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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. Effective February 5, 2020 on half trading days, the value in the "1545" column will be taken at 12:45 pm ET and the column name of 1545 will be unchanged.
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
  • 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
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