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Option data can be retrieved from Datastream. To download option data you need the Datastream
Mnemonics (symbols) of the individual option contracts. There are two ways to gather these
Mnemonics (symbols):
The Mnemonics (Symbols) of the individual option contracts, with their own exercise price
and expiry date, can be found in Datastream Navigator in the Data Category 'Options'. In the
Criteria Search you can search with specific fields, but keep in mind that there are a lot of
individual option contracts for some option series - for example you can find 1364 live call
options on the S&P 500 in Datastream!
In the Data Category 'Constituents Lists' in Datastream Navigator you find Mnemonics
(Symbols) of lists of options. There are four lists per option serie: live call options, live put
options, dead call options and dead put options. With the Mnemonics (Symbols) of these lists
you can retreive the data for the underlying options in one request in Datastream.
Go to Datastream Navigator
Select behind “Choose a single category” in the left upper corner 'Options'
Search for example by name (S&P 500)
Click Search Now
You'll get a list of all option contracts fitting your request.
Copy the codes in the column Symbol and paste them in an Excel sheet
Using lists
Go to Datastream Navigator
Select behind “Choose a single category” in the left upper corner 'Constituents Lists'
Search the option, by searching by name. (S&P 500)
Behind Type you can select Option Series
Write down the DS Mnemonic (SYMBOLS) of the constituent lists
Step 2: Downloading the DS Mnemonics of the individual option contracts
Open Excel
Open the Excelsheet with the Mnemonics of the indivdiual option contracts
Choose Datastream in the top menu of Excel
Choose Time Series Request
Behind Series/Lists you have to enter the Datastream Mnemonics of the individual options.
Information about the contracts is often available on the website of the exchange.