S&P 500 index information is in many different places on the WRDS web site. In Compustat North America there are web queries and corresponding SAS datasets for the prices, fundamentals, and constituents of indexes. The S&P 500 LTD (last trading day) has the ticker I0003 and S&P 500 WED (last Wednesday of the month) has ticker I0010. Two indices were created because some investors felt that the "last trading day" was too volatile, and preferred the last "Wednesday" methodology. Most people use I0003 ("LTD").
Other ways to obtain S&P 500 Price information through the WRDS System.
- CRSP Daily and CRSP Monthly stock files provide price and return information for individual stocks together with S&P 500 historic returns (SPRTRN).
- The CRSP Indices set has S&P 500 historic return and index-level on a daily or monthly basis.
- Global Insight offers daily historic information on S&P Indices. The Most Popular Indices web-query provides index level information on the S&P 500, 400, 600 and 1500. In addition, the daily series web-query offers level, and return information in greater detail for the main S&P Indices.
- Optionmetrics has options on the S&P 500 under ticker SPX (secid 108105)