SPX options data, Datastream

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pkoufalas
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Joined: Mon Jul 11, 2005 10:59 pm
Location: Adelaide Australia

SPX options data, Datastream

Post by pkoufalas » Sun Oct 08, 2006 10:57 am

G'day

I have been testing a basic options arbitrage strategy using SPX options data I bought from MarketDataExpress (CBOE). To give confidence to my implementation, I'm trying to closely reproduce backtesting results from a 2002 academic research paper from which the strategy is taken. Their source of SPX options data was Datastream (now Thomson Financial).

At the very outset I am experiencing difficulties in doing this, in that the mean price and mean volume of the closest to the money calls and puts, based on filtering the data, doesn't match what's reported in the paper.

I'd really like to rule out the data source itself as the origin of this error. Unfortunately I don't have access to Datastream. Is anyone who does, willing and able to provide SPX options daily data for the period 1998-2001?

Cheers
Paul.

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