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Option Trades
  • Options

Our option trades files have the supporting information needed to provide context to trading activity. Included with each trade is the trade price and size, the exchange where the trade printed, the NBBO quote and depth, and the underlying bid-ask. With the addition of our Calcs data, you receive the implied volatility and the calculated delta of the trade.

This data set includes Options on U.S. listed Stock, ETFs, and Indices disseminated over the Options Price Reporting Authority (OPRA) market data feed. Global Trading Hours (GTH) trades are also included if between 03:00am-09:15am (U.S. Eastern), and for the 16:15pm-17:00pm (U.S. Eastern) Curb session. Options on Futures & non-U.S. markets are *not* supported.

Subscription:

Daily file delivery

Historical Data:

Available from August 2011 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.

Reference:
File specification
Exchange ID Mappings
Trade Condition ID Mappings

Fields:

  • Underlying Symbol
  • Quote Datetime
  • Sequence Number
  • Root
  • Expiration
  • Strike
  • Option Type
  • Exchange Id
  • Trade Size
  • Trade Price
  • Trade Condition Id
  • Canceled Trade Condition Id
  • Best Bid
  • Best Ask
  • Trade Iv*
  • Trade Delta*
  • Underlying Bid
  • Underlying Ask

 *Field available with addition of Calcs data

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Warning: Data is unavailable for either specific dates or symbols from your selection. Show excluded symbols and dates here.
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