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Historical Data

Our option trades files have the supporting information needed to provide context to trading activity. Included with each trade is the trade price and size, the exchange where the trade printed, the NBBO quote and depth, the underlying bid and ask, and each of the individual exchange markets. With the addition of our Calcs data, you receive the implied volatility and the calculated delta of the trade. Trades from Global Trading Hours (GTH) will be included effective February 5, 2020. GTH trades will be signified by a time stamp between 3:00 am ET and 9:15 am ET. At this time only ^SPX and ^VIX trade during GTH.