Hi guys. Just want to know where I can get options data that has all the following. IV, LTP for both calls and puts , Delta, theta, vega, rho, gamma and volume.
Have created a decision tree classifier program but only have data with last prices and IV. Not enough variables for it to be reliable.
Also how do I backtest annd forward test options?
Thank you.
Hi,
You can check data providers like Algoseek, tickdata, CBOE, or even optionsDX and check if they have the required data variables. But bear in mind, this is not a recommendation, and please perform your own due diligence before purchasing the data.
There are different ways to backtest options, and if you are looking at machine learning, then maybe you can use the ml model to predict the direction of the underlying and accordingly set up an option strategy, or check the implied volatility. You can check the course Systematic options trading and machine learning in options trading to understand how to set up the entry and exit rules and then backtest the strategy.
Hope this helps.