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Options in OptionMetrics

OptionMetrics contains US equity and index options and the prices of the associated underlying instruments. The start date is january 1996.

OptionMetrics is updated once a year. The last available date can be found by opening a module of OptionMetrics (for example Option Prices) in the column at the left side of the screen and then clicking the link Variable Descriptions on top of the page.

Please note: In OptionMetrics every option contract (call or put, with its own strike price and expiration date) gets per trading day one row in Excel. This makes the files very big! For example: the option on the S&P500 in september and october 2009 give 76100 rows in Excel. Excel only shows the first 65535 rows: a file of 27,6 MB.

Access

OptionMetrics is offered through the interface of WRDS (Wharton Research Data Services). You can find WRDS in the list of financial databases on the website of the EDSC. To get access to WRDS (and OptionMetrics) you need a VPN-connection. WRDS also asks for your email address, this has to be your ERNA email address. WRDS sends a link to this email address; this link is valid for 14 days. After 14 days you can request a new link.

After opening WRDS, you can select OptionMetrics in the column at the left side of the screen.

The data in OptionMetrics is divided in modules: you can find index options in Index Option Prices; under Option Prices you can find stockoptions.

Downloading data

To download data from OptionMetrics you have to take four steps. In this example we choose the module Option Prices: we want to download options Google in january 2009.

Step 1: What date range do you want to use?
Here you select the period of your request, by selecting the start- and enddate with the dropdownmenu's.

Step 2: How would you like to search this dataset?
Here you have to specify which options you want to download. The identifiers you can use are:

  • SECID = Security ID, at the level of the option serie
  • TICKER = ticker (of the issuer)
  • CUSIP = 8-digit cusip (of the issuer)
  • OPTIONID = identifier of a specific optioncontract, with its own expiration data and strike price.

The identifiers can be added in different ways:

  1. Manually enter Company Code – if you already know the identifier(s) you can add them here manually. To search the identifiers, you can click the link Code Lookup.
  2. Upload file containing Company codes – if you already have a list of SECIDs, Tickers, CUSIPs or OptionID's you can save them in a txt-file. This file can be uploaded here.
  3. Retrieve saved codes from myWRDS – here you can search a list of codes that was saved earlier.
  4. Search entire database - because of the large amount of data we advise you not to use this selection.

Then there are some choices to make:

  • the option type: call, put or both
  • the exercise style: American, European or both (click here for an explanation from the New Palgrave Dictionary of Economics Online)
  • the security type: equity, index or both (OptionMetrics 'knows' the type when you have entered identifiers at step 2)
  • days to expiration: number of calendardays between the trading day and the expiration date

In the example we marked TICKER and entered GOOG at Manually enter Company Code. We haven't changed the other search options.

Step 3: What variables do you want in your query?
In this step you have to mark the items you want to download. The items are divided into categories: information about the option, information about the underlying security, and about the price, implied volatility and the sensitivity of the option. A number of often used items is already marked. Don't forget to mark Issuer as well; the name of the company is then part of the output.

Please note: Although the module of OptionMetrics is called 'Option Prices', you can't mark an item 'price'. This is the explanation of WRDS:
"The average for the option bid/ask (mid point of the spread) can be used as a good proxy for the option's closing price. The Optionmetrics 'greeks' and other statistics are all built upon the bid/ask average. This is an option market convention for price quoting, that is justified by the fact that not all options have a trade near the close (i.e. an actual transaction that can be relied upon, or is at least as useful as the end of day bid and ask)."

Step 4: How would you like the query output?
Here you select the output format, normally that will be Excel (.xls).

Then you have to click the button Submit Query, a new screen will open and the downloading starts. The output appears as a link to a file. Save the file before you open it.

When you enter your email address before clicking Submit Query, you will recieve an e-mail with the link to the file. This link is active for 48 hours, then the file is removed from the WRDS server.

How do you read the output?



(Click the picture to enlarge it)

There is one row per option contract (with its own expiration date, strike price and type (call or put)) for each trading day. This means that you will get a long list with data, because there are also a lot of option contracts: Google had in january 2009 853 option contracts.
The default order in the output is: Date of price, Root of the Option Symbol and Suffix of the Option Symbol (these two last options have to be marked in the request to make them visible). You can use the sort function in Excel to change the order.   

When you select one contract in the left column (Unique ID for the Option Contract) you can see more clearly how you have to read the data.