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. The data covers Regular Trading Hours (RTH) only.
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:
Daily file delivery
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
