Historical Equity Option Data, Greeks & Implied Volatility

Using the Historical icon, you can easily pull historical stock and stock index option Greeks and implied volatility for one or more strikes at a time. Using either the symbol search or the Exchanges branch of the symbol tree, select an optionable underlying stock. Using the symbol search, click on the Options hyperlink and view all available expirations.

 

Through the Exchange branch, select the exchange where the underlying trades and then open up the Options branch and select your expiration.

 

Select individual options by double clicking on the strike. Hold Shift and use the arrow keys to select multiple strikes at once.

 

Select all strikes by holding Ctrl + A.

 

Once all strikes are selected, hit Enter and all options will display in the insert panel.

 

You can return to the underlying’s expirations by clicking on the arrow back button or start a new underlying search using the delete button ('x').

 

Select your Fields

After moving the strikes to the Insert panel, click on the Edit fields button. Here you can see fields specific to equity options.

 

 

Fields are split into two groupings: Prices & Volume and Options. To add a field from the Edit Fields list, check the field or click and drag into the Selected Columns. To select all fields in a grouping at one time, check the box next to the grouping name.

 

All fields in the Selected Columns section can be repositioned by click and dragging to the desired location. Once the necessary fields are selected, click insert and all options and their corresponding fields will display like below.

 

Expired Equity Option Data

When opening up either the Chart or History dialogues, upon clicking on the ‘Options’ button the first available selection is 'Expired Options.'

 

Historical Equity Option Greeks and IV Fields

Volatility

Theoretical value

Delta

Volatility

Theoretical value

Delta

Gamma

Theta

Vega

Rho

Bid

Ask

 

Expired Equity Option Data

After clicking on the Options button when querying historical data, the first selection will be ‘Expired Options.’

Expired monthly and weekly historical data is available starting with 2016. After selecting the desired year, all expired expirations will display in chronological order.

Select your expiration and then any and all strikes and insert the data into the spreadsheet.

 

Data Removal

Historical equity option data inserted into a worksheet can be quickly removed by highlighting the Time Series anchor cell, Clicking on the History icon and selecting the Clear button.