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Options in Datastream

Option data can be retrieved from Datastream. To download option data you need the Datastream Mnemonics of the individual option contracts. There are two ways to gather these Mnemonics:

  • The Mnemonics of the individual option contracts, with their own exercise price and expiry date, can be found in Datastream Navigator in the Data Category 'Options'. In the Advanced Search you can search with specific fields, but keep in mind that there are a lot of individual option contracts for some option series - for example you can find 864 live call options on the S&P 500 in Datastream!
  • In the Data Category 'Constituents Lists' in Datastream Navigator you find Mnemonics of lists of options. There are four lists per option serie: live call options, live put options, dead call options and dead put options. With the Mnemonics of these lists you can retreive the data for the underlying options in one request in Datastream.

Step 1 Gathering the Mnemonics of the option contracts

Using Datastream Navigator

  • Go to Datastream Navigator
  • Select behind Data Category in the left upper corner 'Options'
  • Using the Advanced Search is easier when you are searching for options.
  • Search for example by name - if you want to search very precise, then search for the Mnemonic of the underlying instrument (a stock, index of commodity) and enter this Mnenomic in the field Underlying Mnemonic
  • Click Search Now
  • You'll get a list of all option contracts fitting your request. This can be a long list, especially when you also searched for dead options!
  • Copy the codes in the column DS Mnemonic and paste them in an Excel sheet

Using lists

Step 1: Finding the DS Mnemonics of the lists

  • Go to Datastream Navigator
  • Select behind Data Category in the left upper corner 'Constituents Lists'
  • Using the Advanced Search might be easier
  • Search the option, by searching by name. Mark 'All' behind Type, when you mark Options you won't get results
  • Write down the DS Mnemonic(s)

Step 2: Downloading the DS Mnemonics of the individual option contracts

  • Use a computer with Datastream connection
  • Open Excel
  • Click Datastream in the bar on top of Excel
  • Choose Static Request
  • Behind Series/Lists you have to enter the DS Mnemonic of 1 of the lists of options (you can only request data for 1 list at a time)
  • Behind Datatypes/Expressions you enter the codes of the datatypes you want to request, for example:
    • NAME = name of the option contract
    • MNEM = Mnemonic of the option contract
    • BDATE = first date of data for that option contract in Datastream
    • OXPD = expiry date of the option
    • OXCP = exercise price of the option
    • OUI = DS Mnemonic of the underlying instrument, for example the underlying stock, index or commodity
    • Use the button Datatypes to select more datatypes. Don't forget to select the Data Category 'Options' in the left upper corner
  • Click Submit
  • Repeat these steps for all your lists

Step 2 Downloading the data

  • Open Excel
  • Open the Excelsheet with the Mnemonics of the indivdiual option contracts
  • Choose Datastream in the top menu of Excel
  • Choose Time Series Request
  • Behind Series/Lists you have to enter the Datastream Mnemonics of the individual options.
    Use the button  to select them from your sheet.
  • Behind Datatypes/Expressions you have to enter the Mnemonics of the information you want to download. For example: MP is Mnemonic for the Market Price
    To search these mnemonics, click the button Datatypes. Don't forget to select Data Category 'Options' in the left upper corner.
  • Enter a start date (and an end date)
  • Mark the first three Display options and Display Currency
  • Click Submit to download the data

On the Datateamcomputers Excel 2007 is installed. In this version there is no longer a maximum of 256 columns. However, if you want to work with the data in Excel 2003, you have to take that maximum into account. You have to split your list in lists of 250 options, or use the Datastream Request Table creator (which makes lists of 250 series automatically).

Information about the contracts is often available on the website of the exchange. Click here for an example.