OPTIONS DAILY ANALYTICS
Greeks and implied volatility you can actually audit.
Most teams either build a fragile valuation pipeline or buy analytics they cannot verify. algoseek computes end-of-day price, implied volatility, and the full Greek set from the complete OPRA feed, and ships the inputs alongside every value.
Options Daily Analytics (sample)
EOD
| Field | Type | Example |
|---|---|---|
| Ticker | string | AAPL |
| CallPut | string | C |
| OptionStyle | string | A |
| Strike | decimal | 50 |
| MidTheoPrice | float | 100.08578 |
| MidImpliedVol | float | 0.36714 |
| MidDelta | float | 1.0 |
| MidGamma | float | 0.0 |
| ImpliedVolConvergence | string | IntrVal_FlatExtrapol |
Computed, not guessed
The hard part of options analytics is not the formula. It is everything around it.
Any textbook gives you Black-Scholes. What it does not give you is a clean price to feed it, and the Greeks that come out look plausible and are quietly off. algoseek hands you the number and a label for how much to trust it.
Exercise style on every contract
Each record carries the option’s exercise style, American or European, so the contract is valued in the correct framework.
A convergence status on every value
Each implied volatility is tagged: solved directly, interpolated from nearby contracts, extrapolated, or flagged where it could not converge. You know how each number was reached before you build on it.
Every contract, every exchange
Derived from the complete OPRA feed, over 1.5 million contracts a day, with Global Trading Hours activity included rather than dropped.
What’s in the dataset
One end-of-day record per contract, with the valuation and the risk.
Theoretical price, implied volatility, and the full Greek set for every listed US option, keyed to the contract. Delivered end of day as CSV or SQL.
Why it holds up
Analytics are only as good as the feed and the method behind them.
Two teams can run the same formula and get different Greeks, because the inputs and the modeling choices differ. This is where most option analytics quietly diverge.
algoseek Options Daily Analytics
Computed from the complete OPRA feed, every contract on every US options exchange.
Exercise style tagged per contract, American or European, not collapsed into one.
A convergence status on every value: solved directly, interpolated, or flagged.
The NBBO bid, mid, and ask and the underlying’s last mid ship alongside the result.
Global Trading Hours activity included, not dropped.
Analytics you cannot see into
Computed on a partial or sampled feed, so thinly traded contracts carry the least reliable numbers.
One treatment applied to everything, with American and European exercise lumped together.
A bare number, with no pricing inputs attached and no flag for when the volatility could not be solved.
Global Trading Hours activity dropped, so the picture is incomplete outside the regular session.
Same pipeline, so the Greeks line up with the prices they were computed from, no reconciliation between vendors. Take just the daily analytics, or get them inside the Options Historical Research or Multi-Asset packages.
Explore the Data
Query the equity security master directly with Python or SQL. Up to a year of production data, no agreement, no credit card needed.
Talk to our team
Core team from the trading side. Integration help, licensing for redistribution, and pipeline design.