroup$ Absolutely agreed. I don't know how many Ph.D. students there are in your institution, but it definitely takes a few in the department to justify the purchase. Just as a nice resource, here is the collection of interesting papers: optionmetrics.com/research.html $\endgroup$
    – Eli
    Sep 16, 2014 at 15:45

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