Data Format
Index Options
Folder Structure
The following table shows the paths of the Index Options data files:
| Resolution | Zip File | CSV File |
|---|---|---|
| Second and minute | indexoption / usa / <resolution> / <ticker> / <date>_<tickType>_<style>.zip | <date>_<ticker>_<resolution>_<tickType>_<style>_<right>_<strike>_<expiry>.csv |
| Hour and daily | indexoption / usa / <resolution> / <ticker>_<year>_<tickType>_<style>.zip | <ticker>_<tickType>_<style>_<right>_<strike>_<expiry>.csv |
In these paths, <ticker> is the ticker of the option, which can differ from the ticker of the underlying index. For example, SPX weekly options use spxw. Each zip file contains one CSV file for each contract. For example, indexoption / usa / minute / spx / 20210104_quote_european.zip contains 20210104_spx_minute_quote_european_call_32000000_20210115.csv. This CSV file holds the quotes of the SPX $3,200 call that expires on January 15, 2021.
Bar Data
The following table shows the bar data, with example rows from the minute files of the SPX $3,200 call on January 4, 2021:
| Data Type | Resolutions | Example |
|---|---|---|
| Trade bar | Second, minute, hour, and daily | 39180000,5160400,5160400,5160400,5160400,1 |
| Quote bar | Second, minute, hour, and daily | 34200000,5649000,5668000,5629000,5641000,115,5708000,5710000,5683000,5691000,115 |
| Open interest | Second, minute, hour, and daily | 23400000,11755 |
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