| 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), our Tick Options Data
(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. TOD takes advantage of
Tick Data's existing corporate action databases to provide option and
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
after the close (i.e. we do not collect the data via a real-time feed).
Our US options data 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.
- Custom Symbol Sets and File Configurations – we allow
our clients to choose the entire universe of underlying equity symbols,
or select a custom underlying 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 & Dividends – we utilize our comprehensive
database to automatically adjust historical prices for stock splits
and dividends.
One-Minute Options Data (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 Data (OMOD). Each one-minute interval includes trades with 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 GUI and Command Line access to our proprietary Ticker Mapping database.
For more details, see Security Master
Library.
Data Management Software
Clients who order TOD or OMOD receive our Time
Series Builder software. The Time Series Builder (TSB) allows users
to extract options data into custom ASCII files, converting as-traded
data into time series (a.k.a. "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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