Historical Equity Options Volatility Database – Vol2G

The Analytics Database for US Stock and Equity Options Pricing and Volatility

Out of our real-time trading platform, SpiderRock delivers a comprehensive volatility database and a suite of extended data products designed to meet the needs of institutional and academic researchers who depend on high-quality historical volatility analytics.

What is Vol2G?  

VOL2G is SpiderRock’s volatility data bundle which features implied at-the-money volatilities and skew slopes for fixed-term option expirations at multiple points ranging from 5 to 504 days. The dataset also includes the prices and implied volatilities for all the observed option strikes and synchronized open, high, low, close on underlying prices and volume data, allowing the comparison between implied and realized volatility. The dataset facilitates the analysis and removal of event-driven volatility by documenting earnings dates and earnings-driven volatility. VOLG2 users receive a complete set of reference data, including security IDs, asset definitions, and corporate action adjustments needed to value and backtest options portfolios.

About Our VOL2G Bundle

VOL2G has everything you need for high-quality equity volatility research and analysis.

Data Scope

  • Over ten (10) years of historical EOD options data
  • All US exchange-traded equity options, indexes, ETFs, ADRs
  • Bid/Ask option pricing, volume, open interest
  • Underlying stock open, high, low, close prices back to 2007

Analytics

  • Calculated bid/ask implied volatility & theoretical surface prices with Greeks
  • Multi-point at-the-money smoothed constant maturity curves
  • Skew curves and estimated skew slopes

Insights

  • Volatility reported as both censored (without earnings events) and uncensored (as observed)
  • Implied stock earnings estimates and historical earnings moves
  • Point-in-time forecasted dividends and actual corporate action adjustments
  • Supporting reference data including security ID and segmented industry sector codes
  • Backtest-ready with daily returns

Product Offerings

VOL2G Database 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
-

Individual / Add-On Tables

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
-
-
-
-
Options
Options Close Marks
Option Price History ID
Option Price History HID
Options 10 Minute Bars
Options Print Set
Frequency
EOD
30 Min
5 Min
10 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

Why use our historical options volatility data?

 

The datasets in the VOL2G bundle are excellent for analyzing relative movements in volatility across assets over longer time scales (days to years). It removes the individual expiring strikes’ complexity and supports the study of volatility strategies at fixed maturity points. This makes it perfect for using implied volatility data in conjunction with stock data and other alternative datasets such as credit card purchases, social media data, weather, and other event-driven volatility for individual companies or groups of assets.

Extending the power of VOL2G

With VOL2G you are not limited to daily analysis or the limitations of end-of-day data. Since SpiderRock manages and records real-time market data and analytics as part of our Platform operations, the VOL2G dataset can be enhanced with add-on files at intraday time scales, including intraday option surfaces and options market price snapshots, both as frequent as 5 minutes. With SpiderRock you can also access daily prints, fully marked-up with options analytics, and minute bar data for both the underlying equities (stocks, ETFs, etc.) and for options at-the-money volatility, by term.

With all of this data on the same basis, you can easily extend your historical analysis to the intraday event horizon and identify additional opportunities. And with the SpiderRock Platform, you can access our real-time data storage engine SRSE and link your analysis directly to the live market and trade execution service.

Flexible Delivery

SpiderRock understands that workflow is key to efficient research. VOL2G and SpiderRock datasets are available in multiple formats, independently or in the VOL2G bundle.

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.

Other Market Datasets

We also offer multiple historical and real-time price datasets including options, volatility, and futures data. These datasets are well-suited to extend your strategy across multiple asset classes and markets.

Contact SpiderRock

Contact SpiderRock at gwtsales@spiderrock.com for more information or to sign up for trial subscription to the API.

Our experienced SpiderRock support desk, step-by-step installation and access guidelines, and detailed product documentation and technical white papers describing our option analytics.