1 minute or n-minute interval 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. Select a larger interval to target a specific snapshot time (ex: 390 minutes for 4PM Eastern snapshot).
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.
Intraday deliveries are delayed by 15 minutes after the snapshot time. Daily files are delivered late night/early morning.
Underlying bid and ask prices are included for Equities and ETFs but not for Indices by default. Customers with an active Cboe Global Indices Feed (CGIF) license (fees start at $1k/month) will receive underlying values for ^SPX and ^OEX (indices that disseminate a bid/ask).
If you are looking for real-time data, contact [email protected] for more information.
Historical Data:
Available from January 2012 to present.
Historical purchases for full market will not include underlying bid and ask on indices (including ^SPX and ^OEX). If you would like to receive underlying bid and ask on ^SPX and ^OEX with your full market historical order, please reach out to [email protected] to request a complimentary run.
Looking for historical tick-level data? Contact [email protected] for more information.
Reference:
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:
| Selection | Annual Disk Space (GB) | |||
| Symbols | Calcs | Interval (minutes) | Compressed | Uncompressed |
| * | Included | 1 | 2,300 | 16,300 |
| * | Not Included | 1 | 1,200 | 11,100 |
| * | Included | 15 | 155 | 1,100 |
| * | Included | 60 | 40 | 285 |
| ^SPX | Included | 1 | 45 | 315 |
| ^VIX | Included | 1 | 5 | 25 |
| SPY | Included | 1 | 20 | 145 |
Early Market Close:
Please note that, on early close trading days (Independence Day Early Close, Thanksgiving Early Close, Christmas Early Close - Cboe Hours & Holidays), the 390 and 405 interval subscriptions will continue to be delivered at 4 p.m. and 4:15 p.m. but will reflect the closing quote at either 1 p.m. or 1:15 p.m, depending on symbol.
