Resources > London International Financial Futures and Options Exchange

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Overview

Database LIFFE datasets are the world's leading source for Euro Money Market Derivatives information. The Finance Lab has recently acquired the Euro-out products tick by tick set which includes high frequency data for the following securities:

Long Gilt and Short Sterling futures and options since 1986.
Five year Gilt futures since 1998.
3 Month Euroswiss futures and options since 1991.
JGB futures since 1991 and Three Month Euroyen futures since 1996.
FTSE 100 Index futures since 1986.
FTSE Eurotop 100 Index futures since 1998
FTSE 100 Index options since 1992.
FTSE 250 Index futures since 1994.

This dataset contains both interest rate derivatives (the Long Gilt/Short Sterling options and futures) and index derivatives (the FTSE 100 Index futures and options). Both datasets are of reasonable length (going back to 1986 for the bond options and to 1992 for the FTSE 100 options). There are both American and European style options traded on the FTSE 100 index. The data also has a nice interface which makes it easy to filter and manipulate for research needs.