Hi,I would know for which underlying assets we have the longest time-series of data on put / call option prices.I guess the longest is the SP500, isn't it? whence do data start?Assume I want to build a portfolio of options on say 5 or 10 underlying assets which are quite liquid and with a quite large range of strikes. Which assets could I pick? how long would be those available time-series of option prices?Thanks a lot in advance, I don't know how to get this info.

No, index options began later. The CBOE began listing call options on individual stocks in 1973.http://www.marketswiki.com/mwiki/Chicag ... ExchangeAs a stand-alone portfolio, options make little sense, and the growth rate will almost surely be -100%; i.e., your initial wealth will end up 0.You can create a portfolio of long calls, say, rebalanced with cash and study that. It will be similar to a portfolio of long stock plus protective puts.If you want data, contact the CBOE.

Pure-curiosity question. What is the point in going back so far in the past?

Thanks Alan.Tagoma (and Alan and everybody): I'm studying a model which envolves the computation of higher order moments of underlying returns as well as the Breeden Litzenberger formula (ie getting state-prices from option prices).Now, in order to compute higher order moments with sufficient statistical significance I need a sufficiently long time-series of returns. However, given the nature of the model, for each data point I also need options. So I need sufficiently long time-series of option prices too.My conclusion is that for highly non-gaussian distributions we need so many data that the above model is likely not implementable. Or eventually it is but only for few assets for which we have liquid data for a wide range of strikes and for a long time-series.Any comment?

The moments of the option-implied risk-neutral distributions of individual names are interesting statistics, butwill present some challenges to work with -- even if you had the data to get them. They are stochastic with strong seasonal tendencies.I would be suspicious of any application of them that did not reflect those two key properties.

Can you tell me more about those seasonal tendencies, please?

earnings releases, which occur once a quarter, are a major event for the single-name options and thus everything related to them.