Tuesday, August 20th 2019
We Offer 2-Minute Options Market Quotes Snapshots
Historical options bid-ask quotes snapshots with underlying equity prices at 2-minute increments are available back to 2015.
Historical options bid-ask quotes snapshots with underlying equity prices at 2-minute increments are available back to 2015. These files are zipped and are available at 7:30 pm EST after the close. Each day the file is zipped to about 2 GB and made available on a S3 bucket on AWS. Links to sample files are provided.
In addition to our near end-of-day options quotes, greeks and theoretical price data, we offer raw options market information snapped with underlying prices every two minutes during the trading day. These files are zipped and are available at 7:30 pm EST after the close.
The 2-minute snapshots have history back to 2015 (our our near end-of-day options quotes go back to 2007).
Here is a snippet of the 2-minute data:
Note that there are no headers on the daily files and the timestamps are the file names.
Here are the header descriptions:
Here's a link to the snippet and description.
Each day the file is zipped to about 2 GB and made available at 7:30 PM on a S3 bucket we will ask you to set up on AWS.
Within each zip are files for the options and equity prices:
Here are links to the files we used in the snippets above:
Options pricing models produce theoretical values for options and implied volatilities. Here we show common methods for calculating IV and how to interpret them.
Implied volatility, contango, and forward volatility can be used to predict underlying movement. Ex-earnings IV for stocks is explained. Backwardation is described as is the flat volatility method.