Answered By: Lippincott Library
Last Updated: Jul 23, 2020     Views: 34

Use WRDS.

  • Choose PHLX (Philadelphia Stock Exchange), then select Currency Options. Includes data from 1983 to 1997.
  • Choose Option Metrics for data from 1996 (U.S. dataset) or 2002 (Europe dataset).
  • Also, check out Option Suite by WRDS, which uses OptionMetrics and CRSP data. The US Option Level Output dataset features option related characteristics, allowing you to filter option series by widely used criteria, such as range of time to expiration, moneyness, and implied volatility. 

Note: WRDS requires a Wharton username and password.