Answered By: Shikha Sharma
Last Updated: Sep 19, 2023     Views: 491

In WRDS, select :

  • Option Metrics for U.S. data.
  • Option Suite by WRDS, which uses OptionMetrics and CRSP data. The US Option Level Output dataset features option related characteristics that can be filtered by various criteria such as range of time to expiration, and implied volatility.
  • Philadelphia Stock Exchange. Select Currency Options for data from 1983 to 1997.

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