Historical options data sample

robbie · October 22nd, 2009, 11:26 am

Dear all,For education purposes (I want my students to delta-hedge an option using historical and implied volatility) I need a sample of historical stock prices as well as implied volatility for ATM options (preferable 30 days to expiry). It could be on any stock (or index) and (preferably) daily data over at least one year.I have browsed the net for a free provider of something like this, but failed.Would anyone be kind enough to post something like this?Or perhaps guide me to where to get it?Pls help me..Many thanks in advance!

Alan · October 22nd, 2009, 12:42 pm

The cboe posts that for free for the SPX index. You want the VXO; below is the link.I believe you can find the underlying on the same page or at yahoo finance.http://www.cboe.com/micro/vix/historical.aspx

robbie · October 23rd, 2009, 9:50 am

Many thanks, this was exactly what I wanted!