Historical Data

To calculate all of the indicators we just discussed, we utilize our vast sets of historical options data to reveal patterns and forecast the volatility surface. We've made available three different sets of data, each designed to provide you with options information fit for your use case.

Near end-of-day

Our most popular data set is our near end-of-day data. This data set goes back to 2007, and includes the full options chain, derived Greeks, theoretical values, and IVs for over 5,000 symbols gathered 14 minutes before the close of each day.

This data set is useful if you're looking for a lot of history but no intraday granularity. This is our only options data set delivered via FTP (File Transfer Protocol). Upon signup, you will be emailed a private link to access the files. You may download them at your convenience.

Here is a recent sample of our near end-of-day data: https://s3.amazonaws.com/assets.orats.com/ORATS_SMV_Strikes_20240103.zip

The data is available for purchase in two ways:

1. Historical (from 2007 - today): This is a one-time purchase. You will recieve historical data from 2007 up until today, but no further.
2. Recurring (every day from today onward): This is a monthly subscription. You will receive data on an ongoing daily basis beginning from the point of purchase. No data from before today is included in the subscription. Data for each day is ready each night at midnight to comply with OPRA regulations for data delivery.

You can purchase historical and/or recurring near end-of-day data here.

Some people ask how you can download the data. You can download a whole folder using FileZilla. Here are the directions:

1. Open the FileZilla FTP client.
2. Then, enter your FTP host, username, and password, and click Quick Connect.
3. In the right side box below Remote Site, select the folder you want to download.
4. Finally, press CTRL to choose multiple folders, then right-click on the folder and click Download.

Alternatively, you can create a script that will download the files.

1-minute intraday

Our 1-minute intraday data set is our second most popular offering. This data set goes back to August 2020 and includes the full options chain, derived Greeks, theoretical values, and IVs for every minute during the trading day of over 5,000 symbols.

We recommend using this data set if you need minute-by-minute, or "0 DTE", options data. While it doesn't go back as far as the near end-of-day data, we still include the same 5,000+ equities, ETFs, and indexes. Due to the large size of the data set, files are delivered via AWS S3. Upon signup, you will be emailed instructions for how to create an S3 bucket and connect it to ORATS to start receiving data.

Here is a recent sample of five different 1-minute files. For brevity, every symbol has been omitted except for AAPL: https://orats.com/university/intraday-sample-data.zip

The data is available for purchase in two ways:

1. Historical (from August 2020 - today): This is a one-time purchase. You will recieve historical data from August 2020 up until today, but no further.
2. Recurring (every day from today onward): This is a monthly subscription. You will receive data on an ongoing daily basis beginning from the point of purchase. No data from before today is included in the subscription. Data for each day is available on a 15-minute delayed basis unless you request live, which may require additional fees depending on your professional status.

You can purchase historical and/or recurring 1-minute data here.

Hard drive delivery

The 1-minute intraday data set is enormous, roughly 28 TB and growing about 21 GB per trading day, so downloading the full history over S3 can be impractical. For users who would rather not transfer terabytes over the internet, ORATS ships the complete historical intraday data on physical hard drives, mailed to your door.

The drives carry the same data as the intraday feed: the full options chain with SMV Greeks, theoretical values, and implied volatilities for every minute of the trading day across 5,000+ symbols, in Gzip CSV format. Two date ranges are available:

1. 1-minute data (October 2020 to present): roughly 28 TB, the same data delivered through the intraday S3 feed.
2. 2-minute archive (January 2015 through September 2020): roughly 11 TB, a fixed dataset that extends your history back another five years.

The data ships on a set of three 20 TB USB drives (60 TB total capacity) via insured two-day courier, with free shipping to the US and Canada and a typical turnaround of one to two weeks. Every drive includes SHA256 checksum manifests and a readme so you can verify the transfer, and if a drive fails in transit, ORATS re-ships a replacement at no cost.

You can either keep the drives or return them for a partial refund after copying the data, and the data license is included in the purchase. To keep the dataset current after delivery, stream live updates through the intraday API or pull daily files from the 1-minute S3 feed.

To see current pricing and place an order, visit the hard drive delivery page.

Dividends

Whether or not there is a dividend paid during the options lifecycle will impact the volatility and price of the option. Thus, we've partnered with Wall Street Horizon to deliver best-in-class dividend information. We offer you a daily FTP download service with all expected ex-div dates and forecasted dividend amounts for the next 2.67 years for all stocks with US exchange listed options. You can purchase historical and/or recurring dividend information here.

The dividend data includes four separate files:

1. Dividends: This file lists the closest upcoming dividend ex-dividend date, expected payment amount, and denotes if the data is Estimated ("E"), Acknowledged ("A"), Acknowledged by one or more, but not all sources("I") or Overridden ("O").

2. Stock Div Forecasts: This file compares the computed projected dividend amount against what is being implied in the current options market. If the projected amount is not verified by the current market environment, it is tempered. Furthermore, the forecasts are split-adjusted and are converted to USD in the case when the dividend is expected in a foreign currency.

3. Stock Div Hist Growth: This file contains ORATS' raw proprietary dividend forecast amounts. The dividend payout amounts in this file are NOT compared to the dividend amount being implied in the current options marketplace.

4. Special Dividends: This file only contains upcoming confirmed special dividends. Our feed fully conforms to the OCC "12.5" rule on special dividends and includes/excludes dividends in accordance with the rule.

Implied futures price

Indexes price options off of futures prices for each expiration, but futures prices do not exist for every expiration. Traders need to interpolate or calculate an implied futures rate for the expirations without a corresponding futures price expiration date. ORATS uses put-call parity to solve for the futures at each expiration. In ORATS tools and APIs, the stock price associated with the options trade is the implied futures price for the expiration. This is why you might notice that the stock price for indexes presented by ORATS is slightly different than what you see in other data sources.

In the webinar below, we cover this topic in more detail.

Now that we've laid the groundwork with proprietary indicators and historical data, it's time to apply these tools to our research. In the next lesson, we'll look at a critical component of the research pillar and one of our most powerful tools - the options backtester.