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I'm looking for historical data of S&P500 options. I have access to Wharton Research Data Services (WRDS), however, my university does not provide access to Option Metrics. Is there another way how I can obtain this kind of data from another data provider on WRDS? PHLX only provides data until 1997, but it would be convenient if I could get my hands on more recent data if possible.

Thanks in advance!

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This all sounds very weird to me. Most universities have economics and finance departments, so it would be surprising if no one anywhere in the university has access to the Option Metrics databases. This is the primary data provider used in academic research on option pricing, hence all issues related with reproducing, updating and extending prior work hinges on access to this data. I'd be extremely surprised if absolutely no one, not even PhD students or professors had access, although I could see something like the university restricting access to certain programs or only to graduate students, etc. So, my first advice is to ask around. Send emails to professors of economics or finance who work on option pricing. They most certainly have access and the near totality of them would be very happy to hear about students being interested in what they do.

Now, you might also want to take a look at webscraping. There is a whole Python tutorial available here. You get explanations and free code that helps you import and clean option data from Yahoo!Finance. Eventually, your database would be large enough to become useful.

A last option is to look for recent articles published in top financial journals. Some of those journals will make it mandatory to release everything necessary to reproduce all results without exception. For example, Christian Dorion from HEC Montreal just published an amazing paper on option pricing in the Review of Financial Studies (with Bégin and Gauthier). His website is here. Notice that he gives us all of his codes. If you click on that link, you land in a Dropbox file. One file is data_management and, in there, you can eventually find the option data he used in a .mat (MATLAB) format. If you want to use it, but do not have MATLAB, R and Python both have packages that you can use to read those files. Alternatively, you can install a trial version of MATLAB and then save what you need in the format of your choice.

The only real downside here is that you have to live with the data cleaning those researchers performed. You'd have to dig in the folders to check if they changed something to the original WRSD Option Metric call, but it's a good start.

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  • $\begingroup$ Thank you so much for your fast answer, this was very helpful! My problem is, that I am currently writing my master's thesis and can't go to our finance lab at university (due to Corona). Webscraping sounds promising, however, I would prefer to work with older option data, as the current extraordinary times have an undesired impact on option prices. I will try to contact other professors regarding their Option Metric access. Do you know if I can easily get historical option prices from the Bloomberg terminal? If that would work my problem would also be solved. Thanks again Stéphane $\endgroup$ – elemenope Apr 19 at 22:27
  • $\begingroup$ The link I gave you from Christian Dorion's website would be exactly what you need, then. It's slightly older data and he has options on the SP500, as well as on some individual stocks. He also has the data on the underlying. $\endgroup$ – Stéphane Apr 19 at 22:53
  • $\begingroup$ If this doesn't cut it, don't you have a superviser who could pull the data for you in the worst case? As for Bloomberg, no idea. $\endgroup$ – Stéphane Apr 19 at 23:01
  • $\begingroup$ Thanks again! Dorion's dropbox files seem to be good and look very promising. Yes, I think I could ask my supervisor in the worst case. Thank you so much, you really helped me a lot! $\endgroup$ – elemenope Apr 20 at 17:41

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