HISTORICAL QUOTES

Greeks Never Looked So Good!

Raw bid-ask markets from exchanges or pass-through providers make it tough to get value out of their mass of historical data. Downloading, parsing and calculating accurate implied volatilities off their data sets is a chore.

This is where ORATS comes in. Whether you FTP or use and API, the near end of day market data is here for you. 

We also offer 2-minute snapshots of market data quotes.

Now you can get the best greeks, theoretical values and implied volatilities, easily. ORATS intensive smoothed market value (SMV) process creates a great volatility surface that make solid implied volatilities, greeks and theoretical values. Our method of delivery and file structure make using the feed a breeze. 

Get ORATS historical quotes edge, all zipped up and ready for you. We also have real-time offering. Contact us for details.

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Dividends

Historical Quotes Have It All...

  1. All standard options: weeklys, monthlys, quarterlys, for all US equity optionable symbols. 
  2. Ticker, expiry, strike, bid, ask, volume, open interest.
  3. Stock price bid-ask midpoints. Index implied futures prices and spot prices. Interest rates, dividend yields and residual yields (ie from hard-to-borrow).
  4. Implied volatilities for bid, mid, smoothed, forecasted and ask.
  5. Delta, gamma, theta, rho, vega.
  6. 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.

SMVquotesSPXsnippet20150717

Sample of the historical options data. Can you squint? Download this snippet by clicking here.


2-Minute Raw Snapshots

Download this snippet here.

Bid - asks snapped before the close, giving you the highest quality markets back to 2007

HistoricalQuoteSnipWe 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.

See our blog on historical options quotes here.

Get an example full day, 10/16/18 of the file (warning large file 36 MB) HERE. 

Get a smaller snippet of the file (230 KB) HERE.

 

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:

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Note that there are no headers on the daily files and the timestamps are the file names.

Here are the header descriptions:

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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.

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Within each zip are files for the options and equity prices:

 

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Here are links to the files we used in the snippets above:

http://assets.orats.com/20190819.110000.Options.ORATS.txt (93 MB)

http://assets.orats.com/20190819.110000.Equities.ORATS.txt (2 MB)

Simply put, the historical quotes by ORATS are a distillation of all of the research and processes brought by experienced market makers, traders and technicians at ORATS.  

The SMV smoothing calculation is complex and hard to master, so much so that few professionals in the industry attempt it. But ORATS does all the hard work and makes this data available as an easy to consume format.

The beauty of this is that you don't have to even understand all the smoothing nuances to make use of our enhanced quotes feed. Everyone who needs accurate and robust options market quotes and greeks for any purpose at allprofessional equities traders, analysts, personal investors, or options traders to name a fewwill find the ORATS feed incredibly useful.

 

 

We also offer intraday quote feeeds so you will already understand the value of the feed when you are ready to step it up to real-time.

 

Implied volatilities are an unparalleled resource for both an alternative price perspective as well as a highly sensitive leading indicator for anticipated market movement.

 

Put ORATS on your side. Get the value of experienced ex-options market makers, awesome tech and support staff, professional dividend consultants, top partner-firms, and intensive implied volatility analysis, all working to produce the best options market quotes files for you.  Get a quote now.

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