Hi fellow Quant traders.
Interested in doing some implied volatility strategy backtesting in commodities (specifically Brent crude options) but having a hard time finding historical data sources. Does anyone know where I can get historical option prices? Or even better, historical implied volatilities. Intraday or daily works!
Ray
Hi Raymond,
Here are some solid paths you can explore for your data requirement:
ICE Data Services – Fixed Income & Data Services (since they list the contracts). ICE offers historical data, including tick-level, daily, and end-of-day (EOD) options data. Typically requires a data license.
You can also find data on Bloomberg, Refinitiv (LSEG), FactSet, OptionMetrics. These are subscription based as well.
A free source worth checking for your data requirement is Barchart Crude Oil Brent Aug '25 Futures Options Prices - Barchart.com .They provide historical settlement data for some options but limited depth and IVs.
Please note that while this information is provided in good faith, it is essential to conduct your own research and consider your individual circumstances before making any decisions regarding brokers, trading platforms, or data providers. QuantInsti is not associated with any of the data providers mentioned.
Thanks