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1 Minute Intraday
Historical Options Data Since Aug. 2020
Full SMV greeks, theoretical values, and IVs for every minute during the trading day of all US equity options. Over 5,000 symbols included.
Please visit ORATS University 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.
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
Enterprise
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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Historical Data
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