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I need to get data about the entire dataset (i.e. all) of options for European countries. Where can I do that? For example, if I had to do it for US options, I would just use WRDS (to which I have access through my institution) and simply use the query "search entire dataset"). For European data I have access to Eikon Thomson Reuters and Bloomberg, but no such option is available (not even going trhough Eikon API using Python). Moreover, I don't have access to OptionMetrics for Europe. What are the options left instead of split the data in a huge number of small chunks and then downlaoding what needed? What I really need is just a list of the options, not necessarily the data themselves.

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May not be exactly what you are looking for but in Bloomberg you can use the securities finder (SECF <GO>) to get European equities with options.

  1. Choose "Equities" as the category
  2. Go to the "Equity Options" tab, or any other (Index Options or Options on Eqty Future)
  3. Filter by Currency, Exchange or whatever you want
  4. Click the export button to download the list to excel

You might not get all that you want in a single go, but you can download lots of information on equities with options

Then you can use python to loop through all the equity tickers and extract the option chain.

There are several wrappers for the blpapi. I usually use pybbg. Try something like this:

import pybbg
bbg = pybbg.Pybbg()

stocks = [
    "FP FP Equity",
    "ATL IM Equity",
    "RNO FP Equity",
    "MC FP Equity",
    "AIR FP Equity",
    "ASML NA Equity"
]

options = []
for stock in stocks:
    chain = bbg.bds(stock, "OPT_CHAIN")
    options.append(chain)

However, be aware of your data limits as querying all the the data for European options will most certainly pass your daily limit

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  • $\begingroup$ Thank you @david for your suggestion. So your idea woul be to first get the list of all the stocks in the European market, create a list and then find the list of the corresponding options with the command you give in the last line? If yes, I think it would be a good idea! Although stock number is hige, it is not as big as the number of options in Europe. Then the question arises naturally: is there a way to get the list of all stocks in Europe (or at least for each country which belongs to European Union)? $\endgroup$ – Matteo Jan 22 '20 at 13:28
  • $\begingroup$ Do you mean using python? $\endgroup$ – David Duarte Jan 22 '20 at 14:19
  • $\begingroup$ No ok, I see now what you mean. Thanks a lot. $\endgroup$ – Matteo Jan 22 '20 at 14:42

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