Last modified: 2002 Feb 11
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Procedures to compile and work with various sources of options data

Author: C.Rookley,

Instructions:

These procedures can be downloaded individually, or together as one zip file: data.zip . Place all files (including declaration files ending in ".dec" into your "/gauss/src" directory.

Individual Programs:

• wwwopt.g Program to take a stream of options data from the internet (eg. option chains from Discover broker direct real time quotes) and compile it into a usable form for calculating implied volatilities and volatility smiles. Input must be copied from the web into a text file with the following structure: sample input. Output includes the following table: sample output and set of graphs for all unique expirations:sample graphs.
• fullfut.g & fullfut.dec Procedure and necessary declaration file to compile cme intraday data and obtain smiles and risk neutral densities. This program unzips data files obtained from ftp.cme.com/pub/time and coverts them to gauss files. It then extracts necessary futures and options data for a particular symbol, links futures data to options data by time, writes data to a master file, obtains risk free rate from Fred Data Banker's Acceptance Rates (or user input), calculates European Equivalent implied volatilities, and estimates smile and derivitives by smoothing iv's using ebbsbi.g & ebbs.dec. Finally the program calculates a risk neutral density of interest (using pdfcdf.g) corresponding to a user supplied target time and expiration date of interest. Note you will also need to deposit the following files into a /futures/ directory on the same drive you have gauss installed. other files
• adjba.g Procedure to convert prices rounded to 2-decimal accuracy back to 4-decimal full fraction equivalents.(used with BODB data)
• getir.g & getir.dec Procedure and necessary declaration file to extract implied interest rates (using put-call parity) from a set of intraday European option quotes.