Historical Data

To calculate all of the indicators we just discussed, we utilize our vast sets of historical options data to reveal patterns and forecast the volatility surface. We've made available three different sets of data, each designed to provide you with options information fit for your use case.

Near end-of-day

Our most popular data set is our near end-of-day data. This data set goes back to 2007, and includes the full options chain, derived Greeks, theoretical values, and IVs for over 5,000 symbols gathered 14 minutes before the close of each day.

This data set is useful if you're looking for a lot of history but no intraday granularity. This is our only data set delivered via FTP (File Transfer Protocol). Upon signup, you will be emailed a private link to access the files. You may download them at your convenience.

Here is a recent sample of our near end-of-day data: https://s3.amazonaws.com/assets.orats.com/ORATS_SMV_Strikes_20240103.zip

The data is available for purchase in two ways:

1. Historical (from 2007 - today): This is a one-time purchase. You will recieve historical data from 2007 up until today, but no further.
2. Recurring (every day from today onward): This is a monthly subscription. You will receive data on an ongoing daily basis beginning from the point of purchase. No data from before today is included in the subscription. Data for each day is available around 8:30pm EST after the close.

You can purchase historical and/or recurring near end-of-day data here.

Some people ask how you can download the data. You can download a whole folder using FileZilla. Here are the directions:

1. Open the FileZilla FTP client.
2. Then, enter your FTP host, username, and password, and click Quick Connect.
3. In the right side box below Remote Site, select the folder you want to download.
4. Finally, press CTRL to choose multiple folders, then right-click on the folder and click Download.

Alternatively, you can create a script that will download the files.

1-minute intraday

Our 1-minute intraday data set is our second most popular offering. This data set goes back to August 2020 and includes the full options chain, derived Greeks, theoretical values, and IVs for every minute during the trading day of over 5,000 symbols.

We recommend using this data set if you need minute-by-minute, or "0 DTE", options data. While it doesn't go back as far as the near end-of-day data, we still include the same 5,000+ equities, ETFs, and indexes. Due to the large size of the data set, files are delivered via AWS S3. Upon signup, you will be emailed instructions for how to create an S3 bucket and connect it to ORATS to start receiving data.

Here is a recent sample of five different 1-minute files. For brevity, every symbol has been omitted except for AAPL: https://orats.com/university/intraday-sample-data.zip

The data is available for purchase in two ways:

1. Historical (from August 2020 - today): This is a one-time purchase. You will recieve historical data from August 2020 up until today, but no further.
2. Recurring (every day from today onward): This is a monthly subscription. You will receive data on an ongoing daily basis beginning from the point of purchase. No data from before today is included in the subscription. Data for each day is available on a 15-minute delayed basis unless you request live, which requires a Tradier brokerage account connection.

You can purchase historical and/or recurring 1-minute data here.

2-minute snapshot

The 2-minute snapshot is our last data set. This data set goes back to 2015 and includes raw options market information snapped with underlying prices every two minutes during the day for over 5,000 symbols.

Each 2-minute snapshot has two separate files, an equities file and an options file. A recent sample snapshot is available here: https://orats.com/university/snapshot-sample-data.zip.

Similar to the 1-minute data, files are delivered via AWS S3. Additional information, such as column headers and errata, can be found here.

The data is available for purchase in two ways:

1. Historical (from 2015 - today): This is a one-time purchase. You will recieve historical data from 2015 up until today, but no further.
2. Recurring (every day from today onward): This is a monthly subscription. You will receive data on an ongoing daily basis beginning from the point of purchase. No data from before today is included in the subscription. Data for each day is available around 8:30pm EST after the close.

You can purchase historical and/or recurring 2-minute snapshots here.

Dividends

Whether or not there is a dividend paid during the options lifecycle will impact the volatility and price of the option. Thus, we've partnered with Wall Street Horizon to deliver best-in-class dividend information. We offer you a daily FTP download service with all expected ex-div dates and forecasted dividend amounts for the next 2.67 years for all stocks with US exchange listed options. You can purchase historical and/or recurring dividend information here.

The dividend data includes four separate files:

1. Dividends: This file lists the closest upcoming dividend ex-dividend date, expected payment amount, and denotes if the data is Estimated ("E"), Acknowledged ("A"), Acknowledged by one or more, but not all sources("I") or Overridden ("O").

2. Stock Div Forecasts: This file compares the computed projected dividend amount against what is being implied in the current options market. If the projected amount is not verified by the current market environment, it is tempered. Furthermore, the forecasts are split-adjusted and are converted to USD in the case when the dividend is expected in a foreign currency.

3. Stock Div Hist Growth: This file contains ORATS' raw proprietary dividend forecast amounts. The dividend payout amounts in this file are NOT compared to the dividend amount being implied in the current options marketplace.

4. Special Dividends: This file only contains upcoming confirmed special dividends. Our feed fully conforms to the OCC "12.5" rule on special dividends and includes/excludes dividends in accordance with the rule.

Implied futures price

Indexes price options off of futures prices for each expiration, but futures prices do not exist for every expiration. Traders need to interpolate or calculate an implied futures rate for the expirations without a corresponding futures price expiration date. ORATS uses put-call parity to solve for the futures at each expiration. In ORATS tools and APIs, the stock price associated with the options trade is the implied futures price for the expiration. This is why you might notice that the stock price for indexes presented by ORATS is slightly different than what you see in other data sources.

In the webinar below, we cover this topic in more detail.

Now that we've laid the groundwork with proprietary indicators and historical data, it's time to apply these tools to our research. In the next lesson, we'll look at a critical component of the research pillar and one of our most powerful tools - the options backtester.