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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, the underlying bid and ask, and each of the individual exchange markets. With the addition of our Calcs data, you receive the implied volatility and the calculated delta of the trade. Trades from Global Trading Hours (GTH) will be included for ^SPX and ^VIX between 3:00 AM and 9:15 AM Eastern (GTH trades outside of this time range will not be included).

Subscription:

Daily file delivery

Historical Data:

Available from 2004 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:
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

After the last field listed above, there are a series of unnamed fields with regional exchange BBO quotes. This repeatable sequence populates columns according the pattern:

  • Number Of Exchanges**
  • Exchange Id**
  • Bid Size**
  • Bid**
  • Ask Size**
  • Ask**

**Effective June 13, 2022, the Number Of Exchanges and regional BBO fields to the right of it will be empty / no longer populated

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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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