Where to get LEAP price data?

[schin]

All,

 

I am doing research on stock options (LEAPs) relative to the equity price per day.  I was not evaluate how premiums expand and contract through 1-2 year period.

 

Does anyone know where I can find that daily and historical data (preferably free, to begin with)? I'll pay more for historical data when I want to fully back test.

 

I'm mostly interested in LEAPs prices at the money.  I am fine with starting from today's data and building historical data going forward. My challenge is I want to get LEAP pricing for a broad range of stocks. I don't want to manually do it for 20 stocks... I want to canvas at least 200 stocks and their at the money LEAP prices.

 

Thoughts? I will share my findings when it's done for those who help.  BTW, I have Interactive Brokers, if there is some API I can leverage. Again, I'm a former programmer.. but, it's been a while since I hacked anything together.

[RichardGibbons]

Interactive Brokers does have a real-time API.  It's been probably a decade since I used it, but back then, Trader Workstation had to be open to access the API, so I think it basically is an API interface to Trader Workstation.

[Dynamic]

I do some spreadsheet things for stock tracking and have found some scripts online to query Yahoo Finance for prices, which did work for some things more exotic than the stock and currency quotes from Google Finance including some put and calls options for writing covered puts and calls a few weeks out, so I imagine it would work for LEAPS too. The has been a thread on CoBF about scripts for bringing price data into spreadsheets. Maybe you can record them historically from now on. I don't think I've ever seen historical price data for them. There might well be a high cost paid service for pros with expensive trader terminals to obtain historical data.

 

For normal purposes like rough portfolio valuation, I'd tended to find that Black Scholes can provide a reasonable estimate of option prices by using the stock price as an input if you have roughly right 1 year T-Bill rate and a reasonable estimate of volatility to fit the initial price to the market price. So you might be able to estimate historical LEAPS prices pretty well from historical underlying prices and historical T-bill rates which you may well be able to obtain. It's only the volatility that is unknown unless you can work out how it is calculated based on historical stock prices, which I couldn't easily do (though I could work harder if it mattered to me). For me Black Scholes was good enough to estimate the running value of my short option position compared to the premium I had received and to estimate what-if scenarios such as what if the price of the underlying rises to X or falls to Y in D days from now. I just plug X or Y and the (days to expiry - D) into the Black Scholes formula to get a reasonable estimate. Good enough for me, especially as option spreads can be quite wide, but I don't know your purpose. This is usually good for me as the Yahoo Finance script often returns zero so is hard to rely on, but maybe you're looking for pricing discrepancies compared to BS.

 

For the short term covered option writing I'm usually interested in only a few companies and I found that I could often get similar things from copy and pasting values from option price tables on web pages into my spreadsheet so it wasn't worth automating. Marketwatch was also good there for tables of options to copy and paste, but I haven't seen scripts published to query their database, so perhaps they don't support that. I can occasionally paste some of those to improve my volatility estimate and recalibrate my Black Scholes estimates.

 

Another approach to building a record of it might be to use a Paper Trading account in IBKR. This notionally has something like $1 million USD to start with. You can probably simulate buying long or selling short pairs of these options for a cost of maybe $10 per pair (commission and spread), so you could randomize or alternate a few different strike prices near your target to be long or short, so that you don't tend to gain or lose much of your $1 million notional balance over time other than in notional commissions and spreads. With $1 million I'd imagine you could populate a portfolio with around 200,000 different specific options this way, which would probably be far more than you need if you want 200 hundred underlying stocks at maybe 3 different expiry dates each and 10 different strikes that's only 6,000, and maybe you could export the data from there or query it using their API, if the API works with the Paper Trading account.

[lnofeisone]

CBOE has historical data (https://datashop.cboe.com/option-quotes-end-of-day-with-calcs) though it can be pricy. The quote calculator is on the right. TD has a real time API + code that takes about 30 minutes to set up to get bulk data.

[boilermaker75]

I hope this doesn't sound like I am being a jerk, but the acronym is LEAPS, Long-Term Equity Anticipation Securities.