A critical factor in calculating accurate greeks so important for options analysis is creating a good volatility input to your options pricing model.
At ORATS, our Smoothed Market Values (SMV) options quotes uses an intensive process to create the best skew of implied volatilities that are then used to calculate accurate greeks and theoretical options values.
The SMV is based on the bid ask of all standard options and accompanying stock prices snapped 14 minutes before the close. Since options prices tend to deteriorate in quality at the close, we choose to base our quote delivery on near end-of-day options market quotes.
All optionable US equity options on all stocks, ETFs and indexes are included. For indexes, the implied futures price and spot price is included for each option based on the expiration. Each option's volume and open interest are also included. More information on the process is here.
On-going SMV Quote zip files are available by FTP with updates by 9:30 pm EST.
The initial bulk download can be by FTP or AWS S3.
For S3, you provide us S3 bucket info, authenticate, and we bulk copy quotes zip files into your S3 bucket. On-going data can be downloaded using FTP only.
Each trading day back to 2007 has a zip file containing all ongoing ticker's standard options.
The file name is in the format ORATS_SMV_Strikes_20150717.zip with year month and day as in 'YYYYMMDD'.
The header row with a sample row of data from SPX follows:
ticker,stkPx,expirDate,yte,strike,cVolu,cOi,pVolu,pOi,cBidPx,cValue,cAskPx, pBidPx,pValue,pAskPx, cBidIv,cMidIv,cAskIv, smoothSmvVol, pBidIv,pMidIv,pAskIv, iRate,divRate, residualRateData, delta,gamma,theta,vega,rho,phi, driftlessTheta, extVol,extCTheo,extPTheo, spot_px,trade_date
SPX,2125.24,8/7/2015,0.05753,2185,107,1032,0,0,0.7,1, 0.9,58.1,62.26,65.3,0.0706283,0.07246,0.0742882,0.0760111,,, 0.109708,0.00013,0.0213,-0.00862239,0.06017066, 0.00309224,-0.1061186,0.58755839,0.06935765,-0.06987945,-0.11018058, 0.081165,1.34091,62.5992,2125.28,7/17/2015
Here's a snippet:
Pricing is based on whether the user is a non-pro, pro or firm and can be obtained here.
A trial of all quote files back to 2007 is available for a $100 non-refundable deposit. The deposit will be applied against the first invoice and you agree to destroy the data should you not purchase.
Here's a related blog post on an article for the Wall St Journal.
You can also access historical quotes individually via our API. Read about that here.