Questions tagged [optionmetrics]
Questions about OptionMetrics data, structure, coverage and calculations.
8
questions
1
vote
1
answer
704
views
Historical S&P 500 OPTION data on WRDS, no access to Option Metrics
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 ...
- 53
1
vote
0
answers
35
views
Where to Find Foreign Countries Index Option Data
OptionMetrics database contains option data for several US indexes (SP500, SP100...). But I don't see any option data for foreign indexes. Is there a place from which I could get/purchase the options ...
- 77
6
votes
1
answer
3k
views
What are the known flaws and limitations of OptionMetrics data?
Several researchers are skeptical about the database quality, but their argumentation is somewhat unclear to me.
For instance, Constantinides, Jackwerth and Perrakis (2008) (link):
[...] we were ...
- 932
0
votes
1
answer
264
views
Basic Metrics for Option Trading Limits
Imagine a trading house that trades options, and is looking for simple but effective metrics over which trading option limits will be set. Which ones should it choose?
Some random thoughts:
VaR is ...
1
vote
0
answers
1k
views
where to find historical option prices?
I have a dataset of options (traded in European exchanges such as NYSE Euronext) and I would like to find their price history.
Where to find it?
I see that ...
- 133
2
votes
3
answers
592
views
How to synchronize put and call option-data?
I recently retrieved a large amount of European option data, for call and put prices, from OptionMetrics. Doing so for the same time period I get a file consisting of
62558 rows of call prices & ...
- 538
2
votes
1
answer
477
views
Question on OptionMetrics: when are adjustments for discrete dividends needed?
Bakshi et. al. (1997) analyzes the empirical performance of some alternative option pricing models. I am interested to do this as well - hence applying different models - but I am unsure how to handle ...
- 538
2
votes
1
answer
1k
views
Question on OptionMetrics: "Strike Price times 1000" differs too much from Index price
I have a question regarding the strike price that is given on OptionMetrics. My goal is to primarily retrieve options prices of a specific maturity with strike prices that are 20% in-the-money, at-the-...
- 21