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ah18143 avatar image
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Can I get average hist. option prices with the Eikon Database?

Hi all,

I have an enquiry concerning historical option data from the Eikon database. I would like to get historical data of option prices. Average European call and put option prices that are at the money (e.g. 0.97-1.03) and close to maturity (for example 10 - 90 days).The data should give a single time series with 1 daily option price per underlying asset (e.g. Options on UKX, DAX and CAC).

I am wondering if there is a function that gives me this specific time series for historical option prices prices.

Thank you very much in advance.

Kind regards,

AH

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paul.bacon avatar image
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Hi

If you are using Datastream to pull this rather than Eikon API then you can use Datastream continuous series for call and put options: Calculated to provide uninterrupted option model inputs as well as several implied volatility variants including at-the-money, interpolated and weighted volatilities as well as 1, 3 and 6 month constant maturity. Total volume and open interest per option class is available More info available here https://amers1.exempt.proxy.cp.thomsonreuters.com/infobase/content/options/

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