Get high quality historical options data

Trade with confidence knowing our data is held to the highest industry standards for accuracy and completeness.

250,000 minutes of data

Historical options data for every minute going back to August 2020.

Thousands of tickers

We gather intraday data for 5,000+ US equity option tickers.

Unmatched quality

Get accurate greeks and volatilities powered by our SMV system.

Easy to access

Download files through AWS S3.

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.

tradeDate

The date on which the option was traded.

expirDate

The date on which the option expires.

dte

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

strike

The price at which the option can be exercised.

stockPrice

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

callVolume

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

callOpenInterest

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

callBidSize

The number of call option contracts available at the current national best bid and offer (NBBO) bid price.

callAskSize

The number of call option contracts available at the current NBBO ask price.

putVolume

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

putOpenInterest

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

putBidSize

The number of put option contracts available at the current NBBO bid price.

putAskSize

The number of put option contracts available at the current NBBO ask price.

callBidPrice

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

callValue

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

callAskPrice

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

putBidPrice

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

putValue

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

putAskPrice

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

callBidIv

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

callMidIv

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

callAskIv

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

smvVol

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

putBidIv

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

putMidIv

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

putAskIv

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

residualRate

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.

callSmvVol

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

putSmvVol

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

extSmvVol

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.

extCallValue

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

extPutValue

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

spotPrice

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

quoteDate

The date and time at which the market quote used to calculate the SMV (option's greeks, skew, and other related values) was recorded.

updatedAt

The date and time at which the calculation of the option's greeks, skew, and other related values was completed.

snapShotEstTime

The time (EST) at which a one-minute snapshot of the SMV strikes was taken.

snapShotDate

The date and time at which a one-minute snapshot of the SMV strikes was taken.

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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Institutional Quality Tools for All Options Traders

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