Historical Stocks

Historical Options

Historical Futures

Volatility Surfaces

Historical Product Offering

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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 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
Frequency
History
Prices
Volume
Size
Greeks
Implied Vol
Vol Surface
Stock Close Marks
EOD
Jan-10
X
X
X
-
-
-
Stock Minutes Bars
1 Min
Jan-10
X
X
-
-
-
-
Stock Print Set
Trades
Jan-16
X
X
X
-
-
-
Stock Imbalances
Every Tick
Aug-20
X
X
-
-
-
-
Equity Options
Frequency
History
Prices
Volume
Size
Greeks
Implied Vol
Vol Surface
Options Close Marks
EOD
Jan-10
X
X
X
X
X
X
Options Price History ID
30 Min
Sep-14
X
X
X
X
X
X
Options Price History HID
5 Min
Jan-20
X
X
X
X
X
X
Options 1 Minute Bars ATM
1 Min
Aug-20
X
-
-
X
X
-
Options Print Set
Trades
Jan-16
X
X
X
X
X
X
US Futures Indexes, ETFs, Index Options
Frequency
History
Prices
Volume
Size
Greeks
Implied Vol
Vol Surface
Futures Close Marks
EOD
Jan-19
X
X
-
-
-
-
Futures Minute Bars
1 min
Jan-16
X
X
-
-
-
-
Futures Print Set
Trades
Jan-16
X
X
X
-
-
-
Options (F) Close Marks
EOD
Jan-10
X
X
-
X
X
X
Options (F) Price History HID
5 min
Aug-20
X
X
X
X
X
X
Options (F) Minute Bars ATM
1 min
Aug-20
X
-
-
-
X
-
Options (F) Print Set
Trades
Jan-19
X
X
X
X
X
X
Options Volatility Surfaces
Frequency
History
Prices
Volume
Size
Greeks
Implied Vol
Vol Surface
Surface Curves EOD
EOD
Jan-10
X
-
-
X
X
X
Fixed Grid Surface EOD
EOD
Jan-10
-
-
-
-
X
X
Fixed Term Surface ATM EOD
EOD
Jan-10
-
-
-
-
X
x
Surface Curves ID
30 Min
Mar-16
X
-
-
X
X
X
Fixed Grid Surface ID
30 Min
Mar-16
-
-
-
-
X
X
Fixed Term Surface ATM ID
30 Min
Mar-16
-
-
-
-
X
X
Surface Curves ID
5 Min
Aug-20
X
-
-
X
X
X
Fixed Grid Surface ID
5 Min
Dec-20
-
-
-
-
X
X
Fixed Term Surfaces ATM ID
5 Min
Dec-20
-
-
-
-
X
X
VOL2G Equity Options Volatility Bundle
Frequency
History
Prices
Volume
Size
Greeks
Implied Vol
Vol Surface
Stock Close Marks
EOD
Jan-10
X
X

-

-
-
-
Options Close Marks
EOD
Jan-10
X
X
X
X
X
X
Fixed Grid Surfaces
EOD
Jan-10
-
-
-
-
X
X
Fixed Term Surfaces ATM
EOD
Jan-10
-
-
-
-
X
X
Volatility History by Ticker
EOD
Jan-10
X
X
-
X
X
X
Equity References Tables
EOD
Jan-10
X
X
-
-
-
-

Consult With Us

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