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. 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.
This data set includes Options on U.S. listed Stock, ETFs, and Indices disseminated over the Options Price Reporting Authority (OPRA) market data feed. Options on Futures & non-U.S. markets are *not* supported
Daily file delivery
Available from August 2011 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.
*Field available with addition of Calcs data