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Services & Tools
Thu, Oct 30, 2014/close Print 

Services & Tools Data Download Updates Wizard
OverviewDownload WizardUpdates WizardMy Downloads 
Daily Updates
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Daily Updates
Price: See below 
 

Data Download Services

Currently, subscribers will be able to select from 4 data sets:
  • Historical (stock) volatility (sample)
  • Implied Volatility Index (sample)
  • Individual contracts data (sample)
  • Implied Volatility Surface (sample)
  • Options prices (NBBO) with volume and open interest (sample).
If you are interested in a different dataset(s) or a large amount of data please fill in Custom Data Request form.


Daily Updates Service

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. Simply define a set of stocks and select the dataset and we will send daily updates to your email (data will be delivered as CSV files). You don't need to check the site every morning looking for a new data - everything will be in your Inbox. We usually provide the data by 6:00 AM EST (EOD data for the previous trading day).



Pricing

While the service membership is free you will be charged per actual amount of downloaded data (see Data Fee section below). There is also a minimum monthly data fee of $10 - data equivalent is a month of daily updates on Volatility Surface data for a portfolio of 8 stocks. The data fees will be charged when accumulated fees exceed $10.00 or at the month end, whichever comes first.

Data Fee

Amount of units** Cost per unit IVIndex **1 Cost per unit HV **2 Cost per unit IVSurface **3 Cost per unit Individual Contract **4 Cost per unit
Options prices (NBBO) with volume and open interest **5
From Up
0 50000 $0.036 $0.020 $0.06 $0.036 $0.0144
50000 150000 $0.029 $0.016 $0.05 $0.029 $0.0116
150000 250000 $0.022 $0.012 $0.04 $0.022 $0.008
250000 350000 $0.015 $0.008 $0.03 $0.015 $0.006
350000 $0.007 $0.004 $0.02 $0.007 $0.0028

** A unit is the full set of data for one underlying for one date

**1 IVIndex 30, 60, 90, 120, 150, 180 days (Call, Put and Mean). Dataset is IV index value - all terms. Data available - IVIndex 30 d: from May 1999; other terms from Nov. 2000.

**2 Historical Volatility data (HV) 10, 20, 30, 60, 90, 120, 150, 180 days. Dataset is a Historical (Stock) Volatility Value - all terms. Data available starting Nov. 1999

**3 Volatility Surface data (implied volatilities of options at fixed maturities: 30, 60, 90, 120, 150, 180, 360 and 720 days). Dataset is an array of 12 implied volatilities - from -50% OTM till 50%ITM (2 values for ATM - separately for Calls and Puts) - all terms. Data available starting Nov. 2000

**4 Individual contracts data - including each option price (bid, ask, mean), implied volatility, delta, vega, gamma, theta, rho, volume and open interest. Dataset - all options contracts on the given underlying. Data available starting Nov. 2000

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