We’ve recently added content to our site to describe our product offerings in the historical data and analytics space.
SpiderRock has a suite of historical data products in multiple asset classes and the ability to deliver data via flat files and Restful API. Our historical stock datasets recap the days’ trading activity and files show open, high, low, close, and volume data for stocks, ETFs, and indexes from US exchanges. We also offer options data, which is captured directly from the OPRA market data feeds. Our options analytics include implied volatility, Greeks, and theoretical surfaces derived from underlying markets. 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.
Volatility is a crucial feature of the options market and superior options data forms the foundation for insightful volatility analysis. SpiderRock operates servers that continually compute implied volatility surfaces for all option expiration months with live market quotes. These surfaces reflect a SpiderRock best fit of current markets and are archived at regular intervals for historical analysis for all options on stocks, ETFs, and options on futures indexes. SpiderRock also offers a new historical equity options volatility database called VOL2G. This volatility data bundle contains over 10 years of historical EOD options data and includes all US exchange-traded equity options indexes, ETFs, and ADRs.