Historical Options Data
Historical Options Overview
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Historical Options Price Datasets
SpiderRock has provided options analytics as part of its trading platform for over 15 years. SpiderRock analytics are used and trusted by large bank trading desks, large global hedge funds, and many proprietary trading firms. Our historical data and options analytics, including implied volatility (IV), Greeks, risk metrics, and volatility surfaces, are derived from the live data that powers the SpiderRock trading systems, helping to ensure its accuracy and consistency.
We offer robust historical options, market data, and analytics enabling our clients to gain insights and make data-driven decisions.
What Are Historical Options Price Feeds?
SpiderRock provides historical data feeds that include quotes, volume, and market sizes for each traded asset. SpiderRock also offers additional options analytics (implied volatility, Greeks, volatility surfaces, and skews) that augment the basic data allowing clients to better value assets, calculate risk, hedge assets, and identify trends.
Historical price feeds consist of archived records of the days’ trading in different formats and are delivered overnight to clients. The various formats are used to support different use cases or research needs. SpiderRock provides four general formats for options feed subscriptions: Closing Marks, Quote Intervals, at-the-money Volatility Minute Bars, and Options Print Records.
About Our Historical Options Price Data
Options Close Marks (EOD) – Created immediately after the market closes and when exchanges publish official marks. These records contain closing quotes and prices, as well as markup details for all outright options. SpiderRock uses algorithms that estimate the correct theoretical price when creating the SpiderRock closing marks.
Options Quote Intervals – Created every 5 minutes while options markets are open. They contain the call and put prices and sizes, as well as the underlying stock price for each outright options strike. They also include SpiderRock fitted surface implied volatilities and Greeks.
Options at-the-money (ATM) Volatility Minutes Bars – Created at 1-minute intervals for all at-the-money options markets by symbol expiration. Data in this set includes open/high/low/close values and volatility data.
Options Print Set – Created on every option print along with the quote, surface, size, and trade volume at the print time plus all relevant options analytics. The print set also contains exchange published print types (single, complex, auction, block, sweep, etc.) and SpiderRock estimates of the trade side (buy, sell). Records also contain T+1M and T+10M forward mark details to support trade cost analysis (TCA).
All datasets are well-documented with an extensive data dictionary. Data is point-in-time.
SpiderRock evaluates the data for validity and accuracy and performs statistical checks on the production databases daily to verify completeness.
SpiderRock includes multiple error codes and surface quality parameters to identify when input data does not support accurate options analytic calculations.
Historical Greeks Data
Our historical data packages contain all the option Greeks, including:
- Delta – Measures the rate of change of option price with respect to a 1-point change in the underlying price.
- Gamma – Measures the rate of change of Delta with respect to a 1-point change in the underlying price.
- Vega – Measures the rate of change of the option price with respect to a 1% change in volatility.
- Theta – Measures the rate of change of the option price with respect to 1-day change in time to expiration.
- Rho – Measures the rate of change of the option price with respect to a 1% change in the interest rate.
- Phi – Measures the rate of change of the option price with respect to a 1% change in the dividend rate.
Historical Implied Volatility Calculations
SpiderRock historical implied volatility data uses a family of proprietary pricing models to compute prices, implied volatilities, common options Greeks (delta, gamma, theta, vega, rho, phi, volga, and vanna), and various scenario risk slides for equity and futures options.
SpiderRock pricing models are solutions (sometimes numeric) to the standard generalized Black-Scholes equation. The general form of this equation has several regions of interest for different types of options and within different regions of the skew curve. SpiderRock’s general pricing model is a patchwork of distinct sub-models for a variety of regions of interest to address these different pricing situations in practice.
Detailed options pricing data is further discussed in technical notes provided upon request.
Get More With Options Data
We offer historical data sets with options analytics, including Greeks, implied volatility, and volatility surfaces.
Datasets are presented in intraday and EOD snapshots and aligned with no-arbitrage surfaces. Snapshot data has been battle-tested by live markets in the SpiderRock trading platform. Data is ideal for modeling volatility strategies and linkage to movements in the equities or futures underlying markets. Datasets have a clear alignment with SpiderRock’s live market databases to transition quickly from modeling and backtesting to implementing strategies in the market where it matters.
Other SpiderRock Data Products
We also offer multiple historical and real-time price datasets including options, volatility, and futures data.
FAQs About Our Historical Options Data
How do you gather your historical options data?
Our historical data comes from the live data and analytics that powers the SpiderRock trading system. Using the data as part of the trading platform continuously helps to ensure high accuracy and consistency. The data is also properly labeled, saved in a point-in-time format, and basic data cleaning is performed to improve the information’s quality. SpiderRock evaluates the data for validity and accuracy and performs statistical checks on the production databases daily to verify completeness.
Are Greeks and implied volatility data included?
The analytics, such as Greeks and implied volatility information are included. These enhanced analytics are used by a wide range of practitioners providing insights on market trends.
How are your options Greeks calculated?
The SpiderRock pricing models include a variety of solutions to the standardized Black-Scholes equation. Depending on the option type and market inputs, the pricing approach may be analytic (Black Scholes) or numeric (discrete dividend trees).
Why use Greek historical data when trading options?
How are your historical datasets delivered?
SpiderRock stores and delivers historical data in multiple ways. Data tables are organized for customer access and loaded into cloud-based storage overnight. This primary copy of daily subscription files is stored for daily downloads.
We also offer access to historical datasets on-demand via a restful API accessible via Python, C++ C#, Java, R, and Microsoft Excel. This solution enables customers to query the entire database for specific symbols and time frames along with a dashboard for charting and visualization tools. The API makes accessing the data faster for users and allows analysis and customizing specific data downloads.
Consult With Us
Please send your data and analytics inquiries to the SpiderRock data team via the contact form below.