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Option Quotes - Subscription
  • Options

Select your own custom interval from 1 minute to end-of-day. National Best Bid and Offer (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.

Orders must contain at least one selection between:

  • Calcs: Midpoint Implied Volatility, Delta, Gamma, Theta, Rho
  • BBO: Best bid and offer on each individual exchange

As an additional purchase option, Open Interest can be included

  • Open Interest: Start-of-day Open Interest for each option

Subscription:

Intraday deliveries are posted on the customer SFTP site approximately 15 minutes after a given snapshot is recorded (Example: 9:45AM snapshot will be delivered around 10:00 AM).

For overnight delivery, a file will post daily late night/early morning

Historical Data:

Historical data can be found here

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:

  • 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.
Subtotal: $0.00
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