Historical Option & Equity Data

DATA SOLUTIONS

Historical Options Data and Equity Data
January 2004 to present. US Stocks, Indexes, ETFs and corporate actions.

Features

Use Livevol’s extensive data offerings for backtesting and creating blackbox algorithms. Whether it is pricing, Level II exchange discrepancies, calculations and Greeks, multi-leg strategies, interest rate or pricing arbs – Livevol Data Services can provide any and all information to support your decision engine from backtesting to production.

Granular: 1-minute option and stock intervals with open, high, low, close, volume, bid, ask, calculations.
Calculations: Implied Volatility, Greek, and IV Index Calculations for every interval.
Time & Sales: Every stock and option trade from January 2004 to now.
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.
Supported: With purchases over $1,000 the Livevol Engineering team will help you format and load the data into your target system. Our highly experienced team is available to discuss how you can leverage our extensive data offerings.

Every day Livevol produces ten files capturing options data for each optionable underlying and 4 files with equity data for all underlying symbols. Corporate action data is provided in unified files with data for all underlying.

Options Data

Trades (sample)
1-minute quotes (sample)
1-minute calculations (sample)
1-minute IV indexes (sample)
15-minute quotes (sample)
15-minute calculations (sample)
15-minute IV indexes (sample)
End-of-day quotes (sample)
End-of-day calculations (sample)
End-of-day IV indexes (sample)

Equity Data

Trades (sample)
1-minute quotes (sample)
15-minute quotes (sample)
End-of-day quotes (sample)

Corporate Actions

Dividends
Earnings
Splits
Symbol Changes
Mergers & Acquisitions

Field List:

Option Quotes

Time, Root, Expiration, Strike, OptionType, Open, High, Low, Close, TradeVolume, BidSize, BestBid, AskSize, BestAsk, Underlying Bid, Underlying Ask, {Regional Exchange: BidSize, Bid, AskSize Ask} x[# of exchanges]

Option Calculations

Time, Root, Expiration, Strike, OptionType, Open, High, Low,Close, TradeVolume, BidSize, BestBid, AskSize, BestAsk, Underlying Bid, Underlying Ask, Implied Underlying Price, Active Underlying Price, Implied Volatility, Delta, Gamma, Theta, Vega, Rho

Option Trades

Time, SequenceNumber, Root, Expiration, Strike, OptionType, Exchange ID, TradeSize, TradePrice, TradeConditionID, CanceledTradeConditionID,BestBid, BestAsk,Trade IV, Trade Delta, UnderlyingBid,UnderlyingAsk, {Regional Exchange: BidSize, Bid, AskSize Ask} x[# of exchanges]

Option IV Index (1 row per underlying for each interval)

Time, IV30, IV60, IV90, IV120, IV180, IV360, IV720, ExpirationIV1, ExpirationIV2, ExpirationIV3, ExpirationIV4, ExpirationIV5, ExpirationIV6, ExpirationIV7, ExpirationIV8, ExpirationIV9, ExpirationIV10, ExpirationIV1Date, ExpirationIV2Date, ExpirationIV3Date, ExpirationIV4Date, ExpirationIV5Date, ExpirationIV6Date, ExpirationIV7Date, ExpirationIV8Date, ExpirationIV9Date, ExpirationIV10Date

Equity Quotes

Time, Open, High, Low, Close, TradeVolume, VWAP, BestBid, BestAsk

Equity Trades

Time, Exchange, TradePrice, TradeSize, TradeCondition, Bid, Ask

Livevol gladly provides assistance in combining, formatting, and loading data into customer databases.

Trades and Quotes (TAQ)

Livevol also offers the complete recorded history of equity and options tick data including an API to simulate real-time playback. Ask the Livevol team for additional information.

Calculation Methodology

Livevol applies a unified calculation methodology across both live and historical data sets to provide maximum consistency between back-testing and real-time applications. LIBOR and Eurodollar yield curves are combined with discrete dividend feeds and projections to derive accurate inputs into the option models. The cost of carry projected from these inputs is compared against those implied by the at-the-money options from each option expiry. If the rates differ significantly—and the option spreads for this expiry are sufficiently narrow—the implied rates replace the standard inputs. This ensures that the various dividend and rate assumptions in the market place are consistently applied to the option model calculations.

Livevol calculates volatility indexes historically and in real-time for seven time frames: 30-, 60-, 90-, 120-, 180-, 360-, and 720-days. 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. As an example, for Livevol's 30-day calculation, referred to as IV30™, implied volatilities from options expiring in 15 days would be combined using linear interpolation with options expiring in 45 days to represent how the average 30-day volatility is behaving. The calculation emphasizes the implied volatility of the at-themoney options. A variety of weighting techniques help to ensure that any unusual spreads on a given option pair, or other unusual market activity, do not unduly affect the index. Options within 8 days of expiration are excluded from the weighting.

Pricing

Download Pricing