r/options
Index options data ESTX50, NDX, ES
User seeks recommendations for historical end-of-day options data sources for ESTX50, NDX, and ES to backtest strategies.
Hi guys,
I am looking for historical end of day options data for Eurex Eurostoxx 50 as well as Nasdaq, and S&P 500 to backtest mid- to low frequency strategies.
Which platform can you recommend? Euro Stoxx seems hard to find. I looked at IBKR but they only have data of contracts which haven’t expired.
Maybe some of you can give me a hint.
Yeah IvyDB is institutional pricing for sure. For Eurex data specifically, Eurex itself has historical EOD files you can request. For US indices, Orats has been a solid option for end of day data at retail accessible pricing.
For ESTX50, OptionMetrics IvyDB has full strike chains with Greeks. For NDX and ES, CBOE DataShop covers daily options going back decades. ThetaData does US index options at lower cost but European coverage is limited. Watch for providers that only keep active contracts, you lose expired strikes which matters for backtesting shorter-dated stuff.
OptionMetrics IvyDB only seems to sell to institutional clients.
I can provide