In WRDS, select Option Metrics. Provides historical prices of options and their associated underlying instruments, calculated implied volatilities, and option sensitivities.
Bloomberg (MIT Sloan only). Type the ticker symbol, hit the EQUITY key, and hit GO. Type OMON (stands for Option Monitor). You will see a screen for all the current options on the equity. Highlight and click ticker of the desired option, then pick GPO from the menu. This will provide you with a current graph of the option price. Change the date range and hit Page Forward for other time periods.
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