Downloadable Daily Option Trades Data File With Analytics and Greeks

Overview | Sample | File Layout | Pricing | Contact

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

Sample

Download Option Trades Data Feed Sample

File Layout

IndexNameTypeDescription
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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Pricing

Single User or Small Firm: $500/month

Redistribution: Contact Us

Contact Us

To subscribe or to ask a question about the data feeds or widgets contact us by email at data@marketchameleon.com .