Historical Data

SpiderRock has a suite of historical data products in multiple asset classes and the ability to deliver this data to a broad range of clients who don’t require data for back-testing and research.

We offer robust historical market data and analytics enabling our clients to gain insights and make data-driven decisions.

All datasets are well-documented with an extensive data dictionary. Data is point-in-time.

SpiderRock evaluates the data for validity and accuracy and performs statistical checks on the production databases daily to verify completeness.

SpiderRock includes multiple error codes and surface quality parameters to identify when input data does not support accurate options analytic calculations.

Stocks

Our historical stock datasets recap the days’ trading activity in the underlying security. Files show open/high/low/close/volume data for stocks, ETFs, and indexes from US exchanges. Delisted stocks are included for backtesting purposes.

Stock Closing Marks – Created approximately 1 minute before the market close and updated when exchanges publish official marks. These records contain closing quotes and prices. Stock data also includes prior day opening and closing data with adjustments for corporate actions and daily returns. Single stocks, ETFs, and index data are tracked with reference data and security IDs that enable users to link symbol data with other corporate reference information.

Stock Minute Bars – Created once per minute for each open stock and index market. Data in this set includes high/low values, spread data, print information, and bid/ask data.

Stock Print Set – Created for each trade with trade cost analysis (TCA). Records are updated 1-minute and 10-minutes after the print.

Stock Imbalances – Files contain buy and sell imbalance records during auctions throughout the trading day. This data is available for both the NYSE and ARCA listed securities.

Options and Greeks

Our options data is captured directly from the OPRA market data feeds. Our analytics include implied volatility, Greeks, and theoretical surfaces derived from underlying markets with critical supporting reference data to ensure highly accurate estimates, resulting in tradable market data.

Options Close Marks (EOD) – SpiderRock Option Close Marks are created 1 or 5 minutes before the regular session close. These records contain closing quotes and prices, as well as markup details for all outright options. SpiderRock uses algorithms that estimate the correct theoretical price when creating the SpiderRock closing marks.

Options Quote Intervals – Snapped every 5 or 30 minutes while options markets are open. They contain the call and put prices and sizes, as well as the underlying stock price for each outright options strike. They also include SpiderRock fitted surface implied volatilities and Greeks.

Options at-the-money (ATM) Volatility Minutes Bars – Created at 1-minute intervals for all at-the-money options markets by symbol expiration. Data in this set includes open/high/low/close values and volatility data.

Options Print Set – Created on every option print along with the quote, surface, size, and trade volume at the print time plus all relevant options analytics. The print set also contains exchange published print types (single, complex, auction, block, sweep, etc.) and SpiderRock estimates of the trade side (buy, sell). Records also contain T+1M and T+10M forward mark details to support trade cost analysis (TCA).

Historical Greeks Data

Our historical data packages contain all the option Greeks, including:

• Delta – Measures the rate of change of option price with respect to a 1-point change in the underlying price.
• Gamma – Measures the rate of change of Delta with respect to a 1-point change in the underlying price.
• Vega – Measures the rate of change of the option price with respect to a 1% change in volatility.
• Theta – Measures the rate of change of the option price with respect to 1-day change in time to expiration.
• Rho – Measures the rate of change of the option price with respect to a 1% change in the interest rate.
• Phi – Measures the rate of change of the option price with respect to a 1% change in the dividend rate.
• Vanna – Measures the rate of change of Delta with respect to changes in the underlying asset's price and changes in volatility.
• Volga – Measures the rate of change of Vega with respect to changes in volatility.

Historical Implied Volatility Calculations

SpiderRock historical implied volatility data uses a family of proprietary pricing models to compute prices, implied volatilities, common options Greeks (delta, gamma, theta, vega, rho, phi, volga, and vanna), and various scenario risk slides for equity and futures options.

SpiderRock pricing models are solutions (sometimes numeric) to the standard generalized Black-Scholes equation. The general form of this equation has several regions of interest for different types of options and within different regions of the skew curve. SpiderRock’s general pricing model is a patchwork of distinct sub-models for a variety of regions of interest to address these different pricing situations in practice.

Learn more about SpiderRock's analytics here.

Historical Price Data for Volatility

Volatility is a crucial feature of the options market and superior options data forms the foundation for insightful volatility analysis. Smoothed volatility curves with a constant maturity format allow for easy incorporation of data into models and analysis. Researchers can use skew curves on a standard grid as indicators of directional market pressure.

Theoretical volatility surfaces are models of the fair market value of an option between the bid and offer. These surfaces reflect the best fit of current markets and are subject to change if or when market conditions change.

SpiderRock continually computes dynamic implied volatility surfaces for all options expiration months, updating these surfaces as new live market quotes are received. Each curve record contains the spline parameters for the shape of a surface, the live calibrated at-the-money volatility, the stock dividend rate, any price offset, and other related curve adjustments.

SpiderRock has multiple volatility surface datasets. These datasets include surfaces for each expiration at end-of-day and 10-minute intervals archived at the market close. SpiderRock produces daily subscription feeds for both intra-day and EOD surfaces.

All SpiderRock options datasets for equities or futures on options include documented theoretical surface prices and volatilities for each option strike.

Historical Volatility Surfaces

SpiderRock computes implied volatility surfaces for all option expiration months with live market quotes. Surface data can be used by volatility traders to better understand and identify opportunities in skew and relative option value.

Curves can also be used to historically compare implied versus realized volatility or cross asset implied volatility over long-term time horizons.

Surface Curve

This table contains spline curve parameters, implied volatility surfaces, Greeks, and hedge deltas for all options expiration months with live market quotes.

The records backing each SpiderRock surface represent a two-dimensional curve with strikes in the X-axis expressed in terms of moneyness (i.e., standardized lognormal or normal) and options volatilities in the Y-axis expressed as a multiple of at-the-money volatility.

Surface ATM (At-The-Money)

This table provides ATM implied volatilities across fixed terms, including ex-earnings term structures and skew slopes. Each row contains 12 columns with ATM volatilities for different expirations. The records also include implied estimates of earnings moves and allow for interpolation of ATM volatilities affected by earnings releases for any time to expiration.

Surface Grid (Skew Surfaces)

This table contains a grid surface (skew surface) of volatility for a given expiration as a function of delta without earnings effects. The file also includes days until the next earnings date and implied earnings moves.

Surface Fixed Term

This dataset contains snapshots of the at-the-money volatility term structure with or without earnings effects with the impact of implied earnings events removed for each ticker. Curves are created by eliminating the earnings volatility from the observed fitted curve which enables the user to better understand the ticker’s underlying volatility.

Data and Analytics Product Offerings

VOL2G Database

SpiderRock delivers a comprehensive volatility database and suite of extended data products designed to meet the needs of institutional and academic researchers who depend on high quality historical volatility analytics

Stocks

Item	Frequency	History	Prices	Volume	Size	Greeks	Implied Vol	Vol Surfaces
Stock Close Marks	EOD	Jan-10	X	X	X	-	-	-
Stock Minute Bars	1 Min	Jan-10	X	X	-	-	-	-
Stock Print Set	Trades	Jan-16	X	X	X	-	-	-
Stock Imbalances	Every Tick	Aug-10	X	X	-	-	-	-

Equity Options

Item	Frequency	History	Prices	Volume	Size	Greeks	Implied Vol	Vol Surfaces
Option Close Marks	EOD	Jan-10	X	X	X	X	X	X
Option Price History ID	30 Min	Sep-14	X	X	X	X	X	X
Option Price History ID	5 Min	Jan-20	X	X	X	X	X	X
Option 1 Minute Bars ATM	1 Min	Aug-20	X	-	-	X	X	-
Options Print Set	Trades	Jan-16	X	X	X	X	X	X

Options Volatility Surfaces

Item	Frequency	History	Prices	Volume	Size	Greeks	Implied Vol	Vol Surfaces
Surface Curves EOD	EOD	Jan-14	-	-	-	X	X	X
Surface ATM EOD	EOD	Jan-14	-	-	-	X	X	X
Surface Grid EOD	EOD	Jan-14	-	-	-	-	X	X
Fixed Term Surface ATM EOD	EOD	Jan-14	-	-	-	-	X	X
Surface Curves ID	30 Min	Mar-16	-	-	-	X	X	X
Surface Grid ID	30 Min	Mar-16	-	-	-	-	X	X
Surface Fixed Term ID	30 Min	Mar-16 Aug-20	-	-	-	-	X	X
Surface Curves ID	5 Min	Aug-20	-	-	-	X	X	X
Surface Grid ID	5 Min	Dec-20	-	-	-	-	X	X
Surface Fixed Term ID	5 Min	Dec-20	-	-	-	-	X	X

VOL2G Equity Options Volatility Bundle

Item	Frequency	History	Prices	Volume	Size	Greeks	Implied Vol	Vol Surfaces
Stock Close Marks	EOD	Jan-14	X	X	-	-	-	-
Option Close Marks	EOD	Jan-14	X	X	X	X	X	X
Surface Grid	EOD	Jan-14	-	-	-	-	X	X
Surface Fixed Term	EOD	Jan-14	-	-	-	-	X	X
Volatility History by Ticker	EOD	Jan-14	X	X	-	X	X	X
Equity References Tables	EOD	Jan-14	X	X	-	-	-	-

US Futures and Options on Futures

Item	Frequency	History	Prices	Volume	Size	Greeks	Implied Vol	Vol Surfaces
Futures Minute Bars	1 Min	Jan-16	X	X	-	-	-	-
Futures Print Set	Trades	Jan-16	X	X	X	-	-	-
Options (F) Price History ID	5 Min	Aug-20	X	X	X	X	X	X
Options (F) Minute Bars ATM	1 Min	Aug-20	X	-	-	-	X	-
Options (F) Print Set	Trades	Jan-19	X	X	X	X	X	X

Download our data dictionaries

EOD Features Dataset

SpiderRock Historical Data Dictionary