| Options
Data
Tick Data has once again responded to the demands of financial market
professionals by offering the first commercially-available, research-ready
database of historical intraday options data. Developed in conjunction
with the Chicago Board Options Exchange (CBOE), the Tick Options Database
(TOD) contains historical tick-by-tick trade and quote data for all
US listed equity options contracts reported by the Options Price Reporting
Authority (OPRA) back to July 2, 2004. The Tick Options Database
takes advantage of Tick Data’s existing corporate action databases
to provide option & underlying symbol mapping, symbol changes, CUSIP
changes, mergers, stock splits, stock dividends, etc. All data prior
to July 1, 2008 contains a timestamp to the second, and all data after
July 1, 2008 contains a timestamp to the millisecond.
Our Data Collection Process
We obtain ALL of our US equity options data directly from the CBOE
(i.e. we do not collect the data via a feed). Our US options database
is based on OPRA data, which includes level 1 quote and trade data from
all of the options exchanges that contribute to the Options Price Reporting
Authority.
How We Filter the Data
Even though we obtain our equity and options data directly from the
exchanges, this raw data is not research-ready. Errors persist even
in exchange-sourced data. The files sent by exchanges can have gaps
and omissions, and once the data is complete, the symbols are still
not mapped for any corporate actions that may have occurred in the past.
Therefore, we have developed several processes for adding significant
value to the data and making it truly ready-to-use:
- Ticker Mapping – as with our equity data, all historical
options data is mapped to current symbols by a proprietary process
we developed to adjust historical data for all ticker actions. These
include exchange listing changes, mergers, acquisitions, divestitures,
as well as splits and dividends.
For Example: Citigroup has traded as “C” since 11/30/00.
Prior to this, it traded as CCI between 11/30/00 and 10/8/98 and as
TRV before 10/7/98. If “C” is queried in other historical
databases, users may not know whether they are viewing Citigroup or
Chrysler data. However, mapping option symbols is more complex,
as additional events can affect options symbols. For example, when
the underlying equity of an option has an odd stock split (3:2, 4:5,
etc.), the option symbol changes even though the underlying equity
symbol does not. When options that are originally listed as a LEAPS®
approach expiration and convert to standard options contracts, the
symbols also change.
- Condition Code Filtering – trade and quote data is
filtered for various condition codes that denote out of sequence trades
& quotes, cancelled trades, and other conditions that require
data points to be removed prior to use by a trader.
- Data Validation – daily bars are built from the underlying
tick data for each symbol in the universe and compared to third-party
end-of-day data sources to ensure accuracy of Ticker Mapping, stock
splits, and prices. In addition, our analysts visually inspect
1-minute bars for price accuracy.
- Custom Symbol Sets and File Configurations – we allow
our clients to choose the entire universe of underlying equity symbols,
or select a custom symbol subset across a custom date range.
We also offer clients flexibility in the data’s final format
by allowing them to choose data granularity (tick or 1 minute bars),
include/exclude regional trades, include/exclude pre- or post-market
trades, etc.
- Stock Splits, Stock and Cash Dividends – we utilize
our comprehensive database to automatically adjust historical prices
for stock splits and dividends.
One-Minute Options Database (OMOD)
For traders and analysts who measure frequency in minutes or hours
rather than seconds or fractions of seconds, we offer our One-Minute
Options Database (OMOD). Each one-minute interval includes Date, Time,
Open, High, Low, Close, and Volume.
Add-Ons for US Option Data
For our clients who order our US options data, we offer the following
add-on products:
Security Master Library – As an add-on to our US Options
product, we offer a product called the Security Master Library to provide
both a GUI-based and API access to our proprietary Ticker Mapping database.
For more details, see Security Master
Library.
Data Management Software
Clients who order "as-traded" tick-by-tick options data receive
our Time Series Builder software.
The Time Series Builder (TSB) allows users to extract equity and options
data into custom ASCII files, converting as-traded data into mapped,
adjusted research-ready data. The TSB also enable users to use tick
data to build time series of any granularity (e.g. x-ticks per bar,
y-minutes per bar). Download Time Series Builder
Demo with Sample Data.
Related Links
Questions? Please contact
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