Historical Product Offering
Consult With Us
Historical Data & Analytics
SpiderRock has a suite of historical data products in multiple asset classes and the ability to deliver this data to a broad range of clients who don’t require the high-speed infrastructure or routing engines of the SpiderRock Trading platform.
We offer robust historical market data and analytics enabling our clients to gain insights and make data-driven decisions.
Historical Price Data for Stocks, Options, and Futures
SpiderRock historical data covers multiple asset classes and includes multiple formats.
Our historical stock datasets recap the days’ trading activity in the underlying security. Files show open/high/low/close/volume data for stocks, ETFs, and indexes from US exchanges. Delisted stocks are included for backtesting purposes.
Options & Greeks
Our options data is captured directly from the OPRA market data feeds. Our analytics include implied volatility, Greeks, and theoretical surfaces derived from underlying markets with critical supporting reference data to ensure highly accurate estimates, resulting in tradable market data.
Our futures datasets provide individual prices, prints, volume, and other price-related data for all exchange-traded products listed on the CME, CBOT, NYMEX, and COMEX. The wide range of futures data includes indexes, treasuries, currency, metals, agriculture, energy, and more.
Historical Price Data for Volatility
Volatility is a crucial feature of the options market and superior options data forms the foundation for insightful volatility analysis. Smoothed volatility curves with a constant maturity format allow for easy incorporation of data into models and analysis. Researchers can use skew curves on a standard grid as indicators of directional market pressure.
Theoretical volatility surfaces are models of the fair market value of an option between the bid and offer. These surfaces reflect the best fit of current markets and are subject to change if or when market conditions change.
A new SpiderRock analytics database for US stock and equity options pricing and volatility designed to meet the needs of institutional and academic researchers who depend on high-quality historical volatility analytics.
Data & Analytics Product Offerings
US Futures Indexes, ETFs, Index Options
Options Volatility Surfaces
VOL2G Equity Options Volatility Bundle
Other SpiderRock Data Products
We also offer multiple historical and real-time price datasets including options, volatility, and futures data.
Consult With Us
Please send your data and analytics inquiries to the SpiderRock data team via the contact form below.