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Option Intervals – Subscription

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.

* Delivery Time: “Intraday” deliveries are posted to the FTP account approximately 15 minute after a given snapshot is recorded (Example: A 9:45AM snapshot will be posted to FTP at around 10:00 AM). Nightly deliveries are posted to the FTP account overnight.

Historical data back to 2004 may be purchased separately: Options Intervals

Reference Files:
Exchange ID Mapping: Exchange IDs
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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