ALSI Futures Option Data

This data consists of option price data from March 2018 (AIH8) to September 2019 (AIU9). This data was extracted from the Bloomberg terminal at UCT library, using 'Rblpapi' API package in the R programming language. It is in the .csv format for convenient use.<div><br></div><div>Option data on the following futures contracts are given</div><div>AIH8 - expiration March 2018</div><div>AIM8 - expiration June 2018<br></div><div>AIU8 - expiration September 2018<br></div><div>AIZ8 - expiration December 2018<br></div><div>AIH9 - expiration March 2019<br></div><div>AIM9 - expiration June 2019<br></div><div>AIU9 - expiration September 2019<br></div><div><br></div><div>The expiration dates correspond to the 3rd Thursday of the month of expiry</div><div><br></div><div>Each data file only contains option price information for the period from the expiry of the previous set of option contracts. i.e. AIU8 only contains data from June 2018 to September 2018.</div><div><br></div><div>This data was used to produce a Minor Dissertation at the University of Cape Town.</div>