An option is a financial derivative contract that essentially bestows the right to buy (call) or sell (put) a given security at a specified price (the strike or exercise price) at (or before) a specified date (the expiration date). For example, on January 14, 2014, the price of JPMorgan Chase (JPM) common stock was $57.74 and on that date the price of a call option to buy a share of JPM for $57.50 on January 18, 2014 was $0.48. That is, on January 14 you’d pay $0.48 for the right to buy the stock at the slightly lower price four days later. A call option to buy at one share at $50 on that same expiration date was $7.70. The price of a put option to sell a share at the same strike price and exercise date was $0.23 and the price of a put option to sell at $65 was $7.00.

As a rule, a call (buy) option is more valuable when the strike or exercise price is less than the current market price, and a put (buy) option is more valuable when the strike price is greater than the current market price. When the current share price is more (less) than the strike price of a call option, the option is said to be in (out of) the money. When the current share price is more (less) than the strike price of a put option, the option is said to be out of (in) the money.

An “American” option can be exercised at any time up to the expiration date; a “European” option can be exercised only at the expiration date. Curiously, most options issued in the United States are “European” style options.

To get the price data you need to know the following terms:

• Put: contract that grants the right to sell at a given price at a given date
• Call: contract that grants the right to buy at a given price at a given date
• Expiration date: date when the option is no longer valid
• Strike price: price at which the option can be bought or sold
• American option: This style of option can be exercised at any time up to the expiration date.
• European option: This style of option can be exercised only at the expiration date.

This means that there can be numerous outstanding options at any date for any given security. For example, on January 14, 2014, there were JPM put and call options being traded with expiration dates from January 18, 2014 through January 15, 2016 and at strike price from $18.00 to $110.00.

An individual option is defined by:

•  The underlying security (JPM in our example)
•  Whether it is a put or a call
•  The expiration date
•  The strike price

As a rule the code used to identify an individual option in a database is going to incorporate all of these bits of information.

Where to find option prices:

OptionMetrics via WRDS:
• Date range: currently 01/01/1996 - 08/31/2014 (data is added annually)

Bloomberg:
• Date range: last 90 days, no historical data

Datastream: 
(Date range: varies by option, historical data varies by option)

• Open Excel and select the Refinitiv tab.
• From the Refinitiv menu, select Datastream Formula. This will open the Datastream Formula Builder.
• Under Category select Options from the drop-down list. 
• Select the funnel icon (find series)  beside the Explorer window to launch Datastream Navigator.
• Use left-hand menu to select criteria such as Exchange, Type, Region, Excercise Price, etc
• Select your option by clicking on the symbol (color blue).
• When you select your option it will automatically insert it into Series/Lists section of Datastream Formula Builder. 
• Select Insert to download the data into Excel.