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Historical Data for Options on Futures
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Historical Data for Options on Futures

  #1 (permalink)
Trading Apprentice
Los Angeles, CA
 
Futures Experience: Intermediate
Platform: Custom
Favorite Futures: Options
 
Posts: 17 since Sep 2013
Thanks: 12 given, 5 received

Historical Data for Options on Futures

Hello,

I am interested in getting historical data on options on futures. I looked around the forum and also on the web, but it seems like historical data is hard to come by especially for options on futures. Say, I need 2-year record closing prices for CL on strikes from $80 to $120: where do I go about finding it?

What I need (with nice-to-have):
  • Options on Futures (with options on equity)
  • EOD (with intraday)
  • Price (with greeks and bid/ask)



It would be great if you guys could recommend a data provider or even share your experience with them. Thanks a lot.

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  #2 (permalink)
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  #3 (permalink)
Banned: Rude behavior, doesn't want to be here
Zug / Switzerland
 
Futures Experience: Advanced
Platform: Different
Favorite Futures: Option and Futures
 
Stan Dan's Avatar
 
Posts: 67 since Sep 2013
Thanks: 64 given, 35 received


@luck

I think it is impossible to find free historical data on options on futures in the net. It is not like future data which are plenty around for free. Some free current data about options on futures are there, mostly as delayed data but no historical data.

Did you check the threads recommended at the bottom of the side? You may not have seen that. If you scroll down the page, you will see: Similar Threads. You may find here some more to your question. If the reason for your search is because you want to do some kind of back testing with those data, you may check the following thread https://futures.io/traders-hideout/18490-looking-historical-data-back-testing-di...rategies.html#post200172

May I ask which strategy you want to back test? Is it one of the official once like you find here: Options Strategy Library by OptionTradingpedia.com or is it more on the synthetic side of option strategy plays which are not to find in the net?

Stan Dan

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  #4 (permalink)
Trading Apprentice
Los Angeles, CA
 
Futures Experience: Intermediate
Platform: Custom
Favorite Futures: Options
 
Posts: 17 since Sep 2013
Thanks: 12 given, 5 received

@Stan Dan

Thanks for the reply. I agree with you that futures options data is not simply available for free. I am willing to pay a reasonable amount of money to get my hands on the data. I did look around the forum -- no thread I found really has the data source I need.

I need the data for analysis and backtesting. Potential analyses and strategies I am looking at are, while not as sophisticated as some pros here, involve more numbers than, say, blindly opening iron condors. That's why I need some historical data. I am happy to hear anyone's experience input.

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  #5 (permalink)
Banned: Rude behavior, doesn't want to be here
Zug / Switzerland
 
Futures Experience: Advanced
Platform: Different
Favorite Futures: Option and Futures
 
Stan Dan's Avatar
 
Posts: 67 since Sep 2013
Thanks: 64 given, 35 received

@luck

As this is a real future forum, the option part is very little here. Iron Condors are some how easy to trade. The official way is to implement them on the standard deviation levels around one or two. Here you need to know the adjustment rules and that's it. You even go for the next month series to reduce your risk.

May I ask: What is your experience with them? Did you ever trade them and if so, how? With how I mean: Did you place your orders at once or did you leg in with the call credit spread and then with the put credit spread or vice verse or did you use some other existing ways of leg in? The above leg in I showed is for long Iron Condors, but you also can do of course the short Iron Condor.

What about the trading platform. Which one do you use? TOS seems to have good stuff even for back testing. You may get in touch with them and open a demo account to test what they offer.

Stan Dan

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  #6 (permalink)
Trading Apprentice
Los Angeles, CA
 
Futures Experience: Intermediate
Platform: Custom
Favorite Futures: Options
 
Posts: 17 since Sep 2013
Thanks: 12 given, 5 received

@Stan DanI didn't quite realize people here are less focused on options. I used to do futures, but quite frankly, I was never great with it. But I am happy to learn and improve -- I would love to get into technical futures day trading. Do you have any suggestions or threads that I should read?

I have several years of experience options. While some brokers allow placing standard spreads as a single order, AFAIK you need to place an order a leg by leg. I previously mentioned Iron Condor as an example; it is not necessarily what I am focused on all the time. I currently use IB for my broker and platform. Overall satisfied although I am thinking of switching to a more option focused broker. I hope I answered your questions. Cheers, mate.

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  #7 (permalink)
Banned: Rude behavior, doesn't want to be here
Zug / Switzerland
 
Futures Experience: Advanced
Platform: Different
Favorite Futures: Option and Futures
 
Stan Dan's Avatar
 
Posts: 67 since Sep 2013
Thanks: 64 given, 35 received

@luck

As you have many years experience with options and option trading, what about hedge strategies in which you combine options with futures? In that case you could use your knowledge about option trading and you would not trade just naked futures.

You told that you would love to get into technical futures day trading. So the question would be: What do you consider to be technical future day trading? Are you looking for a mechanical system which would take away emotions when it comes to entries and exist or are you more interested in a non mechanical system which would need good emotional control from your side.

In both cases you will have to define on what those systems or way of trading should be build up. If you go for a mix of indicators, what kind of mix should it be? A mechanical system will be build on indicators. As indicators indicate the past and even if markets move some time will give you the same signal, you will need a clever mix of them.

If you go for a non mechanical system, then you will need to really understand the different occurring signals from those indicators in conjunction to what is going on in the current market situation. A non mechanical system requires a lot of knowledge. It will be build up on your very personal mind, execution skills, emotional control, chart reading skills and a good common sense about the whole market situation. An alternative you can choose when going for a non mechanical system is to learn how to trade more or less purely on pivots or how to trade more or less purely on bars.

The whole above questions and comments are thought to be food for the brain. Why? As you ask me for some good threads in this forum, with the above questions and the answers you give to your self you will know for what you have to search for, as what for me counts not necessary counts for you.

By the way: As you say you have several years of experience in option trading, what is your favorite option trade? Is it a strategy or is it more on the naked buy side or is it more on the naked sell side or what is it?

Stan Dan

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  #8 (permalink)
Trading Apprentice
Los Angeles, CA
 
Futures Experience: Intermediate
Platform: Custom
Favorite Futures: Options
 
Posts: 17 since Sep 2013
Thanks: 12 given, 5 received

@Stan Dan

If I use futures in conjunction with options, it would be for hedging purposes -- futures by themselves would not be generating profit for my trades.

I used to trade naked futures back in the day, but I was not consistently successful. I like mechanical trading that involves analysis of the relevant numbers -- of course the market condition matters, but I am not good at discretionary trading, so I am sticking with mechanical trading. The indicators I used weren't good (the typical moving averages) for me. I have yet to find a candlestick charting strategy that is consistently profitable. Any ideas?


As for your question regarding options, I used to do naked buying and selling of equity and index options. They were OK. Now, I use a bit more involved approach that can be viewed as a portfolio building and collective risk management rather than a single standard strategy.

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  #9 (permalink)
Banned: Rude behavior, doesn't want to be here
Zug / Switzerland
 
Futures Experience: Advanced
Platform: Different
Favorite Futures: Option and Futures
 
Stan Dan's Avatar
 
Posts: 67 since Sep 2013
Thanks: 64 given, 35 received


luck View Post
@Stan Dan

If I use futures in conjunction with options, it would be for hedging purposes -- futures by themselves would not be generating profit for my trades.

I used to trade naked futures back in the day, but I was not consistently successful. I like mechanical trading that involves analysis of the relevant numbers -- of course the market condition matters, but I am not good at discretionary trading, so I am sticking with mechanical trading. The indicators I used weren't good (the typical moving averages) for me. I have yet to find a candlestick charting strategy that is consistently profitable. Any ideas?


As for your question regarding options, I used to do naked buying and selling of equity and index options. They were OK. Now, I use a bit more involved approach that can be viewed as a portfolio building and collective risk management rather than a single standard strategy.

@luck

As you mentioned portfolio: Are you now more in covered calls and puts or are you in collars? Quit nice strategies for share portfolios under certain market conditions.

About hedging: Yes I mean hedging strategies with futures. But I do not get your point as you say: Futures by themselves would not be generating profit for my trades. Why? You can make huge profit with hedge strategies. I do not know your time frames you trade. But with the options you could protect the bigger time frames and you can trade the futures on the shorter time frames. Did you try that?

About your candlestick charting strategy. Hmm, sorry to ask, but what is this? If you go for pivot point trading, you can use candlesticks. If you go for Al Brooks price action trading, you can use candlesticks. Did you ever try any of those two ways to use candlesticks?

Check the link in the following post and have a look at the seminars of Al Brooks. He also has his own forum with huge information about his way of trading and he has his books. If this is some thing you may are interested in it, you may also search for more about that in this forum.

https://futures.io/beginners-introductions/28776-stan-dan.html#post359347

For the moment I not can help you more, as I am also quit new in this place.

I wish you all the best, good luck and hope to see you around / Stan Dan

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