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.