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End-of-Day Option Quotes with Calcs

Our end-of-day option quotes with Calcs file provides all of the fields in the end-of-day Option quotes file plus market implied volatility for each option, as well as, the greeks (Delta, Gamma, Theta, Vega and Rho). Implied volatility and Greeks are calculated off of the 1545 timestamp, since it is considered a more accurate snapshot of market liquidity than the end of day market.
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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
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.