Hey I would like to calibrate different models. I need to get option data and I have some questions:
1. Where to get the data? The easiest solution is Yahoo finance, but is this data really OK or should I use another website?
2. What is option price? Bid, ask, last, or maybe mid-price (average of bid and ask)
3. Which options should I use? I heard that the best way is to use OTM calls and put. With what time to maturity?
4. I read that I use only liquid options. Which filter should I use to select only liquid options?
5. Important thing is to get data without arbitrage. What is the easiest way to delete arbitrage opportunity from my set of calls and puts options?
I ask because so far I get data from Yahoo Finance and result of calibration was very strange so I thing that something wrong is with my option set.
1. Where to get the data? The easiest solution is Yahoo finance, but is this data really OK or should I use another website?
2. What is option price? Bid, ask, last, or maybe mid-price (average of bid and ask)
3. Which options should I use? I heard that the best way is to use OTM calls and put. With what time to maturity?
4. I read that I use only liquid options. Which filter should I use to select only liquid options?
5. Important thing is to get data without arbitrage. What is the easiest way to delete arbitrage opportunity from my set of calls and puts options?
I ask because so far I get data from Yahoo Finance and result of calibration was very strange so I thing that something wrong is with my option set.
