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Assessing CBOE SPX Options Data Against Other Sources

Article Quant Q&A · Author: BS.
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Summary

The document asks whether historical listed SPX options data from the CBOE data shop is reliable enough for backtesting, especially regarding missing or incorrect prices and Greeks. The response recommends checking a small sample of purchased contracts against an established reference source before relying on the dataset.

It identifies OptionMetrics as a commonly used options database, often available through university WRDS access, and suggests Bloomberg as another reference for financial data. The proposed comparison is a practical spot check rather than a systematic data-quality study. The response gives no measured error rates, coverage analysis, or conclusions about CBOE’s actual data quality, so it does not resolve the original question. Its guidance is limited to comparing a few symbols with alternative sources, with availability and comparability depending on the user’s access and the fields being checked.

Key ideas

  • Sample CBOE options data and compare it with an established dataset before using it in research.
  • OptionMetrics is presented as a commonly used source for historical options data.
  • University access through WRDS may provide access to OptionMetrics.
  • The response offers a validation approach but no empirical finding about CBOE data quality.

Tags

OptionsBacktestingUS markets
Full text
# SPX options data from the CBOE data shop


# SPX options data from the CBOE data shop












I would like to explore some listed options trade ideas on the SPX (and maybe later on its components too), and naturally I would need historical data to backtest those ideas.

In my quest for a provider of historical listed SPX option prices, I found the data shop of the CBOE which appears to sell them. Has anyone tried their data? If yes, how good is the quality? Are there a lot of missing or wrong prices and greeks?

## Answer by phdstudent (score 1)

https://quant.stackexchange.com/a/38848

The most widely used dataset for stock returns is the CRSP dataset. If you are studying at a university it is very likely that your school will subscribe WRDS which grants you access to CRSP. Otherwise, Bloomberg is probably your best alternative.

If you cannot access either CRSP or Bloomberg, my suggestion is for you to purchase 5 tickers from CBOE which apparently is very cheap (around $15) and compare them with other sources. Ideally, one of the two above or Yahoo Finance/Google Finance.

Edit: Only now I understood that you are looking for options data. The most reliable database for options is OptionMetrics (which again you can access through WRDS for example). Follow the same procedure as above. Pick a few tickers from CBOE purchase the data and compare them with OptionMetrics.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.