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. 

Stocks

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.

Futures

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 stocks, options, and futures

SpiderRock historical data covers multiple asset classes and includes multiple formats. 

Stocks

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.

Futures

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.

Volatility Surfaces

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.

VOL2G Database

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.

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.

Volatility Surfaces

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.

VOL2G Database

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

Stocks
Stock Close Marks
Stock Minutes Bars
Stock Print Set
Stock Imbalances
Frequency
EOD
1 Min
Every Trade
Every Tick
History
Jan-10
Jan-10
Jan-16
Feb-19
Prices
X
X
X
X
Volume
X
X
X
X
Size
X
-
X
-
Greeks
-
-
-
-
Implied Vol
-
-
-
-
Vol Surface
-
-
-
-
Equity Options
Options Close Marks
Options Price History ID
Options Price History HID
Options 1 Minute Bars ATM
Options Print Set
Frequency
EOD
30 Min
5 Min
1 Min
Every Trade
History
Jan-10
Jan-15
Jan-20
Jan-20
Jan-14
Prices
X
X
X
X
X
Volume
X
X
X
-
X
Size
X
X
X
-
X
Greeks
X
X
X
X
X
Implied Vol
X
X
X
X
X
Vol Surface
X
X
X
-
X
US Futures Indexes, ETFs, Index Options
Futures Close Marks
Futures Minute Bars
Futures Print Set
Options (F) Close Marks
Options (F) Price History ID
Options (F) Price History HID
Options (F) Minute Bars ATM
Options (F) Print Set
Frequency
EOD
1 min
Every Trade
EOD
30 min
5 min
1 min
Every Trade
History
Jan-19
Jan-16
Jan-16
Jan-10
Jan-15
Jan-20
Jan-20
Jan-14
Prices
X
X
X
X
X
X
X
X
Volume
X
X
X
X
X
X
-
X
Size
-
-
X
-
X
X
-
X
Greeks
-
-
-
X
X
X
-
X
Implied Vol
-
-
-
X
X
X
X
X
Vol Surface
-
-
-
X
X
X
-
X
Options Volatility Surfaces
Surface Curves EOD
Fixed Grid Surface EOD
Fixed Term Surface ATM EOD
Surface Curves ID
Fixed Grid Surface ID
Fixed Term Surface ATM ID
Frequency
EOD
EOD
EOD
10 Min
10 Min
10 Min
History
Jan-10
Jan-10
Jan-10
Jun-19
Feb-19
Jan-18
Prices
X
-
-
X
-
-
Volume
-
-
-
-
-
-
Size
-
-
-
-
-
-
Greeks
X
-
-
X
-
-
Implied Vol
X
X
X
X
X
X
Vol Surface
X
X
x
X
X
X
VOL2G Equity Options Volatility Bundle
Stock Close Marks
Options Close Marks
Fixed Grid Surfaces
Fixed Term Surfaces ATM
Volatility History by Ticker
Equity References Tables
Frequency
EOD
EOD
EOD
EOD
EOD
EOD
History
Jan-10
Jan-10
Jan-10
Jan-10
Jan-10
Jan-10
Prices
X
X
-
-
X
X
Volume
X
X
-
-
X
X
Size

-

X
-
-
-
-
Greeks
-
X
-
-
X
-
Implied Vol
-
X
X
X
X
-
Vol Surface
-
X
X
X
X
-

Consult With Us

Please send your data and analytics inquiries to the SpiderRock data team via the contact form below.

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