dfwjf92jfd 40 Report post Posted September 29, 2017 I know we focus here on equity options, but maybe someone here can help... I'm looking for a high-quality historical dataset of options for certain commodities (soybeans, corn, etc.). I've used and really like historicaloptiondata.com for equity options: their prices are generally $130ish for a year of data, but they only have equities. I contacted the Commodity Research Bureau (crbtrader.com) - they purport to have this data at a very reasonable price (~$50 per year per commodity). Sadly, I was informed that "We don't sell the options data anymore because our database was corrupt" and that their new database will not be available for a few months. CRB has reasonably priced historical futures data for a host of commodities...just not options. I then turned to CME Datamine (http://www.cmegroup.com/market-data/datamine-historical-data.html), but they charge on order of $500 per year per commodity. Surely there must exist another reasonably-priced source for this data, right?? Share this post Link to post Share on other sites
Christof+ 274 Report post Posted October 9, 2017 https://www.quandl.com/data/CME-Chicago-Mercantile-Exchange-Futures-Data You can download all CME's futures data for free, basically all you could ever desire. You will get single futures time series though, meaning you will have to implement your own stitching algorithm in order to construct continuously rolling futures series. Quality is ok. I've used them a lot and despite small issues did not encounter major problems. On quandl you will also find free ICE (DB: ICE) and EUREX (DB: EUREX) data, but haven't worked with either. If you are too lazy stitching them yourself and are ok with simple 'chained' contracts with no backadjustment: https://www.quandl.com/data/CHRIS-Wiki-Continuous-Futures Share this post Link to post Share on other sites
dfwjf92jfd 40 Report post Posted October 9, 2017 Thanks - that's a great lead on the futures data. As for options data, I *did* find a good source after a bit of searching: http://www.ivolatility.com/. I can get a year of options data on a single commodity for approximately $30, which is pretty reasonable. I'm thinking this, combined with the Quandl dataset you suggest, should have me covered... Share this post Link to post Share on other sites
Christof+ 274 Report post Posted October 10, 2017 yeah, sorry that's for the futures @dfwjf92jfd .... sometimes it pays to fully read the post... sorry to hear CRB is down. Share this post Link to post Share on other sites
