Options Archive

Public Data from the Exchanges, Part 3

Today we review the data available from three New York exhanges with restrictive linking policies: NSX, NYSE, and NASDAQ. NSX and NYSE do not permit linking directly to any part of their web sites without prior written permission. NASDAQ permits linking only to their front page without other authorization.

  • The National Stock Exchange (http://www.nsx.com) has a policy which prohibits any and all hypertext linking to their web site without prior written consent. They don’t have a lot of data series publicly available at this point, but you can find their daily short interest archives on their web site without registration. With free registration, they also provide some volume and pricing historical information on ETFs traded on their exchange.
  • NASDAQ prohibits linking to any of its pages (other than its front page) without prior written permission, but they offer a tremendous wealth of data, including:
    • Quotes, both real-time and historical (up to 10 years)
    • After-hours and pre-market quotes (realtime)
    • Options quotes
    • Analyst estimates
    • News
    • Technical indicators (with StockConsultant)
    • News
    • Financial variables from SEC 10-K (past four years) and 10-Q (past year) in XBRL
    • Short sale information, updated twice monthly
    • Institutional and insider trading information
    • Competitor information
    • Transcripts from earnings calls, conference calls, and the like

    NASDAQ also operates an anonymous ftp site on which it files data per regulatory requirements (short selling and threshold securities) and for other purposes at ftp://ftp.nasdaqtrader.com/. Sometimes it is hard to access it, perhaps due to high demand.

  • The New York Stock Exchange sells detailed market data through their web site, NYSE Technologies (http://www.nyxdata.com/), but they do make some information available for free on their main corporate web site (http://www.nyse.com/), including:
    • Summary information for listed securities
    • SEC filings, with an increasing number of tables in spreadsheet format
  • NYSE also operates an anonymous FTP site for regulatory compliance and other purposes at ftp://ftp.nyxdata.com/. It contains short sale information for ARCA securities and other data. Access to it is a bit patchy during some times of the day, perhaps due to high demand.

Stay tuned for part four in this series: data from OTC exchanges.

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Public Data from the Exchanges, Part 2

This is the second installment in a series on data publicly available from the exchanges.

  • The Chicago Board of Options Exchange (CBOE) provides a market for stocks and futures as well as options and other derivatives. Like NASDAQ, at present, it does not permit its web site users to link to any page on their main web site other than its front page without prior written authorization. The URLs below were active at the time of this article and are provided for informational purposes only.
    • CBOE Equity Option Volume Archive; http://www.cboe.com/data/AvgDailyVolArchive.aspx; monthly summary volume information for individual equities, including put/call volume
    • CBOE Daily Market Statistics; http://www.cboe.com/data/mktstat3.aspx; daily summary reports for the CBOE, including index put/call volume and other information
    • CBOE Futures Exchange Daily Market Statistics; http://www.cboe.com/data/CFE/CFEMktStat.aspx; daily summary information on futures trading on the CBOE
    • CBOE Volume & Put/Call Ratios; http://www.cboe.com/data/PutCallRatio.aspx; convenient CSV files summarizing volume information found elsewhere on their site
    • The Chicago Stock Exchange offers some good information, including

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Historical Options Prices Providers

Recently I’ve been looking for a source of historical options pricing data. While the most recent option price listings are available for free from numerous sources such as Yahoo!, finding an inexpensive, detailed record of historical options prices is not easy.

A selection of pay ones is easily found:

Most of the pay sites also offer free samples of historical data. CSI offers free samples of the S&P 500 option pricings over late 2002-early 2003. CRB offers free samples of the S&P 500 option pricings in early 2002.

CBOE offers some summary datasets for free download. Some datasets of note are the CBOE Put/Call Ratios and the CBOE Equity Option Volume Archive. CBOE also offers historical stock volatility data as a convenience for those who prefer not to calculate historical volatility directly.

CrimsonMind offers daily historical options data from 2005 on with a free registration, but they do not facilitate easy downloading.

The Options Price Reporting Authority, which is the source for option data in the United States, offers a variety of services and licenses, including a vendor license with redistribution rights and free historical data. Individuals seeking access are directed to first confer with the pre-existing vendors.

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