DATA Option Prices
thinkorswim (td ameritrade)
https://www.thinkorswim.com/tos/client/index.jsp
iQFeed IQFeed provides one of the fastest, most reliable datafeeds available to most industry leading 3rd party software packages. You can choose from any of the Compatible Software listed on our site. develop your own software after registering as a developer or use our own DTN.IQ client.
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- Real-Time, TRUE Tick-by-Tick Data on US and Canadian Equities (NYSE, NASDAQ, NYSE MKT (AMEX), Canadian Stock Exchanges) *
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IVolatility.com For relatively small data requests we offer a way to download data directly from our database. The 'Data Download Wizard' provides an intuitive interface that allows you to download volatility data on individual stocks to a .csv (comma separated value) file, which can be easily imported into Excel or other desktop applications. 'Daily Updates Wizard' is a service complimentary to 'Data Download Wizard' – all the data available in Data Download Wizard can be delivered to you on a daily basis if you subscribe to our Daily Updates Service. Data History Depth We offer end-of-day options data going back to November 2000. Markets Coverage Our database covers both North American and European markets - publicly traded options on equities, ETFs and Indexes. Data Download Wizard allows to download only currently traded equities. To order data on delisted names please contact us atsupport@ivolatility.com. Data Download Wizard currently offers neither US futures options data nor Asian markets data. To order these data, please contact us at support@ivolatility.com. Data download limit One time download is limited now to 50 MB. You can split your order into portions if it is larger than 50 MB.
If you want to download large-size data, you should contact us directly, as for bulk data orders we offer up to 80% discount (all in one file data) compared to Data Download Wizard. Minimum data order when making order with us is $200.
Datasets and pricing Our datasets allow for most advanced historical analysis and comprise both standard and several unique indicators:
| Dataset* | Description | Sample file | Cost** |
| Historical Volatility (both end-of-day and Parkinson's) | Realized (historical) volatility data. More details in the Knowledge Base | download sample | $0.02 per record. A year data for single stock costs about $5. |
| Individual Options Contracts Volatilities (RawIV)*** | Actual implied volatility and Greeks based on the full string for the listed contracts. More details in the Knowledge Base | download sample | $0.036 per record (full option chain). A year data for one stock (full option chain data) costs about $9. |
| Implied Volatility Index | A weighted ATM measure of a stocks expected volatility estimated for 1, 2, 3, 4, 5, 6, 9 months and 1,2,3 years. More details in the Knowledge Base | download sample | $0.036 per record (all IVX horizons data included). A year data for one stock costs about $9. |
| Implied Volatility Surface | A surface normalized by moneyness and maturity built on "raw" IV basis by interpolation.More details in the Knowledge Base | download sample | $0.06 per record (full volatility surface for a stock). A year of data for single stock costs about $15. |
| Options prices (NBBO) with volume and open interest*** | Daily close NBBO prices for all options with volumes and open interests of each option | download sample | $0.0144 per record (full option chain for a stock). A year of data for single stock costs about $3.60 |
- Download samples above reflect all the provided data format. There is no filtering by expiration or strikes or other parameters – if you need to filter out the data, you need to download standard dataset file and run filtering on your side. ** Minimum charge is $3 per download. If your data fee for a download is less than $3 you are given a credit on the difference and can download more data within 24 hours without being charged the 'Download' Fee. *** Raw IV and NBBO datasets include all standard options (100 contract size in US). Corporate actions options (after split, merger and other events) are not included. To order this type of data please contact support@ivolatility.com. Only end of day data
optionvue Can't find granularity of their data on the site
tickdata.com Misleading name. This is from their website: We source all OPRA options data directly from the CBOE after the close via end-of-day download (i.e. we do not collect the data in real-time).
