Select a 1-minute, 15, 60, or custom interval for quote summaries. National Best Bid and Offer (NBBO) market quote and size are captured in every snapshot along with open, high, low, close and trading volume.

As an additional purchase option, we provide calculations at interval times for Implied Volatility and Greeks.

This data set covers listed Options on U.S. Stocks, ETFs, and Indices disseminated over the Options Price Reporting Authority (OPRA) market data feed. Options on Futures & non-U.S. markets are *not* supported.

Subscription:

Intraday deliveries are posted on the customer SFTP site approximately 15 minutes after a given snapshot is recorded (Example: 9:45AM snapshot will be delivered around 10:00AM).

Daily files are delivered late night/early morning.

Underlying bid and ask prices are included for Stocks and ETFs, but *not* for Indices by default.

Customers with an active Cboe Global Indices (CGI) license (fees start at $1k/month) will receive values for indices that disseminate a distinct Bid/Ask (currently only ^SPX and ^OEX). License holders can contact us to receive a free supplementary file with index values for those without a published Bid/Ask (^VIX, ^XSP, etc.)

Customers that do not have a CGI license can subscribe to Index Quotes for desired symbols and receive values T+1.

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.

Reference:

File specification

Fields:

• Underlying Symbol
• Quote Datetime
• Root
• Expiration
• Strike
• Option Type
• Open
• High
• Low
• Close
• Trade Volume
• Bid Size
• Bid
• Ask Size
• Ask
• Underlying Bid
• Underlying Ask

If Include Calcs selected:

• Active Underlying Price
• Implied Volatility
• Delta
• Gamma
• Theta
• Vega
• Rho

If Include Open-Interest selected:

• Open Interest

File Size Estimates: