Option Quote Intervals provide 1-minute or custom N-minute summaries of market activity for listed U.S. options. Each snapshot includes the National Best Bid and Offer (NBBO) quote and size, along with open, high, low, close and trading volume for the interval. Larger intervals can be used to target specific times of day — for example, use a 390-minute interval to capture the 4:00 PM Eastern snapshot.
As an additional purchase option, Implied Volatility and Greeks (Delta, Gamma, Vega, Theta, Rho) can be provided at each interval time.
This dataset covers listed options on U.S. Stocks, ETFs, and indices disseminated over the Options Price Reporting Authority (OPRA) market data feed. Options on futures & non-U.S. markets are not supported.
Intraday files are delayed by 15 minutes after each snapshot is recorded. Daily files are delivered overnight or early morning the following day.
Underlying Data
- Underlying bid and ask prices are included for Equities and ETFs by default.
- For Indices, underlying_bid, underlying_ask, active_underlying_price for ^SPX and ^OEX are provided only to customers with an active Cboe Global Indices Feed (CGIF) license (fees start at $1000/month). Underlying data for other indices are not included.
If you are interested in real-time delivery, please contact [email protected] for more information.
Historical Data:
Available from January 2012 to present.
Historical purchases for full market will not include underlying bid and ask on index products (including ^SPX and ^OEX). If you would like to receive underlying bid and ask on ^SPX and ^OEX with your full market order, please contact [email protected] to request a complimentary run.
Looking for historical tick-level data? Contact [email protected] for more information.
Reference:
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
If Include Calcs selected:
- Active Underlying Price
- Implied Volatility
- Delta
- Gamma
- Theta
- Vega
- Rho
If Include Open-Interest selected:
- Open Interest
File Size Estimates:
| Selection | Annual Disk Space (GB) | |||
| Symbols | Calcs | Interval (minutes) | Compressed | Uncompressed |
| * | Included | 1 | 2,300 | 16,300 |
| * | Not Included | 1 | 1,200 | 11,100 |
| * | Included | 15 | 155 | 1,100 |
| * | Included | 60 | 40 | 285 |
| ^SPX | Included | 1 | 45 | 315 |
| ^VIX | Included | 1 | 5 | 25 |
| SPY | Included | 1 | 20 | 145 |
Early Market Close:
Please note that, on early close trading days (Independence Day Early Close, Thanksgiving Early Close, Christmas Early Close - Cboe Hours & Holidays), the 390 and 405 interval subscriptions will continue to be delivered at 4 p.m. and 4:15 p.m. but will reflect the closing quote at either 1 p.m. or 1:15 p.m, depending on symbol.
