Berkeley options data base extraction [electronic resource].

Format
Data file
Language
English
Published/​Created
[Berkeley, Calif. : University of California, Berkeley, Institute of Business and Economic Research, 1976-1996?]
Description
Numeric data (microdata).

Details

Subject(s)
Related name
Library of Congress genre(s)
Restrictions note
Use of these data is restricted to Princeton University students, faculty, and staff for non-commercial statistical analysis and research purposes only.
Summary note
This dataset is a complete record of trading activity on the floor of the Chicago Board Options Exchange (CBOE) from 1976 to 1995. Derived from the CBOE's Market Data Retrieval (MDR) tapes, the database contains every bid-ask quote and every trade recorded on the floor of that exchange, time-stamped to the nearest second, as well as the contemporaneous price of the underlying security. These data are currently available only in the "resorted" format. It is called the resorted format because it is little more than a resorted version of the MDR. The processing program alters certain fields of the MDR records to make them easier to interpret, performs a few screens for bad or duplicate records, and changes the sorting order. This means that in the BODB, all the day's records on the same underlying stock are ordered chronologically, regardless of expiration or strike, unlike the MDR, where records are further sorted by option contract. Each record in the database contains enough information to completely identify the option series (ticker symbol, strike price, expiration month, call/put), and the time the transaction was effected (date, time). Quote records contain bid and ask prices, while trade records contain the transaction price and contract volume. Each record also contains the most recently reported value of the underlying security. Finally, one data field within the record identifies the record TYPE--for example, whether the record represents a quote or a trade. Beginning in January 1994, records occuring in the same second are further sorted according to record type and option contract. A brief account of the origin of the BODB is described in a paper: Rubinstein, Mark and Anand M. Vijh. "The Berkeley Options Data Base: A Tool for Empirical Research," ADVANCES IN FUTURES AND OPTIONS RESEARCH, vol. 2 (1987), pp. 209-221.
Notes
  • Data accessible via the Internet on the Data and Statistical Services (DSS) website.
  • Title from DSS Web page [viewed on October 31, 2013).
  • WARNING: In some cases, particularly in 1983-1985, the market data report of the CBOE is inconsistent in the way the underlyingq index value is recorded. Often, the hundreds and tens places are omitted. For example, suppose the underlying index is at $275.62. Instead of seeing 27562, you might see 56200. The management of this database is trying to fix this problem. In many cases, it was obvious what the correct price should be, and the problem was corrected. In cases where there was any doubt, rather than risking an incorrect guess, the management chose to leave these data as they were originally reported. When using these data, please double check to make sure the underlying index values are correct.
Type of data
Numeric data (microdata).
System details
Mode of access: World Wide Web.
Other title(s)
  • Berkeley options database
  • BODB
OCLC
1340485281
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