It has previously been asked how to get historical stock prices for a defunct company: How to find historical stock price for a de-listed or defunct company?

I would like to know how to get historical stock option prices for a defunct company. I expect that this may be more difficult given that at any given time, a stock may have many different options trading with different expiration dates and strike prices.

I recall that someone answered the above question about historical stock prices by suggesting that the asker look at archived newspapers. I suppose that would work, but I don't know that there is any newspaper that exhaustively lists prices for all available contracts for a given stock.

If it makes my question any easier, I would like to be able to see what value options for a company (say XYZ) traded on one day and then see what they traded at the following day after a press announcement that basically said that the company was doomed.

Edit in response to comments:

I didn't expect this to be a particularly easy thing to do. I do have a particular company in mind for the time being (Let's call it XYZ), but I'm sure my research will lead me to want to research other companies as well, so an answer regarding just one company isn't what I'm looking for.

Years ago, I owned stock XYZ, thenit went out of business. I woke up one morning to learn that XYZ stock had lost 80% of its value overnight. XYZ made a scheduled announcement that basically indicated that XYZ was doomed.

I would like to see what options on XYZ traded for the day before the announcement. Savvy investors familiar with XYZ knew that the announcement could be make-or-break for the company. I would like to know how the market priced that risk. I want to learn about XYZ and similar companies that failed. Then, I want to find similar companies that are still in business and look for where the market may be mispricing that risk and take advantage of it.

So ideally, what I would like to have is an option chain chart like this: http://www.nasdaq.com/symbol/ibm/option-chain, but I want to see such data for dates in the past. It would probably be just fine to see the opening or closing price on each security; I'm not looking for minute-by-minute details.

  • As suggested in an answer to that other question, you may have to pay for such information. – BrenBarn Jun 12 '16 at 22:01
  • To give you an idea of how much data this entails - a tier 1 daily data feed of options data is 413MB for a single day (that's about 100GB for an entire year). Intraday/tick data would be far larger. There's very little market for supplying and processing this type of data, so you'll probably only find it in institutional feeds or as a custom once-off data supply by a data vendor. Did you have a particular stock in mind? – Norgate Data Jun 12 '16 at 23:41
  • Don't know if option pricing is available with the Standard & Poor's source: money.stackexchange.com/a/47191/14319 – Morrison Chang Jun 13 '16 at 21:40
  • No it's not. There's almost 900,000 options trading each. If they were published in a book with say 300 prices per page, that would be a 3000 page book each day, or a 750,000 pages of text book for the year. That "book" would be 25 metres (82 feet) tall! – Norgate Data Jun 13 '16 at 23:54
  • First, what date or dates are you interested in and which company or companies? More substance is needed to narrow sources, some which may not be available to the public for free. – Catalyx Jun 14 '16 at 15:44

Though you're looking to repeat this review with multiple securities and events at different times, I've taken liberty in assuming you are not looking to conduct backtests with hundreds of events. I've answered below assuming it's an ad hoc review for a single event pertaining to one security.

Had the event occurred more recently, your full-service broker could often get it for you for free. Even some discount brokers will offer it so. If the stock and its options were actively traded, you can request "time and sales," or "TNS," data for the dates you have in mind. If not active, then request "time and quotes," or "TNQ" data.

If the event happened long ago, as seems to be the case, then your choices become much more limited and possibly costly. Below are some suggestions:

  • Wall Street Journal and Investors' Business Daily print copies have daily stock options trading data. They are best for trading data on actively traded options. Since the event sounds like it was a major one for the company, it may have been actively traded that day and hence reported in the papers' listings. Some of the print pages have been digitized; otherwise you'll need to review the archived printed copies.

  • Bloomberg has these data and access to them will depend on whether the account you use has that particular subscription. I've used it to get detailed equity trading data on defunct and delisted companies on specific dates and times and for and futures trading data. If you don't have personal access to Bloomberg, as many do not, you can try to request access from a public, commercial or business school library.

  • The stock options exchanges sell their data; some strictly to resellers and others to anyone willing to pay. If you know which exchange(s) the options traded on, you can contact the exchange's market data services department and request TNS and / or TNQ data and a list of resellers, as the resellers may be cheaper for single queries.

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