Indicators
Wednesday, April 24th 2019
Historical Options Quotes and Greeks
Historical options market bid ask quotes augmented with options greeks, implied volatility, and theoretical values for all US equity options.
Summary
ORATS provides historical options market bid ask quotes for all US equity options, augmented with options greeks, implied volatility, and theoretical values. The Smoothed Market Values (SMV) options quotes use an intensive process to create the best skew of implied volatilities that are then used to calculate accurate greeks and theoretical options values. All optionable US equity options on all stocks, ETFs and indexes are included, and delivery is available via FTP or AWS S3.
A critical factor in calculating accurate greeks so important for options analysis is creating a good volatility input to your options pricing model.
At ORATS, our Smoothed Market Values (SMV) options quotes uses an intensive process to create the best skew of implied volatilities that are then used to calculate accurate greeks and theoretical options values.
The SMV is based on the bid ask of all standard options and accompanying stock prices snapped 14 minutes before the close. Since options prices tend to deteriorate in quality at the close, we choose to base our quote delivery on near end-of-day options market quotes.
All optionable US equity options on all stocks, ETFs and indexes are included. For indexes, the implied futures price and spot price is included for each option based on the expiration. Each option's volume and open interest are also included. More information on the process is here.
DELIVERY
On-going SMV Quote zip files are available by FTP with updates by 9:30 pm EST.
The initial bulk download can be by FTP or AWS S3.
For S3, you provide us S3 bucket info, authenticate, and we bulk copy quotes zip files into your S3 bucket. On-going data can be downloaded using FTP only.
FILE DESCRIPTION
Each trading day back to 2007 has a zip file containing all ongoing ticker's standard options.
The file name is in the format ORATS_SMV_Strikes_20150717.zip with year month and day as in 'YYYYMMDD'.
The header row with a sample row of data from SPX follows:
ticker,stkPx,expirDate,yte,strike,cVolu,cOi,pVolu,pOi,cBidPx,cValue,cAskPx, pBidPx,pValue,pAskPx, cBidIv,cMidIv,cAskIv, smoothSmvVol, pBidIv,pMidIv,pAskIv, iRate,divRate, residualRateData, delta,gamma,theta,vega,rho,phi, driftlessTheta, extVol,extCTheo,extPTheo, spot_px,trade_date
SPX,2125.24,8/7/2015,0.05753,2185,107,1032,0,0,0.7,1, 0.9,58.1,62.26,65.3,0.0706283,0.07246,0.0742882,0.0760111,,, 0.109708,0.00013,0.0213,-0.00862239,0.06017066, 0.00309224,-0.1061186,0.58755839,0.06935765,-0.06987945,-0.11018058, 0.081165,1.34091,62.5992,2125.28,7/17/2015
Here's a snippet:
SAMPLE FILES
PRICING
Pricing is based on whether the user is a non-pro, pro or firm and can be obtained here.
A trial of all quote files back to 2007 is available for a $100 non-refundable deposit. The deposit will be applied against the first invoice and you agree to destroy the data should you not purchase.
Here's a related blog post on an article for the Wall St Journal.
You can also access historical quotes individually via our API. Read about that here.
Disclaimer:
The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors.
All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice.
Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein.
Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only.
Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional.
Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein.
Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading.
Related Posts
