Why Not Open High Low Close for Option Prices?
Overview
Very often we get requests for open, high, low, close option prices. We understand why people ask for this, because they want to find the trading range for options.
When DeltaNeutral began writing option analysis software, we also began looking for historical data. Some of the data we saw was Open, High, Low, Close data. We did not like what we saw. Unless the option is heavily traded, the numbers do not give an accurate picture of each option’s potential trading range.
For instance the open price is the first traded price. For non-liquid options, the first trade for that option could occur 2 hours after the market opened or 1 minute before the market closes; there is no telling when it occurred. Conversely, the last traded price could have been several hours before the market closes.
The low and high prices might not be near the low or high price of the underlying stock price. So there is no way to tell what the stock was trading at near the open, high, low or last trade of the option.
Below is an example, from a vendor that sells OHLC data, of SPX option quotes from November, 4, 2004, when SPX closed at 1162.00. It appears that only options that had strikes between 1130 and 1190 reflect the true range of SPX. Call options with a strike of 995, which should have a Delta of 1, should obviously have a much broader trading range than zero (open high low close all being the same number). The call strike of 1075, the open and high are equal to each other, and the low and the last are the same. For these obvious reasons, HistoricalOptionData.com does not distribute open, high, low, close data. We feel that it is nearly useless for people who are creating trading systems. The bid and ask price are much more relevant.
Strike Type DataDate Expires Open High Low Last Volume OpenInterest 700 Call 11/4/2004 11/20/2004 0 0 0 0 0 0 750 Call 11/4/2004 11/20/2004 0 0 0 0 0 0 775 Call 11/4/2004 11/20/2004 0 0 0 0 0 0 800 Call 11/4/2004 11/20/2004 0 0 0 0 0 0 825 Call 11/4/2004 11/20/2004 0 0 0 0 0 0 850 Call 11/4/2004 11/20/2004 0 0 0 0 0 0 875 Call 11/4/2004 11/20/2004 0 0 0 0 0 0 900 Call 11/4/2004 11/20/2004 0 0 0 0 0 0 925 Call 11/4/2004 11/20/2004 0 0 0 0 0 100 950 Call 11/4/2004 11/20/2004 0 0 0 0 0 17 975 Call 11/4/2004 11/20/2004 0 0 0 0 0 909 985 Call 11/4/2004 11/20/2004 0 0 0 0 0 0 995 Call 11/4/2004 11/20/2004 172 172 172 172 3 106 1005 Call 11/4/2004 11/20/2004 159 159 159 159 20 69 1010 Call 11/4/2004 11/20/2004 0 0 0 0 0 0 1015 Call 11/4/2004 11/20/2004 0 0 0 0 0 0 1020 Call 11/4/2004 11/20/2004 0 0 0 0 0 0 1025 Call 11/4/2004 11/20/2004 139.6 139.6 139.6 139.6 4 1491 1040 Call 11/4/2004 11/20/2004 0 0 0 0 0 89 1050 Call 11/4/2004 11/20/2004 115 115 115 115 5 3322 1055 Call 11/4/2004 11/20/2004 111.5 111.5 111.5 111.5 5 120 1060 Call 11/4/2004 11/20/2004 0 0 0 0 0 104 1065 Call 11/4/2004 11/20/2004 0 0 0 0 0 32 1070 Call 11/4/2004 11/20/2004 93 93 93 93 5 1434 1075 Call 11/4/2004 11/20/2004 90 92 90 92 8 8300 1080 Call 11/4/2004 11/20/2004 83.2 86.5 83.2 86.5 500 2538 1085 Call 11/4/2004 11/20/2004 0 0 0 0 0 31 1090 Call 11/4/2004 11/20/2004 75.3 78.5 75.3 78.5 14 2217 1095 Call 11/4/2004 11/20/2004 68.5 68.5 68.4 68.4 750 1945 1100 Call 11/4/2004 11/20/2004 66.8 69.7 62.5 66.5 54 15240 1105 Call 11/4/2004 11/20/2004 60 62 60 62 3 3834 1110 Call 11/4/2004 11/20/2004 55 59 53 55 85 9807 1115 Call 11/4/2004 11/20/2004 51 53.5 49 52.5 661 5739 1120 Call 11/4/2004 11/20/2004 46.5 52.4 43.1 48 141 6607 1125 Call 11/4/2004 11/20/2004 39.8 47 39.8 43.5 1041 34223 1130 Call 11/4/2004 11/20/2004 37 41 34 37.8 2783 15423 1135 Call 11/4/2004 11/20/2004 34.1 36.5 31.2 33.4 97 10526 1140 Call 11/4/2004 11/20/2004 29 33.2 27 29.4 456 9816 1145 Call 11/4/2004 11/20/2004 25.3 30 22.2 25 1150 3546 1150 Call 11/4/2004 11/20/2004 21.8 24.7 16.4 21.8 5169 31174 1155 Call 11/4/2004 11/20/2004 18 20 14.6 17.4 250 2101 1160 Call 11/4/2004 11/20/2004 14.8 17.5 10.9 15 2167 15327 1165 Call 11/4/2004 11/20/2004 11.9 14.5 8.8 10.8 2517 9550 1170 Call 11/4/2004 11/20/2004 9.1 11 6.2 8.9 3498 6677 1175 Call 11/4/2004 11/20/2004 6.5 8.7 4.9 6.8 15891 35673 1180 Call 11/4/2004 11/20/2004 4.8 6.5 3.5 5.4 5932 17250 1185 Call 11/4/2004 11/20/2004 2.9 4.8 2.7 3.6 3026 14617 1190 Call 11/4/2004 11/20/2004 1.8 3.5 1.8 2.75 980 0 1195 Call 11/4/2004 11/20/2004 0 0 0 0 0 0 1200 Call 11/4/2004 11/20/2004 1.1 1.7 0.9 1.3 7392 37699 1205 Call 11/4/2004 11/20/2004 0.9 0.9 0.9 0.9 50 0 1210 Call 11/4/2004 11/20/2004 0.75 0.75 0.4 0.4 15 0
