Trading with GARCH forecast notebook in Options Volatility Trading: Concepts and Strategies

AI & Machine learning
1

Hi, what is the source of options_daily_sp500_2018_2022.csv file. How can I get this data directly for different underlying?
How are strike proce chosen for a given date?
Regards,
-VJ
 
2

Hello Vijay, 



There are many data vendors that provide services for options data and these could either be free or paid. The options data provided in this course was obtained from the vendor OptionsDX (Link). Since the strategy is the straddle involving atm contracts, the strike price is chosen from the ATM contract. 

However, do note that QuantInsti is not affiliated with OptionsDX and before getting the data from any vendor, it is essential that traders carry out necessary research about that vendor.

You can also get the options chain data in Python using the yfinance  package as shown in the course on Getting Market Data. At this moment, you can access this course free of cost. 

I hope this helps!