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Precise quotes

Quotes are taken 14 minutes before the close to avoid deterioration.

15+ years of history

Historical options data for over 5,000 symbols going back to 2007.

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Study accurate Greeks and volatilities

Learn how we developed a proprietary smoothed market values (SMV) system to deliver you the most accurate Greeks and theoretical values.

Cleaning the quotes

We clean and normalize the quotes using put-call parity, dividend assumptions, and the residual yield rate.

Accurate Greeks

The smoothed implied volatilites produce more consistent Greeks by which to manage risk.

Fixing low liquidity

We incorporate historical information when the confidence in the market summarization is low.

Solving wide spreads

Our treatment of low delta OTM options produces more realistic IVs.

Field Definitions

ticker

The underlying symbol that represents the stock or index on which the option is based.

stkPx

The current price of the underlying stock. For indexes, this is the solved implied futures price for each expiration.

expirDate

The date on which the option expires

yte

The number of years remaining until the option's expiration date.

strike

The price at which the option can be exercised.

cVolu

The total number of call option contracts traded on a particular day total at the time observed.

cOi

The total number of outstanding call option contracts updated by OCC the night before.

pVolu

The total number of put option contracts traded on a particular day total at the time observed.

pOi

The total number of outstanding put option contracts updated by OCC the night before.

cBidPx

The NBBO price at which a market maker is willing to buy a call option.

cValue

The theoretical value of a call option based on a smooth volatility assumption.

cAskPx

The NBBO price at which a market maker is willing to sell a call option.

pBidPx

The NBBO price at which a market maker is willing to buy a put option.

pValue

The theoretical value of a put option based on a smooth volatility assumption.

pAskPx

The NBBO price at which a market maker is willing to sell a put option.

cBidIv

The implied volatility of a call option at the current NBBO bid price.

cAskIv

The implied volatility of a call option at the current NBBO ask price.

smoothSmvVol

The smoothed implied volatility of an option based on the ORATS model.

pBidIv

The implied volatility of a put option at the current NBBO bid price.

pMidIv

The implied volatility of a put option at the midpoint of the current NBBO bid and ask prices.

pAskIv

The implied volatility of a put option at the current NBBO ask price.

iRate

The continuous interest (risk-free) rate.

divRate

The continuous dividend yield of discrete dividend's NPV.

residualRateData

The implied interest rate that is derived from the option pricing model.

delta

The theoretical increase in an option's price due to a one dollar increase in the underlying price.

gamma

The rate of change of an option's delta with respect to a one dollar increase in the price of the underlying asset.

theta

The rate of time decay of an option's value for one day.

vega

The sensitivity of an option's price to a one percent rise in the implied volatility of the option.

rho

The sensitivity of an option's price to a one percent increase in interest rates for the option.

phi

A measure of the convexity of an option's price with respect to changes in the price of the underlying asset.

driftlessTheta

The rate of time decay of an option's value as the expiration date approaches, without taking into account the drift in the price of the underlying asset.

extVol

The external implied volatility of the underlying asset, as provided by an external data source. The external data source is from the ORATS forecast volatility.

extCTheo

The external theoretical value of a call option, as provided by an external data source.

extPTheo

The external theoretical value of a put option, as provided by an external data source.

spot_px

The current market price of the underlying asset. For indexes this is the cash price.

trade_date

The date on which the option was traded.

Historical Data Pricing

Clean, accurate, and easy to use historical data for your options research.

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Near End-of-day

A complete snapshot of the US equity options market 14 minutes before the close of trading each day. Over 5,000 symbols included.

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Theoretical Values

Implied Volatilities

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1 Minute Intraday

Full SMV greeks, theoretical values, and IVs for every minute during the trading day of all US equity options. Over 5,000 symbols included.

Recurring data (from today onward):

$199

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Historical data (from Aug. 2020 - present):

$1500

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Greeks

Theoretical Values

Implied Volatilities

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~28TB of data

2 Minute Snapshot

Raw options market information snapped with underlying prices every two minutes during the day. Over 5,000 symbols included.

Recurring data (from today onward):

$199

/ month

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Historical data (from 2015 - present):

$2000

Buy one-time historical data

Includes

Strikes

Underlying Stock Data

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~9TB of data

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