US Options Open Interest Guide
US Options Open Interest Guide
US Options Open Interest Guide
version 1.1 (Jul 2023)
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DATA ORGANIZATION AND FILE FORMAT 4
algoseek’s Open Interest dataset for US Options on Equity, ETF, ETN, and ADRs is based on the extraction of open interest events from the Options Pricing Authority (OPRA) feed, which includes the consolidated last sale and quotation information from the 16 option exchanges that the Securities and Exchange Commission has approved.
OPRA is a securities information processor that disseminates, on a current and continuous basis, information about transactions that occurred on the options markets.
Each trade that is executed on an options exchange, as well as each price change quoted on an options exchange is reported to OPRA. Also, OPRA calculates and identifies the National Best Bid and Best Offer (NBBO – highest bid and lowest offer). OPRA consolidates this information and disseminates it via computer-to-computer linkages to the financial community in the U.S. and abroad.
algoseek provides Options Open Interest data in plain-text CSV files. Data files have fixed headers on top and rows of data corresponding to individual events. By default, data is organized into one file per symbol per trading day. For example, all data for ticker AAPL on Mar 3, 2020, are stored in one CSV file.
Table 1 (below) provides the name, description, and data type for each data field (column) in the Options Open Interest data file.
Table 1: CSV File Fields Schema
Field | Type (Format) | Description |
Date | string (yyyymmdd) | Trading date in yyyymmdd format |
Timestamp | string (HH:MM:SS.mmm) | Event timestamp in milliseconds
|
Ticker | string | Symbol name |
CallPut | string | Option type (Call or Put) displayed as “C” or “P” |
StrikePrice | decimal | Fixed price for buying or selling an option contract |
ExpirationDate | string (yyyymmdd) | Expiration date of option contract in yyyymmdd format |
EventType | string | Byte code. 34 - calls, 2 - puts |
Action | string | Recorded as OI - open interest |
Price | decimal | Recorded as zero for open interest |
Quantity | integer | Underlying asset quantity |
Event timestamp is in milliseconds, ET. Field format: HH:MM:SS.mmm where
HH: Hour
MM: Minute
SS: Seconds
mmm: Milliseconds
For example, 09:31:01.723
