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  • Data Type: Implied Volatility Blends Remove
  • Data Type: Quotes Remove
  • Data Type: Skew Remove
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  • Data Type: Vix Spot Remove
  • Data Type: Dividends Remove
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Historical Data

ETF dates and amounts. 1,700 USA ETFs covered.
1/2006 – present
Timestamped audit trail including confirmed schedules in advance of investor conferences and confirmations and changes to scheduled company presentations.
7/2008 – present

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)
*Base order must include at least 1 selection between Calcs or BBO of Each Exchange.


A separate subscription to nightly ongoing updates of this data-set is also available, please see: Option Quotes Intervals – Subscription


Reference Files:
Exchange ID Mapping: Exchange IDs
Shareholder and board meeting dates.
1/1/2007– present
Stock split dates and amounts.
1/1/2006 – present
Suspended and resumed dividend status with timestamps of status change.
2007 – present