SteadyOptions is an options trading forum where you can find solutions from top options traders. Join Us!

We’ve all been there… researching options strategies and unable to find the answers we’re looking for. SteadyOptions has your solution.

dfwjf92jfd

Dataset for Commodity Options

Recommended Posts

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

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

Create an account or sign in to comment

You need to be a member in order to leave a comment

Create an account

Sign up for a new account. It's easy and free!


Register a new account

Sign in

Already have an account? Sign in here.


Sign In Now

  • Recently Browsing   0 members

    No registered users viewing this page.