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Option Quotes Intervals with Calcs – Annual Subscription

Select your own custom interval from 1 minute to End-of-day, NBBO market quote and size are captured in every snapshot along with open, high, low, close and trading volume. The intervals with calcs data set includes midpoint implied volatility, Delta, Gamma, Theta, Vega and Rho at each interval. Underlying bid and ask prices are included at it interval for your reference. Sign up for a one year subscription and receive nightly delivery of your files via our FTP site. Save by signing up for a year!
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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
  • Implied Underlying Price
  • Active Underlying Price
  • Implied Volatility
  • Delta
  • Gamma
  • Theta
  • Vega
  • Rho
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.