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Option Intervals

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. Underlying bid and ask prices are included at each interval for your reference. Covers U.S Stock, ETF, and Index securities with listed options.


In addition to OHLC, Volume, and NBBO markets at each interval, you may select and include the following:

  • Calcs: Midpoint Implied Volatility, Delta, Gamma, Theta, Rho*
  • BBO of each individual exchange*
  • Open Interest: Start-of-day Open Interest for each option (Optional)
*Base order must include at least 1 selection between Calcs or BBO of Each Exchange.


A separate subscription to nightly ongoing updates of this data-set is also available, please see: Option Quotes Intervals – Subscription

Fields include:
  • 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
  • If Include Calcs selected:
    • Implied Underlying Price
    • Active Underlying Price
    • Implied Volatility
    • Delta
    • Gamma
    • Theta
    • Vega
    • Rho
  • If Include Open-Interest selected:
    • Open Interest
  • If Include BBO of Each Exchange selected:
    • Level 2
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Warning: Data is unavailable for either specific dates or symbols from your selection. Show excluded symbols and dates here.
Total: $0.00