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
