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 size, and the underlying Stock or ETF bid-ask. With the addition of our Calcs data, you receive the implied volatility and the calculated delta of the trade.
Global Trading Hours (GTH) are included between 03:00am-09:15am (U.S. Eastern), and the 16:15pm-17:00pm (U.S. Eastern) Curb session.
This data set covers trades on listed Options for U.S. Stocks, ETFs, and Indices disseminated over the Options Price Reporting Authority (OPRA) market data feed. Underlying bid and ask prices are also included for Stocks and ETFs, but *not* for Indices. Please contact us for information on accessing underlying Index values.
Options on Futures & non-U.S. markets are *not* supported.
Daily file delivery
Available from January 2012 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.
*Field available with addition of Calcs data