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Near End-of-day

Historical Options Data Since 2007

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

Please contact us if you want a complete sample of data.
Get high quality historical options data
Trade with confidence knowing our data is held to the highest industry standards for accuracy and completeness.
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.
Unmatched quality
Get accurate greeks and volatilities powered by our SMV system.
Easy to access
Download files through secure FTP.
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.
Individual
Professional

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.

Recurring data (from today onward):

$99

/ month

Subscribe to recurring data
Historical data (from 2007 - present):

$599

Buy one-time historical data

Includes:

Strikes

Greeks

Theoretical Values

Implied Volatilities

Download via FTP

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

/ month

Subscribe to recurring data
Historical data (from Aug. 2020 - present):

$1500

Buy one-time historical data

Includes:

Strikes

Greeks

Theoretical Values

Implied Volatilities

Download via AWS S3

~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

Subscribe to recurring data
Historical data (from 2015 - present):

$2000

Buy one-time historical data

Includes

Strikes

Underlying Stock Data

Download via AWS S3

~9TB of data

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ORATSORATS
Institutional Quality Tools for All Options Traders
(312) 986 - 1060
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36 Maplewood Ave, Portsmouth, NH 03801
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