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Options in Datastream

Option data can be retrieved from Datastream. To download option data you need the Datastream
Mnemonics (symbols) of the individual option contracts. There are two ways to gather these
Mnemonics (symbols):

 The Mnemonics (Symbols) of the individual option contracts, with their own exercise price
and expiry date, can be found in Datastream Navigator in the Data Category 'Options'. In the
Criteria Search you can search with specific fields, but keep in mind that there are a lot of
individual option contracts for some option series - for example you can find 1364 live call
options on the S&P 500 in Datastream!
 In the Data Category 'Constituents Lists' in Datastream Navigator you find Mnemonics
(Symbols) of lists of options. There are four lists per option serie: live call options, live put
options, dead call options and dead put options. With the Mnemonics (Symbols) of these lists
you can retreive the data for the underlying options in one request in Datastream.

Step 1 Gathering the Mnemonics of the option contracts

Using Datastream Navigator

 Go to Datastream Navigator
 Select behind “Choose a single category” in the left upper corner 'Options'
 Search for example by name (S&P 500)
 Click Search Now
 You'll get a list of all option contracts fitting your request.
 Copy the codes in the column Symbol and paste them in an Excel sheet

Using lists

Step 1: Finding the DS Mnemonics (Symbols) of the lists

 Go to Datastream Navigator
 Select behind “Choose a single category” in the left upper corner 'Constituents Lists'
 Search the option, by searching by name. (S&P 500)
 Behind Type you can select Option Series
 Write down the DS Mnemonic (SYMBOLS) of the constituent lists
Step 2: Downloading the DS Mnemonics of the individual option contracts

 Use a computer with Datastream connection


 Open Excel
 Click Datastream in the bar on top of Excel
 Choose Static Request
 Behind Series/Lists you have to enter the DS Mnemonic of 1 of the lists of options (you can
only request data for 1 list at a time)
 Behind Datatypes/Expressions you enter the codes of the datatypes you want to request, for
example:
o NAME = name of the option contract
o MNEM = Mnemonic of the option contract
o BDATE = first date of data for that option contract in Datastream
o OXPD = expiry date of the option
o OXCP = exercise price of the option
o OUI = DS Mnemonic of the underlying instrument, for example the underlying stock,
index or commodity
o Use the button Datatypes to select more datatypes. Don't forget to select the Data
Category 'Options' in the left upper corner
 Make sure Embed is not marked
 Click Submit
 Repeat these steps for all your lists
Step 2 Downloading the data

 Open Excel
 Open the Excelsheet with the Mnemonics of the indivdiual option contracts
 Choose Datastream in the top menu of Excel
 Choose Time Series Request
 Behind Series/Lists you have to enter the Datastream Mnemonics of the individual options.

Use the button to select them from your sheet.


 Behind Datatypes/Expressions you have to enter the Mnemonics of the information you want
to download. For example: MP is Mnemonic for the Market Price
To search these mnemonics, click the button Datatypes. Don't forget to select Data Category
'Options' in the left upper corner.
 Enter a start date (and an end date)
 Mark the first three Display options and Display Currency
 Click Submit to download the data
On the Datateamcomputers Excel 2013 is installed. In this version there is no longer a maximum of
256 columns. However, if you want to work with the data in Excel 2003, you have to take that
maximum into account. You have to split your list in lists of 250 options, or use the Datastream
Request Table creator (which makes lists of 250 series automatically).

Information about the contracts is often available on the website of the exchange.