NEW
Strategy Optimizer & Trade Ideas now available
Explore now
Hard Drive Delivery
Historical Options Data Shipped to Your Door
Get up to 39 TB of intraday options history delivered on physical drives within 1-2 weeks. No cloud setup, no transfer fees, no waiting for multi-terabyte downloads. Data license included.
| S3 Download | Hard Drive Delivery | |
|---|---|---|
| AWS account required | Yes | No |
| Data transfer cost | ~$2,800 | $0 |
| Cloud storage cost | ~$1,200/mo | $0 |
Data delivery, simplified
No AWS account required. No bucket configurations. exFAT formatted USB drives work natively on Windows, macOS, and Linux. Just plug in and start working with your data.
1-2 week turnaround
Orders are prepared and shipped within 1-2 weeks via insured 2-day courier. Copying multi-terabyte datasets takes time, and we verify every drive before it leaves.
Verified integrity
Every drive ships with SHA256 checksum manifests. If a drive fails in transit, we re-ship a replacement at no cost.
License included
The data license is included in the purchase price. No separate subscription required.
Ongoing updates
1-minute data grows ~21 GB per trading day. For ongoing delivery, stream live updates via the intraday API or pull daily files from the 1-minute S3 feed.
Two data products, one delivery
Choose from our 1-minute intraday data (Oct 2020 to present) or add the 2-minute archive (2015 through Sep 2020) for the complete history. Both delivered on 3x 20TB USB drives.
1-Minute Intraday
Full SMV greeks, theoretical values, and IVs for every minute of the trading day. Oct 2020 to present, ~28 TB. Over 5,000 symbols included.
2-Minute Archive
Historical options data from Jan 2015 through Sep 2020. Fixed dataset at ~11 TB.
3x 20TB USB drives
60 TB total capacity per set. Seagate Expansion 20TB drives, shipped with power adapters.
Gzip CSV format
Compressed CSV files organized by date. Same format as our S3 delivery, ready for your existing data pipeline.
Field Definitions
ticker
The underlying symbol that represents the stock or index on which the option is based.
tradeDate
The date on which the option was traded.
expirDate
The date on which the option expires.
dte
The number of days remaining until the option's expiration date.
strike
The price at which the option can be exercised.
stockPrice
The current price of the underlying stock. For indexes, this is the solved implied futures price for each expiration.
callVolume
The total number of call option contracts traded on a particular day total at the time observed.
callOpenInterest
The total number of outstanding call option contracts updated by OCC the night before.
callBidSize
The number of call option contracts available at the current national best bid and offer (NBBO) bid price.
callAskSize
The number of call option contracts available at the current NBBO ask price.
putVolume
The total number of put option contracts traded on a particular day total at the time observed.
putOpenInterest
The total number of outstanding put option contracts updated by OCC the night before.
putBidSize
The number of put option contracts available at the current NBBO bid price.
putAskSize
The number of put option contracts available at the current NBBO ask price.
callBidPrice
The NBBO price at which a market maker is willing to buy a call option.
callValue
The theoretical value of a call option based on a smooth volatility assumption.
callAskPrice
The NBBO price at which a market maker is willing to sell a call option.
putBidPrice
The NBBO price at which a market maker is willing to buy a put option.
putValue
The theoretical value of a put option based on a smooth volatility assumption.
putAskPrice
The NBBO price at which a market maker is willing to sell a put option.
callBidIv
The implied volatility of a call option at the current NBBO bid price.
callMidIv
The implied volatility of a call option at the midpoint of the current NBBO bid and ask prices.
callAskIv
The implied volatility of a call option at the current NBBO ask price.
smvVol
The smoothed implied volatility of an option based on the ORATS model.
putBidIv
The implied volatility of a put option at the current NBBO bid price.
putMidIv
The implied volatility of a put option at the midpoint of the current NBBO bid and ask prices.
putAskIv
The implied volatility of a put option at the current NBBO ask price.
residualRate
The implied interest rate that is derived from the option pricing model.
delta
The theoretical increase in an option's price due to a one dollar increase in the underlying price.
gamma
The rate of change of an option's delta with respect to a one dollar increase in the price of the underlying asset.
theta
The rate of time decay of an option's value for one day.
vega
The sensitivity of an option's price to a one percent rise in the implied volatility of the option.
rho
The sensitivity of an option's price to a one percent increase in interest rates for the option.
phi
A measure of the convexity of an option's price with respect to changes in the price of the underlying asset.
driftlessTheta
The rate of time decay of an option's value as the expiration date approaches, without taking into account the drift in the price of the underlying asset.
callSmvVol
The smoothed implied volatility of a call option based on the ORATS model.
putSmvVol
The smoothed implied volatility of a put option based on the ORATS model.
extSmvVol
The external implied volatility of the underlying asset, as provided by an external data source. The external data source is from the ORATS forecast volatility.
extCallValue
The external theoretical value of a call option, as provided by an external data source.
extPutValue
The external theoretical value of a put option, as provided by an external data source.
spotPrice
The current market price of the underlying asset. For indexes this is the cash price.
quoteDate
The date and time at which the market quote used to calculate the SMV (option's greeks, skew, and other related values) was recorded.
updatedAt
The date and time at which the calculation of the option's greeks, skew, and other related values was completed.
snapShotEstTime
The time (EST) at which a one-minute snapshot of the SMV strikes was taken.
snapShotDate
The date and time at which a one-minute snapshot of the SMV strikes was taken.
Hard Drive Delivery Pricing
Historical options data shipped to your door. Data license included. Domestic US only.
Individual
Professional
Enterprise
1-Minute Intraday
Full SMV greeks, theoretical values, and IVs for every minute during the trading day. Oct 2020 to present on 3x 20TB USB drives. ~28 TB compressed.
Add 2-Minute Archive+ $1,000
Historical options data from Jan 2015 through Sep 2020. ~11 TB compressed.
Return drives:
$2,000
+ $1,000 refundable deposit
Total upfront: $3,000. Deposit refunded when drives returned within 30 days.
Buy and return drives
Keep drives:
$3,000
Keep the 3x 20TB Seagate Expansion drives permanently. No deposit, no return shipping.
Buy and keep drives
Includes:
Data license included
1-minute intraday data (Oct 2020 - present)
SHA256 checksum manifests
Insured shipping
Gzip CSV format
Over 5,000 symbols
Sample data available on request
Contact Us
Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly.
Your email
Your message
Submit
ORATS
Institutional Quality Tools for All Options Traders
(312) 986 - 1060
support@orats.com
36 Maplewood Ave, Portsmouth, NH 03801
Trading Tools
The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see our disclaimer.
Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC.