Select your own custom interval from 1 minute to end-of-day. National Best Bid and Offer (NBBO) market quote and size are captured in every snapshot along with open, high, low, close and trading volume.
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 at each interval 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:
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 10:00 AM).
For overnight delivery, a file will post daily late night/early morning
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 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
