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WHAM is now in every Data API plan: see which days the options market is pricing for bigger moves, and how much bigger
Near End-of-day
Historical Options Data Since 2007
A complete snapshot of the US equity options market 14 minutes before the close of trading each day. Over 5,000 symbols included.
Please visit ORATS University if you want a complete sample of data.
Get high quality historical options data
Trade with confidence knowing our data is held to the highest industry standards for accuracy and completeness.
Precise quotes
Quotes are taken 14 minutes before the close to avoid deterioration.
15+ years of history
Historical options data for over 5,000 symbols going back to 2007.
Unmatched quality
Get accurate greeks and volatilities powered by our SMV system.
Easy to access
Download the historical archive through AWS S3 using Cyberduck or the AWS CLI. Recurring daily files are delivered via FTP.
Study accurate Greeks and volatilities
Learn how we developed a proprietary smoothed market values (SMV) system to deliver you the most accurate Greeks and theoretical values.
Cleaning the quotes
We clean and normalize the quotes using put-call parity, dividend assumptions, and the residual yield rate.
Accurate Greeks
The smoothed implied volatilites produce more consistent Greeks by which to manage risk.
Fixing low liquidity
We incorporate historical information when the confidence in the market summarization is low.
Solving wide spreads
Our treatment of low delta OTM options produces more realistic IVs.
Field Definitions
ticker
The underlying symbol that represents the stock or index on which the option is based.
stkPx
The underlying value, derived from option prices using put-call parity (for indexes, solved for each expiration), for internal use only. It is a reference price, not a replacement for real stock prices. For real stock prices, use a different provider.
expirDate
The date on which the option expires
yte
The number of years remaining until the option's expiration date.
strike
The price at which the option can be exercised.
cVolu
The total number of call option contracts traded on a particular day total at the time observed.
cOi
The total number of outstanding call option contracts updated by OCC the night before.
pVolu
The total number of put option contracts traded on a particular day total at the time observed.
pOi
The total number of outstanding put option contracts updated by OCC the night before.
cBidPx
The NBBO price at which a market maker is willing to buy a call option.
cValue
The theoretical value of a call option based on a smooth volatility assumption.
cAskPx
The NBBO price at which a market maker is willing to sell a call option.
pBidPx
The NBBO price at which a market maker is willing to buy a put option.
pValue
The theoretical value of a put option based on a smooth volatility assumption.
pAskPx
The NBBO price at which a market maker is willing to sell a put option.
cBidIv
The implied volatility of a call option at the current NBBO bid price.
cAskIv
The implied volatility of a call option at the current NBBO ask price.
smoothSmvVol
The smoothed implied volatility of an option based on the ORATS model.
pBidIv
The implied volatility of a put option at the current NBBO bid price.
pMidIv
The implied volatility of a put option at the midpoint of the current NBBO bid and ask prices.
pAskIv
The implied volatility of a put option at the current NBBO ask price.
iRate
The continuous interest (risk-free) rate.
divRate
The continuous dividend yield of discrete dividend's NPV.
residualRateData
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.
extVol
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.
extCTheo
The external theoretical value of a call option, as provided by an external data source.
extPTheo
The external theoretical value of a put option, as provided by an external data source.
spot_px
The underlying value, derived from option prices using put-call parity. It is not a stock or index price and is for internal use only. It is a reference price, not a replacement for real stock prices. For real stock prices, use a different provider.
trade_date
The date on which the option was traded.
Near End-of-day Pricing
A snapshot of over 5,000 symbols 14 minutes before every close since 2007, with full SMV greeks, theoretical values, and IVs.
History via AWS S3, recurring files via FTP each night.
Individual
Institution
Near End-of-day
Delivered via AWS S3 or FTPA complete snapshot of the US equity options market 14 minutes before the close of trading each day. Over 5,000 symbols included.
Choose what you need:
Pick one or both
Total:
$99
per month
2-week download window: After purchase, historical files are available via AWS S3 for 14 days, using personal credentials issued on your ORATS dashboard, with step-by-step instructions for Cyberduck or the AWS CLI. No AWS account is needed, and you will not incur any AWS charges. Access is removed once the window closes, so plan your downloads accordingly.
Includes:
Strikes
Greeks
Theoretical Values
Implied Volatilities
Historical download via AWS S3
Recurring delivery via FTP
FAQ
Near end-of-day, answered.
What exactly is in the near end-of-day data set?
A complete snapshot of the US equity options market for each trading day: every strike on every expiration for more than 5,000 symbols, with NBBO bids and asks, ORATS theoretical values, smoothed implied volatilities, and the full greeks. History runs back to 2007.
Why is the snapshot taken 14 minutes before the close?
Because spreads deteriorate into the bell. Quotes taken at 3:46pm ET are tighter and more representative of where the market actually was than the closing print, which makes them a better basis for backtesting and for marking a book.
How do I download the historical archive?
Over AWS S3. After purchase, personal read-only S3 credentials and step-by-step instructions appear on your downloads page in the dashboard. Pull the files with Cyberduck, a free desktop app for macOS and Windows, or with aws s3 sync. You do not need an AWS account and you will not be billed by AWS. Access lasts 14 days from purchase and we email a reminder when about a week is left, so plan to download the set once.
When do the recurring daily files arrive?
Each night at midnight, delivered via FTP. The timing is set by OPRA's rules on data delivery, not by our schedule.
What does it cost?
For an individual license, recurring delivery is $99 per month and the historical backfill from 2007 is $599 as a one-time purchase, roughly 500GB of data. Professional and enterprise licenses are priced separately; switch the toggle in the pricing section for a quote.
Are delisted symbols included?
Yes. We actually retain delisted tickers in our dataset dating back to 2007-01-01. Contracts are presented as the markets presented them on the day, so a name that was later delisted still carries its full history, which is what keeps a backtest free of survivorship bias.
Why is there only one implied volatility and one delta per strike?
Calls and puts on the same strike and expiration should carry the same implied volatility, and our SMV process lines them up rather than publishing two numbers that disagree. The delta shown is the call delta; put delta is call delta minus 1.
Why don't the underlying values match other data sources?
ORATS does not provide stock prices for US equities, ETFs or indexes. The underlying values in our data, live and historical, are derived from option prices using put-call parity and are for internal use only. They are reference prices, not a replacement for real stock prices. For real stock prices, use a different provider. For index options the value is solved for each expiration, so it will not match the index level other sources show.
Can I see a sample before buying?
Yes. Full sample files are on the historical data page at ORATS University, and the example rows on this page come straight out of the real file.
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