Equity Options Intraday Bar

Minute-level aggregated analytics for U.S. equity options derived from the OPRA consolidated feed. Coverage spans all listed equity options since 2012.

Trade and quote (TAQ) minute bars provide 59 analytics per interval, including OHLC from both trades and quotes, NBBO update counts, bid-ask spread metrics, trade-at-bid/mid/ask statistics, and VWAP. A continuous variant fills gaps in the time series so that every minute has a bar, regardless of whether trading occurred.

Trade-only minute bars provide OHLC, volume, VWAP, and underlying asset bid/ask snapshots at the start and end of each interval. All variants are organized by trading date and option symbol for efficient historical processing, options intraday OHLC analysis, and intraday options research.

Trade and Quote Minute Bar

The U.S. Options Trade and Quote (TAQ) Minute Bar dataset provides minute-level aggregated analytics derived from consolidated OPRA trades and top-of-book quotes for U.S. listed options. Each one-minute bar contains ~60 analytical and statistical fields, including Open, High, Low, Close (OHLC) prices based on trade and quote events, along with detailed measures such as minimum and maximum bid-ask spread, trade counts at bid/mid/ask, and quote snapshots at the start and end of each interval. These features enable precise analysis of price formation, liquidity, and execution behavior at the intraday level. The dataset covers the regular options trading session from 09:30:00 to 16:15:00 Eastern Time and Curb session to 17:00:00 Eastern Time if it is available, and is derived from OPRA consolidated last-sale and quotation data.

Trade Only Minute Bar

The U.S. Options Trade-Only Minute Bar dataset provides trade-derived, minute-level summaries for U.S. listed options, aggregated from executed trades disseminated via the Options Price Reporting Authority (OPRA). Each one-minute bar includes Open, High, Low, Close (OHLC) prices calculated from trades, along with Volume and VWAP for the interval. To support option-to-underlying relationship analysis, the dataset also provides the underlying asset’s bid and ask prices at the start and end of each minute. Coverage spans all U.S. equity options exchanges reporting via OPRA.