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I am looking for long history for historical settlement option prices at EUREX. This seems to be more challenge than I could imagine. Eurex themselves doesn't offer that data unfortunately (they only sell tick data). I was wondering if someone has faced similar challenge and where they got data from...

UPDATE

This question is different than: Need historical prices of EUREX American and European style options. They asked about historical prices for EUREX in general and the answer which was accepted is indeed correct, but it doesn't cover settlement prices.

EUREX does offer historical prices aggregated to daily frequency. However these do not include settlement prices which is what I am looking for (as confirmed by EUREX in my communication with them).

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  • $\begingroup$ Eurex does seem to offer it as you can select to aggregate the data to a daily frequency..? $\endgroup$ – LocalVolatility May 22 '18 at 15:02
  • $\begingroup$ You can do that, but will only get close prices, rather than settlement prices. $\endgroup$ – Paweł Badeński May 22 '18 at 15:15
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    $\begingroup$ Possible duplicate of Need historical prices of EUREX American and European style options $\endgroup$ – pyCthon May 22 '18 at 19:03
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    $\begingroup$ If you know the settlement price algorithm used, you might be able to derive a daily settlement price from option data (but you may need much more data to calculate it - such as order book data). Other exchanges, such as ASX, detail their methodology: asx.com.au/documents/resources/… $\endgroup$ – Norgate Data May 23 '18 at 23:22
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    $\begingroup$ @NorgateData This makes sense, however ;)... Good news: I contacted Eurex and they referred me to their specs, which could make it possible. Bad news: They confirmed that tick data only goes back to 2014 - back to square one. $\endgroup$ – Paweł Badeński May 29 '18 at 10:50
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Optionmetrics IvyDB Europe offers both settlement and close tick prices. The history for options traded on Eurex go back approximately to 2002-2004 (depends on the instrument).

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  • $\begingroup$ I did email them about it & they told me they do not offer "interest rate options or futures data currently". $\endgroup$ – Paweł Badeński Sep 5 '18 at 8:59

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