The UL offers access to two databases with option data: Datastream and OptionMetrics. There are several differences between these databases (besides how to request data):
- Availability of the database
Requesting data from Datastream is only possible on the Datastreamcomputer in the UL. With Datastream Navigator you can prepare a small part of your request from home. OptionMetrics is available from home with a EZ proxy/ VPN-connection and a WRDS day-pass.
- Geographical coverage
OptionMetrics contains only American options. Datastream has a broader coverage: in this database you can also find options from Europe, Asia en the Middle East.
- Type of options
OptionMetrics contains equity and index options. In Datastream you can also find commodity and currency options.
OptionMetrics goes back to 1996. The available history in Datastream differs per option. The history of ‘dead’ option series is kept for three years. Continuous series start in 1999.
Datastream is updated on a daily basis, you can request the price of the previous trading day. OptionMetrics is updated once a year.
- Option prices
In OptionMetrics you can’t request the closing price, in Datastream you can (datatype: MP).
- Presentation of the data
The presentation of the data differs greatly. OptionMetrics gives per option contract (with its own strike price and expiration data) one row per trading day in Excel. This makes the files very big! Datastream places the data of a option contract in a column (vertically), so less space is needed.