New
WHAM is now in every Data API plan: see which days the options market is pricing for bigger moves, and how much bigger
1 Minute Intraday
Historical Options Data Since Aug. 2020
Full SMV greeks, theoretical values, and IVs for every minute during the trading day of all US equity options. Over 5,000 symbols included.
A data lake on AWS S3 that you query in place. No download, no storage.
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.
500,000+ minutes of data
Historical options data for every minute going back to August 2020.
Thousands of tickers
We gather intraday data for 5,000+ US equity option tickers.
Unmatched quality
Get accurate greeks and volatilities powered by our SMV system.
Easy to access
Query the Parquet files directly on S3 with DuckDB, Python, or Athena.
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.
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 underlying value, derived from option prices using put-call parity (for indexes, solved for each expiration). ORATS does not provide stock prices for US equities, ETFs or indexes, and this value 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.
callVolume
The number of call option contracts traded so far that day, as of the snapshot minute.
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 number of put option contracts traded so far that day, as of the snapshot minute.
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 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.
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 Eastern time (ET) of the one-minute snapshot, as a number in HHMM form, such as 945 for 9:45 AM.
snapShotDate
The date and time at which a one-minute snapshot of the SMV strikes was taken.
expiryTod
Whether the option settles at the open (am) or the close (pm) of its expiration day. On SPX, an AM-settled monthly and a PM-settled weekly can share an expiration date, so filter on this field to tell them apart. Added to the data in 2021, so it is empty on most earlier days.
1 Minute Intraday Pricing
Every minute of the trading day since Aug. 2020 for over 5,000 symbols, with full SMV greeks, theoretical values, and IVs.
A data lake of Parquet files on AWS S3.
Individual
Institution
1 Symbol
One symbol of your choice, such as SPY or SPX.
$599
today
The history since Aug. 2020, with your first month of access included
Then
$49
/ month
Ongoing access, with new 1-minute data added every trading day
10 Symbols
Up to ten symbols of your choice.
$999
today
The history since Aug. 2020, with your first month of access included
Then
$99
/ month
Ongoing access, with new 1-minute data added every trading day
All Symbols
Every symbol we cover, more than 5,000.
$1,999
today
The history since Aug. 2020, with your first month of access included
Then
$199
/ month
Ongoing access, with new 1-minute data added every trading day
How you get the data
Delivered via AWS S3- 1
Connect your AWS account
After checkout, enter your AWS account ID on your ORATS dashboard and choose your symbols.
- 2
Get read access on S3
That account can read the data lake in our S3 bucket: Parquet files since Aug. 2020, with each new trading day added the next morning.
- 3
Query it in place
Use DuckDB, Python, or Athena to read the Parquet files where they are, with nothing to download. You can also copy any of them to your own bucket or computer with the AWS CLI.
AWS bills your account for its own requests and data transfer (S3 Requester Pays).
FAQ
One-minute data, answered.
What is in the 1-minute data set?
Full SMV greeks, theoretical values, and implied volatilities for every option, for every minute of the trading day, across more than 5,000 US equity, ETF, and index symbols. That is over 500,000 minutes of market going back to August 2020.
How big is it, and how is it delivered?
For every symbol, the history is about 12TB of Parquet files and grows about 11GB per trading day. It is a data lake on AWS S3: after checkout you enter your AWS account ID on your ORATS dashboard, and that account gets read access to your symbols in our S3 bucket. Query the files in place with DuckDB, Python, or Athena, so there is nothing to download or store. You can also copy any of them to your own bucket or computer. If you would rather have the full history on physical drives, we ship that too.
What does it cost?
For an individual license, a one-time charge covers the full history since August 2020 and your first month of access to the data lake: $599 for one symbol, $999 for up to ten, or $1,999 for every symbol. After that, ongoing access is $49, $99, or $199 a month, with new 1-minute data added every trading day. Professional and enterprise licenses are priced separately; switch the toggle in the pricing section for a quote.
Do I need an AWS account?
Yes. Your AWS account gets read access to the data lake in our S3 bucket, and AWS bills it for its own requests and transfers (S3 Requester Pays). Querying or copying the files inside AWS's us-east-1 region adds no transfer charge, and copying them out of AWS costs about $0.09 per GB, over $1,000 for every symbol's full history. Without an AWS account, hard drive delivery is the way to get the full history.
Which tools can I use?
You can read the Parquet files directly from S3 with DuckDB, or from Python with duckdb, pandas, or boto3, and a filtered query reads only the parts of each file it needs. Athena runs SQL inside AWS, which is much faster than a laptop for questions that span every symbol. The AWS CLI lists and copies the files. Our data lake guide on the ORATS blog has setup steps and example queries.
Do I have to keep subscribing to keep the history?
Your subscription keeps your access to the data lake, with each new trading day added the next morning. Anything you copy while you subscribe is yours to keep for your own research, even after you cancel.
What if I only need a few minutes, not the whole archive?
Then you want the Intraday Data API instead. It queries the same one-minute data by ticker, date, expiration, strike, and minute, and adds live endpoints, so you pull the session you care about rather than storing the whole history.
How are the quotes cleaned?
With the same Smoothed Market Values system behind the end-of-day set: quotes are normalized using put-call parity, dividend assumptions, and the residual yield rate, historical information fills in where confidence in the market summarization is low, and low-delta out-of-the-money options get treatment that produces realistic implied volatilities instead of artifacts from wide spreads.
Are delisted symbols included?
Yes. Contracts appear as the markets presented them on the day, delisted names included, so a study run on this data is not quietly survivorship-biased.
Can I see a sample before buying?
Yes. A complete sample is on the historical data page at ORATS University, and the example rows on this page come from the real file.
Do you cover options on futures?
No. ORATS covers options on US equities, indexes, and ETFs. We do not cover futures options such as ES, GC, or CL.
Contact Us
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ORATS
Institutional Quality Tools for All Options Traders
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