Directory of Listed Products Report data for download. Two years of rolling historical data available in HTML format. Ten days of rolling historical data available. Daily Equity Special Settlements report available in HTML and TXT formats. The National Customer Cleared Volume Reports are provided at the request of the participant option exchanges to facilitate the Penny Program. Daily listing of aggregate threshold securities combined into one downloadable TXT report from trading exchanges. All listed products or specific product kind filterable by sub classification, underlying symbol, options symbol, symbol name, exchanges, position limit, and product type.
Daily position limit data and change report for designated option classes using the formula provided by the options exchanges available for download in TXT format. Daily new options and futures listings by month. Stops Report is available for download in TXT format. Daily Series adds, deletes and adds and deletes reports by exchange available for download in TXT format. Price and open interest FLEX reports for equity and index options. Report available in TXT format. Five years of rolling historical data available. Future Exchange Settlement Price information. Archived data by month available from January 2000.
Thirty days of rolling historical data for position limit reports available. Complete Directory of Listed Products by day downloadable in XML and CSV formats. The reports provide volume for multiply listed options in descending order. Directory of Listed Products query by trading or underlying symbol, product type, symbol name, exchange sortable by underlying symbol or name. Thirty days of rolling historical data available. Corporate action data is provided in unified files with data for all underlying.
The LiveVol volatility indexes are calculated using a weighted average of the implied volatilities of options that expire before and after the given time frame. LiveVol Data Services can provide any and all information to support your decision engine from backtesting to production. Every day LiveVol produces 10 files capturing options data for each optionable underlying and 3 files with equity data for all underlying symbols. Calculations: Implied Volatility, Greek, and IV Index Calculations for every interval. Ask the LiveVol team for additional information. Accessible: Stored in text files with comma separated values, fields set up for immediate bulk load into standard databases. Complete: In addition to the trade and quote data, LiveVol offers earnings, dividend, symbol change, and yield curve supporting data. January 2004 to present. Sales: Every stock and option trade from January 2004 to now.
US Stocks, Indexes, ETFs and corporate actions. Options within 8 days of expiration are excluded from the weighting. This ensures that the various dividend and rate assumptions in the market place are consistently applied to the option model calculations. Backtesting is a very good idea when it comes to options trading and availability of data is an issue indeed. There are a lot of free tools on Stock Options Trading Tools that allow you to do the research you requested. It will allow you to create a custom theoretical method using existing options and see how it performed over time using historical closing prices. My next bet is to use OptionVue and plug data in from Interactive Brokers. Note: the annual historical data download is provided for Zip Files only.
Note1: the daily historical data download is limited for a period of 30 days. Data may also be downloaded from the Option Chain feature. The cost of the download will be also be displayed. Automated downloading of data is not supported. Data points cannot be purchased without a subscription. Click the download button to download data. Optionistics subscribers who purchased historical data points can download historical data.
If there are additional sources of data that can be added to this list, or additional feedback on any of the sources provided above, please contact us. EDIT: We have heard from alumni that QuantQuote only offers TickView software with colocation now, the over the internet product is discontinued. Unless you want specifically NYSE securities, we recommend QuantQuote and TickData datasets since they are cheaper than a combination of NYSE TAQ and NASTRAQ and offer a number of value added features. Clients generally query the data via an API on request, instead of having every tick sent. Available for very low cost from QuantQuote as a standalone offering. Difficult to navigate ordering system and extremely overpriced compared to other vendors. This is the official data for NYSE listed symbols provided by NYSE. TAQ, the description above for TAQ also applies equally well to NASTRAQ.
Numerous group members have reported very poor experience with Kibot. This dataset is provided by the University of Chicago Booth School of Business and is relatively comprehensive, providing more than just equities data. Furthermore, the data they send out is usually snapshots with larger update intervals and longer latency. However, they are the ultimate low latency market data solutions. The download procedure can be automated using this tool. It also ranks highly for data completeness, with many futures, indexes, FX, options chain data included.
This vendor is notorious for its poor data quality. Does not account for corporate events. Below is a comprehensive list compiled by group members. The downside is the refresh rate is not so good, and the data is derived from BATS only. We welcome feedback from members and alums about these services. Added information about new and exciting on campus resources! This dataset is now available through Caltech Libraries. Due to frequent inquiries regarding research ready market data, we have put together a quick guide to answer common questions.
Finally, we have received reports of poor after sales support. Minimum monthly charges are generally several thousand. Like Compustat, CRSP is also geared towards institutions and does not sell data or offer subscriptions suitable for individual. Provided for free by Finviz. EDIT: We have heard from an alumnus that NYSE TAQ has errors, specifically some exchanges will report incorrect trade prices for some symbols on some days. Issues include uncertain provenance of data, incomplete market coverage, frequent data errors, and missing features. Yahoo also has an API that can be tapped into although it is rate limited and will IP block you if you make too many requests on it in rapid succession. We do not consider this data suitable for any serious research as the data quality is very poor. Beyond the scope of this article, but many exchanges allow customers to be collocated on site and access data feeds directly without going through 3rd party market data vendors.
TickView except Nxcore is Windows based. This is the dataset we use for our own research alongside CHSD. QuantQuote datasets, but it is available for free to ALL Caltech students. This database contains minute resolution data for over 1000 US Equities and most active ETFs. BATS or the NYSE consolidated tape. Available from the Nasdaq public FTP, see this post. The trick is to find constituents of ETFs which track the index, Russell 3000 example here. Also well regarded by our alumni in industry, TickData has a large selection of data from overseas exchanges. Yahoo is actually another solid provider, with good coverage for stocks and ETFs, but a bit lacking with futures and other more arcane instruments.
For port access, connectivity, and rack space, the minimum charges for these types of services can run tens of thousands per month, per exchange. It too keeps track of symbol changes and provides data for corporate events. The last point is especially important as there are many vendors who just get data from a couple sources and is missing important information such as dark pool trades. This is available to all current members of the Caltech community. Like the other vendors in this list, the data includes all regional exchanges, not just NYSE and NYSEARCA. The vendors listed below are ones members and alumni have had poor experiences with.
The restriction is the order must be place with a university email. Latency found to be slightly higher than TickView. Compustat is not geared towards the individuals, instead they target corporations and institutions and data access is provided via subscription purposes. Google Finance very seriously, so errors are more common, and like with Yahoo, some key futures exchanges and less common instruments are missing, however, it does provide better charting capabilities. These solutions are generally high bandwidth, high update frequency, and lowest latency. The free live stock data feeds are simply websites which at no cost, provide a streaming live feed of decent quality, where we define quality as data completeness and speed of updating. This database contains tick resolution data for the entire US equities market dating back to 1998 along with split and dividend adjustments. Provides tick data only.
The database is stored on the Caltech Quant Group computing cluster and available for local access. Price information is split and dividend adjusted making it research ready with little or no additional effort. The disadvantage is no NASDAQ listed symbols are provided; they need to be purchased separately from NASTRAQ. Higher resolution and more complete datasets are generally not available for free. Available via the Caltech Investment Office, this resource is not managed by the Caltech Quant Group. Update: This dataset is no longer available for free. Provides data in minutes, second, and tick resolution. Overall, a good service, but QuantQuote and Nanex provide more cost effective alternatives.
For Linux environments, we recommend TickView while Nxcore is better on Windows. Professional feeds will aggregate data from all markets including regional exchanges to build a consolidated book. Run by the University of Chicago, CRSP contains comprehensive stock data in ONLY daily resolution only going back over 100 years, including delisted symbols. Note, Yahoo quite frequently has errors in its database and does not contain data for delisted symbols. For the fiber connection, Thomson Reuters partners with Savvis to provide connectivity. One key differentiator is that QuantQuote is mostly a HFT trading software company and not purely a data company, so they have unique insight into how a Quant dataset should be structured and delivered. As our focus is programmatic trading, we did not review any of the vendors listed below, they are just included for completeness. These can be off from the correct value by as much as an order of magnitude!
Kinetick has very limited history. We strongly recommend this vendor be avoided. Of the history that it goes have, members have reported numerous problems similar to those found in Kibot and Pi Trading so we have confirmed that the data quality is bad. Split and dividend information is provided, but symbol change information is not provided. Tickdata offers minute and tick resolution data. TickView by QuantQuote is a very solid product that is available in both an exchange colocation environment and also via the internet. Provided for free by Yahoo! Ordering or large datasets is also challenging. Update: This dataset is no longer maintained, we recommend Caltech students use the on campus CRSP resource now.
Pricing tends to be higher than TickView for a similar amount of bandwidth usage. Announced here, manual compiling required. Based on our own experience and recommendations from Caltech Quant Group alumni now working in industry, QuantQuote is the vendor we most highly recommend. Compustat also contains an exhaustive database of corporate fundamentals data. Caltech users, there is a wide selection of stock market data available for free. Provided for free by Oanda. As far as we know, QuantQuote is the only vendor which correctly removes out of sequence trades when generating their minute and second resolution datasets. TradeStation and not meant for programmatic algorithmic trading. Also available with Compustat subscription.
The above listed prices are for retail traders only, not professionals. Our bulk history begins in 2002, and SPX data in 1990. Do you carry intraday data? We do not carry options on futures, commodities or Forex currencies or options for other countries. To get a professional quote, please call or email us. All of our data is end of day data. Our end of day data includes the last price, bid, ask, volume and open. Bare Bones data does not include Greeks, IV, Stock OHLC, or option stats.
Our featured historical option data products and their prices. Equity options including stocks, Indexes and ETFs. This includes every stock, index and ETF, for every strike and expiration. Read more about Which Symbols Do You Carry? We carry all listed options for these symbols, for all strikes and all expiration dates. Each underlying symbol has an average of 150 contracts listed at any given time. How many symbols do you carry? Below is a list of the active symbols in November 2014 in traded options.
These complexes contain all historical data for every future and option contract within the market segment irrespective of the source exchange. CME Group provides the source of historic data for all group exchanges including NYMEX, COMEX, CBOT and the CME itself. CPIs, PPIs, house price indexes etc. Cambridge is a financial information services firm that provides market data and security prices to OTC market participants. GDP, balance of payments, trade, retail and industrial indicators etc. Multiple PCR values are readily available from the various option exchanges. Options market data can provide meaningful insights on the price movements of the underlying security. When correctly analyzed using the right indicators, they can provide meaningful insights about the movement of the underlying security. Experienced traders tend to keep a close eye on VIX values, which suddenly shoot up in either direction and deviate significantly from recent past VIX values.
As can be observed from the above graph, relatively large VIX movements are accompanied by movements of the market in the opposite direction. Total PCR includes both index and equities options data. We look at how specific data points pertaining to options market can be used to predict future direction. For more, see: Hedging With Options. It is one of the most common ratios to assess the investor sentiment for a market or a stock. It is considered better and more accurate than historical or statistical volatility value, as it is based on current market prices of option. For example, a fund manager may hold only 20 large cap stocks, but may buy put options on the overall index which has 50 constituent stocks. Individual traders buy equity options for trading and for hedging their specific equity positions accurately.
This simple ratio is computed by dividing the number of traded put options by the number of traded call options. Index and provides a single number representing the overall market implied volatility. PCR is the standard indicator that has been used for a long time to gauge the market direction. However, care should be taken to keep the expected PCR bands realistic and relative to the recent past values. Such outliers are clear indications that market direction can change significantly with larger magnitude, whenever the VIX value changes significantly. No wonder then that PCR remains one of the most followed and popular indicators for market direction. Options data points tend to show very high level of volatility in a short period of time.
For more, see: Tracking Volatility: How The VIX Is Calculated. Several methodologies, intensive calculations, and analytical tools are used to predict the next direction of the overall market or of a specific security.
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