US Options — End of Day

Schema

Sample

Trade Date,Strike,Expiry Date,Call/Put,Last Trade Price,Bid Price,Ask Price,Bid Implied Volatility,Ask Implied Volatility,Open Interest,Volume,Delta,Gamma,Vega,Theta,Rho
2023-07-03,50,2023-07-07,c,142.29,142.2,142.35,0,4.8375,0,0,1,0,0,-0.0085,0.0057
2023-07-03,60,2023-07-07,c,131.19,131.1,131.25,0,4.1518,0,0,1,0,0,-0.0102,0.0068

One CSV per underlying ticker, with calls and puts ordered by expiry and strike. History is delivered as quarterly zip archives, e.g. all 2020-Q1 data in one archive.

Methodology

The end-of-day snapshot is taken 30 seconds before the close, so that large closing rebalancing orders don't distort the prices. Data is sourced directly from exchanges and is tested and validated with each daily update. Implied volatility is given separately for the bid and the ask.

Intended uses

• Training volatility-surface and option-pricing models
• Features for return and risk forecasting (implied volatility, skew, open interest)
• Backtesting options strategies

Known limitations

• Data is end-of-day only, with no intraday quotes or trades.
• Implied volatility is reported as 0 where it can't be solved, for example deep in-the-money contracts close to expiry.
• Start dates vary by underlying. Many single stocks begin in 2018 or later.

How to cite

@misc{frd_us_options_eod,
  title  = {US Options — End of Day},
  author = {FirstRate Data},
  year   = {2026},
  url    = {https://firstratedata.com/ai/datasets/us-options-eod}
}