DATASET
AIM8_processed_data_2019-07-22.csv (2.21 MB)
DATASET
AIM9_processed_data_2019-10-07.csv (2.01 MB)
DATASET
AIU8_processed_data_2019-07-22.csv (2.13 MB)
DATASET
AIU9_processed_data_2019-10-07.csv (2.15 MB)
DATASET
AIZ8_processed_data_2019-07-22.csv (2.05 MB)
DATASET
AIH8_processed_data_2019-07-22.csv (1.8 MB)
DATASET
AIH9_processed_data_2019-07-22.csv (2.02 MB)
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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.
Option data on the following futures contracts are given
AIH8 - expiration March 2018
AIM8 - expiration June 2018
AIU8 - expiration September 2018
AIZ8 - expiration December 2018
AIH9 - expiration March 2019
AIM9 - expiration June 2019
AIU9 - expiration September 2019
The expiration dates correspond to the 3rd Thursday of the month of expiry
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.
This data was used to produce a Minor Dissertation at the University of Cape Town.
