Historical Quotes Have It All...
- All standard options: weeklys, monthlys, quarterlys, for all US equity optionable symbols.
- Ticker, expiry, strike, bid, ask, volume, open interest.
- Stock price bid-ask midpoints. Index implied futures prices and spot prices. Interest rates, dividend yields and residual yields (ie from hard-to-borrow).
- Implied volatilities for bid, mid, smoothed, forecasted and ask.
- Delta, gamma, theta, rho, vega.
- Proprietary theoretical values & forecasts.
Cleaned and easy to access. ORATS has done the hard work. Our experienced staff using sophisticated smoothing algorithms produce this invaluable data-set. We continually backtest, monitor and ensure the quality of our market quotes. The result is one of the best quote feeds available in the industry.
Bid - asks snapped before the close, giving you the highest quality markets back to 2007
We take a complete snapshot of the US equity options market 14-minutes before the close of trading each day. Why 14 minutes before? Our ex-market makers and traders think that is the best time, the closest to the close without getting deterioration in markets that happens as the close of trading approaches.
Everything in the snapshot has the same time stamp, including underlying prices. Stock bid-ask mid points are calculated and presented with each option. Index futures prices at each expiration are implied from put-call parity, and spot prices are included.
These near end-of-day quote files are ready by 9 PM EST after each close via FTP.
Because these quotes are also used in our backtester and in our core summarized data, there are many eyes on the quote files to ensure quality.
2-Minute Quote Snapshots Historically to 2015
In addition to our near end-of-day options quotes, greeks and theoretical price data, we offer raw options market information snapped with underlying prices every two minutes during the trading day. These files are zipped and are available at 7:30 pm EST after the close.
The 2-minute snapshots have history back to 2015 (our our near end-of-day options quotes go back to 2007).
Here is a snippet of the 2-minute data:
Note that there are no headers on the daily files and the timestamps are the file names.
Here are the header descriptions:
Here's a link to the snippet and description.
Each day the file is zipped to about 2 GB and made available at 7:30 PM on a S3 bucket we will ask you to set up on AWS.
Here are links to the files we used in the snippets above: