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Option EOD Summary
  • Options

Our daily summary contains two market snapshots, one at 15:45 U.S. Eastern and another at end-of-day (market closing time is product dependent). Each snapshot contains the best bid and ask (NBBO) for every option series along with size across exchanges. The end-of-day (EOD) snapshot has open, high, low, and closing prices (OHLC), trade volume, VWAP, and open interest.

As an additional purchase option, we provide calculations at the 15:45 snapshot for implied volatility, Greeks, and implied underlying price. This time is used for analytics as it is considered a more accurate representation of market liquidity compared to end-of-day.

Reference:

File specification (with Calcs)

File specification (without Calcs)

Subscription:

Subscription can be found here

Historical Data:

Available from 2004 to present

One file per day or month depending on your file grouping selection. Monthly grouping may not be available for orders with a large number of symbols.

Fields:

  • Underlying Symbol
  • Quote Date
  • Root
  • Expiration
  • Strike
  • Option Type
  • Open
  • High
  • Low
  • Close
  • Trade Volume
  • Bid Size 1545
  • Bid 1545
  • Ask Size 1545
  • Ask 1545
  • Underlying Bid 1545
  • Underlying Ask 1545
  • Implied Underlying Price 1545*
  • Active Underlying Price 1545*
  • Implied Volatility 1545*
  • Delta 1545*
  • Gamma 1545*
  • Theta 1545*
  • Vega 1545*
  • Rho 1545*
  • Bid Size EOD
  • Bid EOD
  • Ask Size EOD
  • Ask EOD
  • Underlying Bid EOD
  • Underlying Ask EOD
  • VWAP
  • Open Interest

*Field available with addition of Calcs data

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Choose a single date by double-clicking the same day. Or choose a date range by clicking once on a start date, and then again on an end date. Date ranges can span multiple months and years.

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Warning: Data is unavailable for either specific dates or symbols from your selection. Show excluded symbols and dates here.
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