I want to be able to use Python for extracting options data from a database.
For our project focused on modeling implied volatility surfaces, we require historical end-of-day (EOD) data for US options spanning the last two to three decades, including major well-traded symbols, as well as less traded symbols with sparse implied volatility surfaces. The dataset should include:
- option strike price,
- expiration date,
- closing price or preferably implied volatility, and
- underlying asset prices necessary for calculating log moneyness.
Additionally, we need daily market data, specifically:
- S&P 500 returns,
- VIX values, and
- 13-week Treasury Bill rates as a proxy for the risk-free rate.
The final dataset should feature:
- log moneyness,
- time to maturity in years,
- implied volatility,
- market return,
- market volatility, and
- the treasury rate for each symbol at each trading day.
The following website is a suitable example: https://optiondata.org.
