INSTITUTE FOR FINANCIAL MARKETS DATA
Contents
Availability
Daily futures data from the The Institute for Financial Markets is available to current faculty and doctoral students. The data is stored in the /kellogg/data/futures path in skew3. The CD-ROM may be borrowed from Research Computing by Kellogg faculty and doctoral students, if needed. The files are in flat ASCII format with headers. Refer to the documentation and access instructions below.
Description
The daily futures data cover 115 different contracts in U.S., Canadian and non-North American exchanges. It includes prices (generally, open, high, low, and settlement), volume and open interest. The availability and time coverage of a particular variable depends on the contract. The period covered (in terms of end of contracts) ranges from 1969 (contracts made in 1968) through 2001 (contracts made through September 1999).
In addition to the data, Kellogg Research Computing has written a few SAS programs for the convenience of users.
Vendor information
The Institute for Financial Markets
2001 Pennsylvania Avenue N.W., Suite 600
Washington, D.C. 20006
Phone: (202) 223-1528
Fax: (202) 296-3184
Accessing FII data
Documentation:
- Documentation for Kellogg users
- Data and variable availability (MS Excel spreadsheet reproduced in the documentation)
- A list prepared by FII (MS Excel spreadsheet, reproduced in the documentation)
Relevant links:
- A list of futures contracts (from FII)
- Links to exchanges, regulators, and other institutions related to futures and options
Related data sources
- DRI Basic Economics Daily includes futures and options data for some indexes (CRBI and Dow Jones), currencies, financial (Treasury bills, notes and bonds) and crude oil.
- Datastream and Bloomberg also provide futures and options data.