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 and Greeks. 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 covers listed Options on U.S. Stocks, ETFs, and Indices disseminated over the Options Price Reporting Authority (OPRA) market data feed. Underlying bid and ask prices are also included for Stocks and ETFs, but *not* for Indices. Please contact us for information on accessing underlying Index values.
Options on Futures & non-U.S. markets are *not* supported
Subscription:
Daily file delivery
Historical Data:
Available from January 2012 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.
*Historical calculations are currently unavailable for purchase as they are being updated. We expect to re-enable Calcs for historical orders in March 2023.
Reference:
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
- 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
