Database of Option Prices for NASDAQ Tickers

For data collection, 61,060 time series of option prices with their spot price and time to maturity were gathered. These included options for tickers listed on the NASDAQ index up to June 20, 2024, across all maturities and strike prices. Time series with fewer than 5 records were excluded due to potential challenges in performing statistical tests. The data collection process was conducted using Python, the yfinance library and other relevant tools.

After performing statistical tests described in the methodology section, 24110 time series exhibiting bubbles were identified. Using the LPPL model, the bubble periods within these time series were analyzed, and the corresponding entry and exit days were determined by considering the dominant exponential behavior in deviation of price and model as we mentioned in the methodology section. Then, the pricing performed by three models of the Black-Scholes, the VG, and the so-called switching model.