US Options Daily Analytics
US Options Daily Analytics
Production
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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.
Dataset Info
SQL (ArdaDB)
CSV (S3)
Algoseek Dataset ID
US5004
Data Class
Options
Dataset Name ID
opt_greeks_daily
Data Format
Reference
Version
1.0
Time Granularity
Daily
Region
US
Data Type
EOD
Universe
All equity options contracts from US exchanges
Update Frequencies
End of day
Start Date
2017-01-01
End Date
Ongoing
Update Frequency
1 Day
Total Size
101 GB
Annual Size
13.7 GB / year
Update Size
54.4 MB
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
Included in Data Research Packages: