GammaJammer
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What market, what data?
I'm also looking for data - Major index options (FTSE, S&P, Dow, CAC).
Rather that get actual market data (which I assumed was difficult) I assumed to price off historic index data which seems more readily available for free. However, I'm not sure how to accurately created the volatility input. Any ideas?
Rather that get actual market data (which I assumed was difficult) I assumed to price off historic index data which seems more readily available for free. However, I'm not sure how to accurately created the volatility input. Any ideas?
Martinghoul
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You can't expect to be able to accurately price options without the implied vol, which is only available if you have the options prices. Whatever other proxy for implied vol you use, you're going to end up with prices that don't necessarily reflect the mkt.
In general, the first place to look for things like that should always be the website for the appropriate exchange. For instance, LIFFE has this page here to show daily FTSE options closes:
http://www.euronext.com/trader/summ...=ESX&exerciceType=EUR&selectedMepDerivative=7
If you browse you will also find that you can get historical data from them, although most often it won't be free.
In general, the first place to look for things like that should always be the website for the appropriate exchange. For instance, LIFFE has this page here to show daily FTSE options closes:
http://www.euronext.com/trader/summ...=ESX&exerciceType=EUR&selectedMepDerivative=7
If you browse you will also find that you can get historical data from them, although most often it won't be free.
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