One last idea. Interactive Brokers has a nice platform to work from.

The IBrokers package lets connect and retrieve data from R. Options  
data is limited to live contracts, but you can pull 1 min bars back to  
contract inception.

There is a reasonably high account minimum, but they may be open to  
academic access. I think I recall some special program that allows for  
paper trading for students for free.

Best,
Jeff

Jeffrey A. Ryan
jeffrey.ryan@insightalgo.com

ia: insight algorithmics
www.insightalgo.com

On Nov 27, 2009, at 12:30 PM, Renato Costa <noldo22@gmail.com> wrote:

> Thank you all for the comments.
> I just need some prices to compare to my simulations with T=30,60,90  
> and 180 and see if according to my simulations the market price is  
> "cheap" or "expensive" .
> I will continue looking for it but I believe I will have to buy it  
> eventually.
>
> Regards
>
> Renato
>
> On Fri, Nov 27, 2009 at 3:54 PM, J Ryan <jeff.a.ryan@gmail.com> wrote:
> Every day you have more than 300k equity option prices series. At  
> EOD frequency, that is 300k prices. At 1min intervals your looking  
> at 120 million per day. You can see why it won't be free.
>
> What sort of research are doing?  Do you need end of day?  Book  
> data?  How much data?  A year, a day, 10 years.
>
> You can use getOptionChain in quantmod to download delayed data from  
> yahoo, but that isn't historical.
>
> With option data you'll find that you get what you pay for.
>
> Best,
> Jeff
>
> Jeffrey A. Ryan
> jeffrey.ryan@insightalgo.com
>
> ia: insight algorithmics
> www.insightalgo.com
>
>
> On Nov 27, 2009, at 10:03 AM, Renato Costa <noldo22@gmail.com> wrote:
>
> Dear all
>
> I need to get some call option data to compare with some of my  
> simulations.
> Stock prices are easy to find but for options most of the sites I  
> looked for
> it I would have to pay for that.
> Does anyone know if I can get some option prices for free?
>
> Any help is appreciated.
>
> Regards
>
> Renato
>
> -- 
> PhD Student Renato Alencar Adelino da Costa (renato@ele.puc-rio.br)
> Department of Electrical Engineering (Mathematical Finance)
> Pontifical Catholic University (PUC-Rio)
> Rua Marques de Sao Vicente, 225, Sala 604L
> Gavea          CEP: 22453-900
> Rio de Janeiro
> BRASIL
> ( 9 months research at Curtin University of technology: Nov 2008 -  
> July
> 2009)
>
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>
> -- 
> PhD Student Renato Alencar Adelino da Costa (renato@ele.puc-rio.br)
> Department of Electrical Engineering (Mathematical Finance)
> Pontifical Catholic University (PUC-Rio)
> Rua Marques de Sao Vicente, 225, Sala 604L
> Gavea          CEP: 22453-900
> Rio de Janeiro
> BRASIL
> ( 9 months research at Curtin University of technology: Nov 2008 -  
> July 2009)
> tel.:55-21-35271205 (PUC-Rio Brazil)   Mobiles:   55-21-99474214  
> (Brasil)
>

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