Includes historical option price, underlying security information, implied volatility, and sensitivity information for U.S. equity and index options markets.
Designed for empirical research. Data can be downloaded into a variety of statistical software packages allowing for analysis on all aspects of options investments including backtesting, trading strategies and evaluating risk models. 1996-present.
Overview of Option Metrics from WRDS.
WRDS Access is available only to current UNC-CH faculty, students, and selected staff.
Need access? Go to https://wrds-www.wharton.upenn.edu and click on “REGISTER” in the upper right corner of the page.
UNC-CH users with additional password
https://wrds-www.wharton.upenn.edu/pages/get-data/optionmetrics/