Option Market Data#

The Historical Option Trading Data provides an in-depth look at the options market, capturing data from the most recent trades to trades from years past. Derived from leading global exchanges, our historical option data provides unparalleled insights for option traders, researchers, and analysts.

About the Data#

Options are financial derivatives that provide buyers with the right, but not the obligation, to buy or sell an asset at a specified price on or before a particular date. Their complex nature demands richer datasets to ensure informed trading and research. Beyond the basic trade and quote data, our historical option data includes the Greeks – the various factors that influence an option’s price – and implied volatility, a crucial metric in option pricing.

Trade Data#

Our trade data encompasses details of each option transaction. This includes the strike price, expiration date, and whether the option is a call or put. Each transaction also provides insights into the volume, direction of the trade, exact timestamp, and the price at which the option was traded.

Quotes and the Bid-Ask Spread#

Quotes are especially critical for options due to their intricate pricing model. Our dataset provides the bid and ask prices, as well as the volume associated with these quotes. By studying the bid-ask spread, traders can glean insights into an option’s liquidity and potential transaction costs.

Greeks and Implied Volatility#

The Greeks play a pivotal role in option pricing and risk management. Our data provides:

  • Delta: Measures the rate of change of the option price concerning a change in the underlying asset price.

  • Gamma: Represents the rate of change of Delta concerning the underlying asset’s price.

  • Theta: Measures the rate of decline in the option’s value due to the passage of time.

  • Vega: Captures the sensitivity of the option price to changes in the underlying asset’s volatility.

  • Rho: Represents the sensitivity of the option price to changes in the risk-free interest rate.

Beyond the Greeks, our dataset offers the Implied Volatility for each option, which is a projection of the option’s future volatility and a key ingredient in option pricing models.

Data Integrity and Trust#

With the complexity of options, ensuring data accuracy is even more crucial. Our algorithms continuously cross-check data points for inconsistencies, and any irregularities are swiftly corrected.

See Also#