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Where to Find Historical Eurex Option Settlement Prices

Article Quant Q&A · Author: Paweł Badeński
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Summary

The document addresses the availability of historical settlement prices for options traded on Eurex. The questioner distinguishes settlement data from daily aggregated historical prices, which they report do not include settlement prices, and notes that Eurex offers tick data commercially. This distinction matters when building or evaluating strategies that require a consistent historical settlement-price series rather than intraday records or generic daily prices.

The answer identifies OptionMetrics IvyDB Europe as a source offering settlement and closing prices, with Eurex option history reaching back approximately to 2002–2004 depending on the instrument. That date range is approximate and instrument-dependent. The exchange on which an option trades, the desired price field, and the contract’s history should be checked against the dataset before relying on it; the document gives no coverage details beyond those broad points and no comparison of vendors or costs.

Key ideas

  • Historical daily prices may not include the settlement prices needed for a particular analysis.
  • OptionMetrics IvyDB Europe is identified as a source for Eurex settlement and closing prices.
  • The available history is reported to begin around 2002–2004, depending on the instrument.
  • Researchers should verify instrument-specific coverage and price fields before using a dataset.

Tags

OptionsDerivatives pricingBacktesting
Full text
# Data sources for historical Eurex settlement option prices


# Data sources for historical Eurex settlement option prices












I am looking for long history for historical settlement option prices at EUREX. This seems to be more challenge than I could imagine. Eurex themselves doesn't offer that data unfortunately (they only sell tick data). I was wondering if someone has faced similar challenge and where they got data from...

UPDATE

This question is different than: Need historical prices of EUREX American and European style options. They asked about historical prices for EUREX in general and the answer which was accepted is indeed correct, but it doesn't cover settlement prices.

EUREX does offer historical prices aggregated to daily frequency. However these do not include settlement prices which is what I am looking for (as confirmed by EUREX in my communication with them).

## Answer by Eli (score 1)

https://quant.stackexchange.com/a/41027

Optionmetrics IvyDB Europe offers both settlement and close tick prices. The history for options traded on Eurex go back approximately to 2002-2004 (depends on the instrument).

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.