Tick Data 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 Level I quote data for all listed U.S. equity and index 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.
We offer options data by underlying symbol. Clients can choose the entire universe of underlying equity and index symbols, or select a subset of underlying symbols across a desired date range. We provide the entire option chain for each symbol and date range ordered; all active options contracts are included (each in a separate file). However, we do not offer licenses on options contracts individually.
Important Links/Information
- Options Data FAQ
- Options Data File Format Guide
- U.S. Options Sample Data
- Call Tick Data for Pricing or to Place an Order: +1.703.757.1370
Our Data Collection Process
We source all U.S. options data directly from the CBOE after the close via end-of-day download (i.e. we do not collect the data in real-time). While the data is provided by the CBOE, it contains trade and Level I quote data for all U.S. options exchanges that report to OPRA.
Even though we obtain equity 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 that day. Therefore, we validate the data and collect the information requried to map it for all corporate actions that affect underlying symbols. For example, the current symbol ‘C’ for Citigroup is actually C + CCI + TRV + PA. In order to properly show Citigroup options data, our software has the TickerMapping information needed to link the raw as-traded data together into a cohesive time series.
Data Management Software
Clients who order TOD or OMOD receive our TickWrite 7 data management software. TickWrite allows users to extract options data into custom ASCII files, converting as-traded data into research-ready time series (“mapped”) data. TickWrite also enable users to build trade data time series of any granularity (i.e. tick bars, minute bars, etc.).
As-Traded vs. Time Series Data
When clients order options data from Tick Data, they receive raw, as-traded data, along with our TickWrite data management software that converts the as-traded data into time series data. Time series (or “mapped”) data is created by linking together the data for all symbols used by that corporate entity throughout its history. Note that no reference data is provided to reveal what events were linked to map symbols; the information is contained in encrypted metafiles accessible only by the software. TickWrite uses this information to output time series data in ASCII files, one file per options contract, mapped as of the the date of the last metafile download.
Trade-Only Data and One-Minute Options Data (OMOD)
Due to the nature of options trading, there are thousands of quotes (unexecuted bids and offers) for every trade that occurrs. This makes the options quote data set too large for most clients to handle; in zipped ASCII files it is on the order of 20-30 Terabytes. Unzipped, it is 8-9 times larger. For traders and analysts who measure frequency in minutes or hours rather than seconds or fractions of seconds, or for traders who do not require the massive quote data set, our Trade-only and One-minute Options Data (OMOD) are gigabyte solutions to the multi-terabyte problem of archiving and processing tick-by-tick options quote data. OMOD includes trade data only (i.e. no bid/ask quote data), and each one-minute interval includes Date, Time, Open, High, Low, Close, and Volume. Trade-only data is tick-by-tick, but since it contains only trades, it is several thousand times smaller than the Trade and Quote data set. For more information on the Trade file contents and format of all options data sets, please download our U.S. Options File Format Guide.
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.
Tools for Options Data
For our clients who order our global equity and options products, we offer the following add-on products:
- Security Master Library
- Corporate Actions/TickerMapping Database
For more details, see Data Tools.
Questions? Please visit our Options Data FAQ or contact us.
