This dataset represents aggregated event-based bars with 59 analytical and statistical data fields. Bars are continuous inside the regular market hours (9:30:00 to 16:15:00 ET), and quotes are carried forward from previous minutes. It includes OHLC information based on both trade and quote events
The US Equity Options Trade and Top-of-Book Quote provides high-quality intraday trade and top-of-book quote data with millisecond timestamps. It covers all options contracts that are traded on US OPRA exchanges
This dataset offers a detailed minute-by-minute analysis of market dynamics, featuring 59 data points derived from both trades and top-of-book quotes. Apart from detailed price, time and size information for the interval’s open, high, low and close, this dataset also provides statistics for min/max spread, trades at bid/mid/ask, as well as underlying quote events at interval open and close. Such granular insights make this dataset invaluable for algorithmic and quantitative trading, machine learning, market analysis, and academic research.
The US Equity Options Trade and NBBO Quote Dataset is a subset of the US Equity Options TAQ dataset, with non-NBBO quotes being filtered out, making it easier to process. The data contains consolidated last sale, NBBO quotes, open interest, end of day summary, and more, and offers detailed trade/sale condition codes and event type fields indicating information such as complex order, Intermarket Sweep Order (ISO), etc.
This dataset offers daily options analytics computed for the last-minute mid-price. It includes option theoretical price, implied volatility and greeks (delta, gamma, theta, vega, and rho), calculations are based on the Black-Scholes-Merton model
This dataset offers a detailed view of not only trades and their conditions and originating exchanges, but also the timing, size and conditions of the NBBO bid and ask present at the moment of the trade. Additionally, it contains data relating to the underlying asset’s trade and quote at the time of the option’s trade
US OPRA Options Contracts Security Master dataset provides key fields such as option root tickers, underlying tickers, contract tickers, option type, strike price, trade dates, and expiration
The US Options Security Master file is a single data file cataloging all the listed and delisted OPRA options which include stocks, ETFs, ETNs, Indexes, etc from 2012 to the present. Each entry in the file provides summary information such as option type, settlement type, underlying ticker and type.
This dataset provides the time, price, and size of daily open, high, low, and close for bid/ask/trade. For CBOE proprietary index options, indicative bid and ask data is provided. Additionally, Curb session close bid and ask details are available for SPX, VIX, and XSP options
The US Equity Options Trade Only Minute Bar dataset provides the open, high, low, close, VWAP and volume for each interval, plus the underlying asset’s bid and ask prices at interval open and close.
The US Equity Options Open Interest Data is based on the extraction of open interest events from the Options Pricing Authority (OPRA) feed, covering information from all the sixteen Equity Options exchanges.
This dataset is based on Options Clearing Corporation (OCC) data and offers detailed information on non-standard (adjusted) equity option contracts listed on US public exchanges
The OCC Listed Options Daily is a dataset for tracking all the options listed on the US public exchanges on a daily basis.
This dataset provides coverage of the extended Global Trading Hours (GTH) on CBOE starting from 20:00:00 to 09:15:00 Eastern time everyday from Sunday evening to Friday morning. The dataset encompasses trades and the corresponding NBBO quotes at the time of each trade for S&P 500® Index (SPX) options, Cboe Volatility Index® (VIX) options and Mini-SPX Index (XSP) options during these extended hours
This dataset provides coverage of the extended Global Trading Hours (GTH) on CBOE starting from 19:00:00 to 08:15:00 Chicago time everyday from Sunday evening to Friday morning. It encompasses trades and quotes for S&P 500® Index (SPX) options, Cboe Volatility Index® (VIX) options and Mini-SPX Index (XSP) options during these extended hours