CBOE Option Data – Caveat Emptor

I recently bought EOD data stretching back to 2006 on an option series from CBOE. Frankly, the data is a disgrace and I got no reply from my complaint to CBOE.

Problems include strike prices out by up to 3 decimal points in some cases and phantom expiration months which suddenly appear and equally suddenly disappear.

I am having to go through the data line by line to correct the errors. Any attempt to perform systematised analysis on the data I bought was a farce before the tedious hand conducted clean up.

I also have a problem with the expiration dates. There is no trading on the day of expiration – instead the 0’s are shown for each strike. It seems absurd that the exercise-settlement value is not stated and there is no way to calculate or approximate it since the data does not even include the day’s spot opening price for the VIX.

Unless I have badly misinterpreted something (always possible) I would say shame on the CBOE for selling such misleading data.  Its value for my purpose is rendered almost useless.

Categories:

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s