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Finding Multi-Asset Option Data for Copula Calibration

Article Quant Q&A · Author: sdeval
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Summary

The document suggests two routes for finding data to calibrate Lévy copula techniques. One is to consult research on dynamic copulas that uses credit default swap index products such as iTraxx and CDX. This points researchers toward multi-name credit instruments, though the excerpt gives no details about data access or calibration procedures.

The other route is to use options on exchange-traded funds that track broad stock indexes. An option on SPY is presented as a practical proxy for an option on a weighted basket of US equities, with liquid prices across strikes. The answer notes that this equivalence is intended for Lévy copula purposes; it does not establish that ETF options exactly reproduce options on all constituents. It also mentions Bloomberg as a source for locating the option chain, but provides no sample dataset, pricing analysis, or empirical results.

Key ideas

  • Dynamic copula research using iTraxx and CDX may offer examples involving multi-name credit products.
  • Options on broad index-tracking ETFs can serve as proxies for options on weighted equity baskets.
  • The document identifies SPY options as liquid across a range of strikes.
  • The ETF proxy is framed as useful for Lévy copula research, not as an exact equivalence for every purpose.

Tags

OptionsMulti-assetEquitiesDerivatives pricing
Full text
# Historical quotes / prices of multiasset options


# Historical quotes / prices of multiasset options












I am working on Lévy copulas, and I would like to try calibrating such techniques on real data. Where can I find quotes for multi-asset options? It could be exchange options or any other type of options, as long as it involves at least two assets. I have access to multiple universities libraries, and could access to a Bloomberg terminal if needed (I come from the theoritical side and am not used to handle real data).

Thanks!

## Answer by Ted Taylor of Life (score 0)

https://quant.stackexchange.com/a/45438

I highly recommend you check out this paper.

Dynamic copulas: applications to financeeconomics

In this paper they give examples that may be useful to you.

Specifically, the data that was looked at "CDOs (e.g. iTraxx and CDX)"

From page 5 of the paper

## Answer by Brian B (score 0)

https://quant.stackexchange.com/a/50893

You are in luck, as these days there are many exchange-traded funds that track indexes. An option on one of these is therefore equivalent (for Lévy copula purposes at least) to an option on a weighted index of stocks.

So, for example, you can look at options on SPY as options on a weighted sum of 500 different US stocks. These are very liquid so you will get good prices at a wide range of strikes. To get them from Bloomberg start by querying `SPY US EQUITY` for its options `CHAIN_TICKERS`.

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.