[James]

Data

How often are the datasets updated?
Datasets are updated quarterly, roughly according to the schedule below. For purchased sets, the new quarter will be automatically available in the same folder on the Sharefile portal.

Quarter	Release Timing
Q1 (January to March)	1st to 2nd week of April
Q2 (April to June)	1st to 2nd week of July
Q3 (July to September)	1st to 2nd week of October
Q4 (October to December)	1st to 2nd week of January

Release Schedule

What is the format of the option chain data?
Please see here for a description of fields. Each row in the files represents a quote for one put and call for one strike, expiry. Files are grouped into monthly CSVs for manageability. For less frequent datasets, the files may be grouped into yearly CSVs.

Regarding accuracy and completeness
While we strive to provide both accurate and complete data, we cannot provide guarantees to either. Please see our Disclaimer for details. That being said, do not hesitate to contact us if you have any concerns.

Do you have historical intraday data for [insert stock, ETF, index here]?
There are plans to bring additional datasets to the store over time. If you have a specific request for data that is not yet available, please contact us for unique requests. The store will be updated overtime as datasets become available, these requests will help prioritize our schedule.

There are millions of rows per file, do you have any recommendations on how to make the data more manageable?
We recommend loading the raw data into a database (SQLite, MSSQL, MSACCESS etc.) to query for a more manageable dataset. There are certain calculated fields that you may find useful when querying. Specifically, you may find the [DTE] (days to expiry) and [Strike Distance/pct] fields useful in narrowing down the dataset for a specific study.

Examples:
Option chains expirying in one month 
SELECT * FROM [table] WHERE DTE<=31 ORDER BY QUOTE_UNIXTIME ASC, EXPIRE_DATE ASC, STRIKE ASC

Option chains expirying in one month AND strikes within 20% of the current price
SELECT * FROM [table] WHERE DTE<=31 AND STRIKE_DISTANCE_PCT<0.2 ORDER BY QUOTE_UNIXTIME ASC, EXPIRE_DATE ASC, STRIKE ASC

Option chains expirying in one week AND strikes within $16 of the current price
SELECT * FROM [table] WHERE DTE<=7 AND STRIKE_DISTANCE<=16 ORDER BY QUOTE_UNIXTIME ASC, EXPIRE_DATE ASC, STRIKE ASC

We’re also happy to help if you have any questions, please contact us.

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