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End-of-Day Option Quotes Data

Our end-of-day option quotes file actually provides two snapshots of market quote and size, one at 15:45, fifteen minutes before the market close, and another at 16:00, the official closing time of the market. Summary trading data is also included in the files. The first, last, lowest and highest trade in every series, as well as, the total volume, VWAP and open interest.
Fields include:
  • 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
  • Bid Size Eod
  • Bid Eod
  • Ask Size Eod
  • Ask Eod
  • Underlying Bid Eod
  • Underlying Ask Eod
  • VWAP
  • Open Interest
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Note: Data will be available for download after purchase as long as the file size is below 500GB. Larger files will be shipped to you on a hard drive.