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Finding European Option Data and Identifying Exercise Style

Article Quant Q&A · Author: user19019
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Summary

The document addresses how to tell whether listed call options are European or American when searching for real market data. Its key distinction is that US options on individual securities are generally American, while options on indexes are generally European. A quote page that labels an instrument only as a call does not necessarily state its exercise style, so the underlying instrument and market conventions matter when selecting data for an exercise.

Key ideas

  • A call label identifies the option type but does not specify whether it is American or European.
  • US options on individual securities are generally American, while index options are generally European.
  • A database such as OptionMetrics can adjust American stock-option data for the early exercise premium.
  • Check the contract's exercise style before treating listed prices as European option prices.

Tags

OptionsDerivatives pricingUS markets
Full text
# Where are the prices of real European Call options listed?


# Where are the prices of real European Call options listed?












In order to solve an exercise, I need data from real European Call Options (on the same underlying). It sounds definitely trivial, but actually I feel a bit lost...do you mind giving a link/suggestion on where can I search, please?

For instance, this link (http://www.nasdaq.com/symbol/amzn/option-chain?callput=call&expir=stan) seems perfect. There are clearly listed all the usual informations I need (maturity time, strike price,...) but I don't understand the type of the option. It says "call" but...European Call? American Call? ...

Yahoo Finance seems a great source too, but I found the same problem. For instance, here (https://finance.yahoo.com/q/op?s=IBM&m=2016-02?s=IBM160219C00135000+Options) there are the "Call options from IBM" (right?) but again..are they call of which type?

Thanks very much in advance. Regards

## Answer by phdstudent (score 2, accepted)

https://quant.stackexchange.com/a/22774

For the US market nearly all options on securities are american whereas the options on indexes are european.

What you can do is to use a database such as OptionMetrics which adjusts the stock american options to european options by taking into account the early exercise premium.

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.