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ALSI Futures Option Data

dataset
posted on 13.10.2020 by Duncan Saffy, Tim Gebbie
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.

Funding

Statistical Association of South Africa (SASA)

National Research Foundation (NRF)

History

Department/Unit

Department of Statistical Sciences, University of Cape Town

Licence

Exports