Skip to Main Content
It looks like you're using Internet Explorer 11 or older. This website works best with modern browsers such as the latest versions of Chrome, Firefox, Safari, and Edge. If you continue with this browser, you may see unexpected results.
Business & Management Librarian
More ways to get help
Ask a question, make an appointment, give feedback, or visit us.
The CBOE (Chicago Board Options Exchange) Volatility Index® (VIX®) is a key measure of market expectations of near-term volatility conveyed by S&P 500 stock index option prices. The Vix Index was introduced in 1993 by Professor Robert E. Whaley of Duke University in his paper "Derivatives on Market Volatility: Hedging Tools Long Overdue," Journal of Derivatives 1 (Fall 1993), pp. 71-84. Coverage: 1996-previous year
Center for Research in Security Prices - CRSP
The Center for Research in Security Prices (CRSP) maintains the most comprehensive collection of security price, return, and volume data for the NYSE, AMEX, and Nasdaq stock markets. Additional CRSP files provide stock indices, beta- and cap-based portfolios. Monthly data goes back to 1925. Daily data goes back to 1962 depending on exchange traded. Also includes U.S. market indices, treasuries, and mutual funds, and a merged database with S&P's Compustat data.
Historical, global coverage of equities, stock markets, commodities, futures, currencies, options, bond markets, company financials, and economic data. We have a limited number of licenses available for MIT faculty and graduate students. Please note that Datastream does not work on Macs. To request an account, please fill out this form.
Walk-in access remains available to all current MIT students, faculty, and staff at Dewey Library on workstations 5 & 6.
Dow Jones Averages & Total Return Indexes (via WRDS)
The Dow Jones Averages are comprised of The Daily and Monthly Dow Jones Composite (DJA), as well as The Dow Jones Industrial (DJI), The Dow Jones Transportation (DJT), The Dow Jones Utility (DJU), The Dow 10, and The Dow 5. The Total Return Indexes account for reinvested dividends. Data for the Total Return Indexes is available after 1987.
Fama-French Portfolios and Factors (via WRDS)
The Fama-French Portfolios are constructed from the intersections of two portfolios formed on size, as measured by market equity (ME), and three portfolios using the ratio of book equity to market equity (BE/ME) as a proxy for value.
Global Financial Data
Historical , financial, and economic time series data covering 200 countries and 20,000 data series.
Mergent Fixed Income Securities Database - FISD (via WRDS)
FISD contains issue details on over 140,000 corporate, corporate MTN (medium term note), supranational, U.S. Agency, and U.S. Treasury debt securities and includes more than 550 data items. FISD provides details on debt issues and the issuers, as well as transactions by insurance companies. It is used to research market trends, deal structures, issuer capital structures and other areas of fixed income debt research.
Option Metrics (via WRDS)
OptionMetrics contains historical prices of options and their associated underlying instruments, calculated implied volatilities, and option sensitivities. Contains data on all US exchange- listed and NASDAQ equities and market indices, as well as all US listed index and equity options, starting from January, 1996.
Philadelphia Stock Exchange - PHLX (via WRDS)
The Penn World Table provides purchasing power parity and national income accounts converted to international prices for 188 countries for some or all of the years 1950-2004.
SDC Platinum - Securities Data Company
SDC Platinum can be searched through Refinitiv Workspace. Look under Market/Deals Screener. SDC Platinum can be searched using the client interface in Dewey Library on workstations 2-4.
Thomson Reuters Datasets (via WRDS)
Formerly called Spectrum, Thomson Reuters Insider Filing Data (Forms 3, 4, 5, and 144) goes back to 1978; a cleansed version is available only back to 1986. Institutional (Form 13F) and 5 Percent Owner Databases go back to 1980; the Domestic Mutual Fund Database goes back to 1979.
TRACE (via WRDS)
TRACE consolidates transaction data for all eligible corporate bonds - investment grade, high yield and convertible debt. As a result, individual investors and market professionals can access information on 100 percent of OTC activity representing over 99 percent of total U.S. corporate bond market activity in over 30,000 securities.
Trades and Quotes - TAQ (via WRDS)
Intraday transactions data (trades and quotes) starting in 1993 for all securities listed on the NYSE and AMEX, as well as NASDAQ and Small Cap issues. Sloan has access to milisecond data from 2014+