US Options Daily Analytics

US Options Daily Analytics
Production
·

Data Class

Options

Data Type

EOD

Delivery Method

CSV

Vendor

algoseek

Region

US

Documentation

Open Link

The US Options Daily Analytics 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: Analytical formulas for European options and finite-difference pricing model for American options. As additional information, the US Options Daily Analytics dataset provides underlying mid-price as of calculation minute and implied volatility convergence codes.

Browse by tags:

Daily Analytics Options Greeks Implied Volatility Black-Scholes Delta Gamma Theta
Dataset Info
Dataset Name ID
opt_greeks_daily
Algoseek Dataset ID
US5004
Data Format
Reference
Data Class
Options
Data Type
EOD
Time Granularity
Daily
Region
US
Universe
All equity options contracts from US exchanges
Version
1.0
Update Frequency Options
End of day
 Introductory Demo Info
Start Date
01/01/2023
End Date
12/31/2023
Access Methods
SQL
Description
One year of data (2023) for the full universe of symbols
 Historical Info
Data Size
13.7 GB / year
Update Size
54.4 MB
Update Frequency
1 Day
Start Date
2017-01-01
End Date
Ongoing

SQL (ArdaDB)

Easily connect to your data using SQL with a database connection. No complex setup, just instant access to your data - run queries, retrieve insights, and manage data effortlessly. Secure, fast, and built for developers, analysts, and teams who need reliable access without the hassle.
Delivery Info
Data Fields
Preview Data
# name data type description

CSV (S3)

Easily connect to your data stored in S3 and access CSV files without hassle. Streamline data retrieval with fast, secure, and scalable access, whether for analytics, processing, or integration.
Delivery Info
S3 Bucket Name
us-options-daily-greeks-yyyy
Update Time
07:00 ET
S3 Bucket Path
yyyymmdd/s/sss.csv.gz
S3 Bucket Path Description
One csv.gz file per ticker and trading day where yyyymmdd is year, month and day, s - a single letter in A-Z range, sss - symbol
S3 Start Year
2017
S3 End Year
N/A
S3 Bucket Size
13.6 GB / year
Sample Data File
AAPL data for Jun 20, 2023
Data Fields
Preview Data
# name data type description
1 TradeDate String Trading date in yyyymmdd format
2 Ticker String Symbol name
3 CallPut String Option contract type: 'C' for Call or 'P' for Put
4 OptionStyle String Option exercise style: 'A' for American or 'E' for European
5 Strike Decimal A fixed price for buying or selling an option contract
6 Expiration String The expiration date of option contract in yyyymmdd format
7 YearsToMaturity Decimal The amount of time in years until the contract expires
8 DaysToMaturity Integer The number of days until the contract expires
9 UnderLastMidPrice Decimal Underlying NBBO mid-price at the last minute traded
10 UnderLastMidTime String The minute bar for UnderLastMidPrice
11 LastBidPrice Decimal The option NBBO bid price at the last minute traded
12 LastBidTime String Timestamp for LastBidPrice
13 LastMidPrice Decimal The option NBBO mid-price at the last minute traded
14 LastAskPrice Decimal The option NBBO ask price at the last minute traded
15 LastAskTime String Timestamp for LastAskPrice
16 MidImpliedVol Decimal The implied volatility as per LastMidPrice
17 MidTheoPrice Decimal The theoretical price calculated for LastMidPrice
18 MidDelta Decimal The change in option price with respect to the underlying price
19 MidGamma Decimal The change in option Delta with respect to the underlying price
20 MidTheta Decimal The change in option price with respect to time
21 MidVega Decimal The change in option price with respect to implied volatility
22 MidRho Decimal The change in option price with respect to interest risk-free rate
23 ImpliedVolConvergence String Convergence code for implied volatility