About US Index Options
The US Index Options dataset by AlgoSeek covers European Option contracts for 3 US Indexes: SPX, VIX, and NDX. The dataset starts from June 2010 and is delivered on minute resolution. This dataset is created by monitoring Options Price Reporting Authority (OPRA) data feed, which consolidates last sale and quotation information originating from the national securities exchanges that have been approved by the Securities and Exchange Commission.
AlgoSeek is a leading historical intraday US market data provider offering the most comprehensive and detailed market data and analytics products in the financial industry covering Equities, Futures, Options, cash FOREX, and Cryptocurrencies. AlgoSeek data is built for quantitative trading and machine learning. For more information about AlgoSeek, visit algoseek.com.
QuantConnect was founded in 2012 to serve quants everywhere with the best possible algorithmic trading technology. Seeking to disrupt a notoriously closed-source industry, QuantConnect takes a radically open-source approach to algorithmic trading. Through the QuantConnect web platform, more than 50,000 quants are served every month.
The US Index Options dataset enables you to accurately design strategies for Index Options. Examples include the following strategies:
- Buying VIX call Options to hedge against upcoming volatility
- Buying VIX put Options to capture the natural downward price movement in the VIX index
- Buying SPX put Options to protect against downward price movement in the S&P 500
Free access to US Index Options on the QuantConnect Cloud platform for research, backtest, and live trading. Live trading via Interactive Brokers only.
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