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Financial markets data


Enter MAIN <GO> for the main menu page - pick 11 - for an overview of Bloomberg's derivatives coverage. You can run an options screening
using OSCH <GO>, WSRC<O> for a warrants search. See <DLIB <GO> for the derivatives Library. Or if you have a specific equity in mind enter RELS <GO> to see more realtes securites; it show the exisisting warrants, options, futures and CDS.

CBOE (Chicago Board Options Exchange) Volatility Index® (VIX®) - via WRDS
This is a key measure of market expectations of near-term volatility conveyed by S&P 500 stock index option prices. The New VIX still measures the market’s expectation of 30-day volatility, but in a way that conforms to the latest thinking and research among industry practitioners. The New VIX is based on S&P 500 index option prices and incorporates information from the volatility “skew” by using a wider range of strike prices rather than just at-the-money series.

CDS from Markit- via WRDS
Markit CDS records with earliest coverage 2002-02-01. Note that the number of daily CDS records drops from about 31,000 to 11,000, starting on August 20, 2010. The drop is due to a change in methodology used for calculating CDS composite prices, introduced on Aug 20, 2010.  Markit changed the minimum threshold and now requires two contributed prices per instrument before creating the composite. This resulted in the drop of the number of curves present in the data base. 

Find your equity and view the derivatives tab, for: Most Traded Options, All Options, All Futures, and Warrant OverviewMost traded offers an aggregated options chart. If you go to the price menu you can download. To download continuous series you should use Datastream.

Find your equity and then search for options (or find it in the extende menu). You will see an options montage of call and put options with a range of filters.

OptionMetrics - US - via WRDS
OptionMetrics is a comprehensive database of historical option price, underlying security information, implied volatility, and sensitivity information for the entire US listed and equity options markets from 1996 till present. Security price history back to 1996-01-02.