Downloadable Daily Option Trades Data File With Analytics and Greeks

Overview

One row for each trade reported by OPRA for options on stocks, ETFs and other types of products listed on NYSE, Nasdaq and BATS exchanges – roughly 1 million rows per day.
Published shortly after the close of the current trading day
Each day’s data is split among several files based on the first letter of the option root and compressed using zip format
Provides bid/ask snapshot of the option contract trades and the underlying at the time of trade
Provides option Greeks – delta, vega, implied volatility (IV) and today’s IV change

Index	Name	Type	Description
1	UndSymbol_Comstock	A	Underlying symbol
2	UndName	A	Name of the underlying
3	UndEquityType	A	Indicates underlying is Common Stock, ETF, ETN, etc.
4	OptSymbol	A	Full option contract symbol with root, strike, expiration and type
5	OptExpiration	D	Expiration Date formatted M/d/yyyy
6	OptExpirationCycle	A	Monthly, Weekly or LEAPS
7	OptStrike	N	Strike as decimal
8	OptType	A	CALL or PUT
9	TradeTime	TS	Timestamp of trade formatted as M/d/yyyy HH:mm:ss A
10	TradeQuantity	N	Number of Contracts traded
11	TradePrice	N	Price
12	OptNBBOBid	N	Option contract best bid
13	OptNBBOAsk	N	Option contract best ask
14	OptNBBOBidSize	N	Option contract bid size on exchange with best bid
15	OptNBBOAskSize	N	Option contract bid size on exchange with best ask
16	HedgeBid	N	Current Bid of the underlying/hedge
17	HedgeAsk	N	Current Ask of the underlying/hedge
18	OptOpenInterest	N	Open interest in this option contract
19	TradeExchange	A	Exchange where the trade occurred
20	TradeCondition	A	Trade Condition
21	TradeVolatility	N	Implied Volatility of trade
22	VolatilityChange	N	Change in Implied Volatility since previous close
23	TradeDelta	N	Delta
24	TradeVega	N	Vega
25	OptExchangesTraded	A	All exchanges where option is traded using OCC letter codes to represent an exchange.

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