Options

US Options Continuous Trade and Quote Minute Bar

The U.S. Options Continuous Trade and Quote Minute Bar dataset provides one-minute, continuous bar for U.S.-listed options, aggregating trade and quote (TAQ) activity into a consistent intraday time series. Bar are continuous during regular market hours (9:30 a.m. to 4:15 p.m. ET). When no new quote updates occur within a given minute, the most recent bid and ask are carried forward, ensuring a gap-free series suitable for time-based analytics and modeling. Each bar includes Open, High, Low, and Close (OHLC) values derived from both trade executions and quote events. The dataset contains ~60 analytical and statistical fields, including VWAP, minimum and maximum bid-ask spreads, NBBO quote counts, and trade counts executed at bid, mid, and ask prices. To support precise bar boundary interpretation, the dataset also includes underlying quote states at the opening and closing of each bar. This dataset is designed for intraday options analytics, supporting algorithmic trading, quantitative research, machine learning workflows, and academic studies that require continuous minute-level options market data with rich microstructure features.

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