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Data Product Replacement: Option Intervals Combines NBBO, BBO Quotes & Calcs Into One Product

Friday, July 10, 2020

Select your own custom interval from 1 minute to End-of-day, NBBO market quote and size are captured in every snapshot along with open, high, low, close and trading volume. Underlying bid and ask prices are included at each interval for your reference. Covers U.S Stock, ETF, and Index securities with listed options.

In addition to OHLC, Volume, and NBBO markets at each interval, you may select and include the following:

  • Calcs: Midpoint Implied Volatility, Delta, Gamma, Theta, Rho
  • BBO of each individual exchange
  • Open Interest: Start-of-day Open Interest for each option (Optional)

Historical Data Product: Option Intervals

Data Subscription Product: Option Intervals - Subscription

Products removed from the catalog:

  • Option Quotes Intervals
  • Option Quotes Intervals – Subscription
  • Option Quotes Intervals with Calcs
  • Option Quotes Intervals with Calcs – Subscription