AlgoSeek

US Equity Options

Introduction

The US Equity Options data by AlgoSeek provides Option data, including prices, strikes, expires, implied volatility, and Greeks. The data covers 4,000 Symbols, starts in January 2012, and is delivered on a minute frequency. 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.

This dataset depends on the US Equity Security Master dataset because the US Equity Security Master dataset contains information on splits, dividends, and symbol changes of the underlying security.

For more information about the US Equity Options dataset, including CLI commands and pricing, see the dataset listing.

About the Provider

AlgoSeek was in 2014 with the goal of providing the highest quality, most accurate, ready-to-use data in the financial data industry. AlgoSeek provides access to Equities, ETFs, ETNs, Equity Indices, Equity Options, Futures, and Future Options for quantitative firms and traders.

Getting Started

The following snippet demonstrates how to request data from the US Equity Options dataset:

option = self.AddOption("GOOG")
self.option_symbol = option.Symbol
option.SetFilter(-2, +2, 0, 180)
var option = AddOption("GOOG");
_optionSymbol = option.Symbol;
option.SetFilter(-2, +2, 0, 180);

Data Summary

The following table describes the dataset properties:

PropertyValue
Start DateJanuary 2012*
Asset Coverage4,000 Symbols
Data DensityDense
ResolutionMinute, Hourly, & Daily
TimezoneNew York

* Some data is available before this date. In 2012, AlgoSeek started to fetch data from 48 OPRA channels instead of 24, increasing the quality of the data.

Supported Assets

To view the supported assets in the US Equity Options dataset, see the Data Explorer.

Data Point Attributes

The US Equity Options dataset provides TradeBar, QuoteBar, and OpenInterest objects.

TradeBar Attributes

TradeBar objects have the following attributes:

QuoteBar Attributes

QuoteBar objects have the following attributes:

OpenInterest Attributes

OpenInterest objects have the following attributes:

Requesting Data

To add US Equity Options data to your algorithm, call the AddOption method. Save a reference to the Equity Option Symbol so you can access the data later in your algorithm.

class USEquityOptionsDataAlgorithm(QCAlgorithm):

    def Initialize(self) -> None:
        self.SetStartDate(2020, 6, 1)
        self.SetEndDate(2021, 6, 1)
        self.SetCash(100000)

        option = self.AddOption("GOOG")
        self.option_symbol = option.Symbol
        # Set our strike/expiry filter for this option chain
        option.SetFilter(-2, +2, 0, 180)
namespace QuantConnect
{
    public class USEquityOptionsDataAlgorithm : QCAlgorithm
    {
        private Symbol _optionSymbol;
        
        public override void Initialize()
        {
            SetStartDate(2020, 6, 1);
            SetEndDate(2021, 6, 1);
            SetCash(100000);
            
            // Requesting data
            var option = AddOption("GOOG");
            _optionSymbol = option.Symbol;
            // Set our strike/expiry filter for this option chain
            option.SetFilter(-2, +2, 0, 180);
        }
    }
}

The Equity resolution must be less than or equal to the Equity Option resolution. Equity Options only have minute resolution available, so the Equity must have tick, second, or minute resolution.

For more information about creating US Equity Option subscriptions, see Requesting Data or Equity Options Universes.

Accessing Data

To get the current US Equity Options data, index the OptionChains property of the current Slice with the canonical Equity Option Symbol. Slice objects deliver unique events to your algorithm as they happen, but the Slice may not contain data for your Index Option at every time step. To avoid issues, call the get method.

def OnData(self, slice: Slice) -> None:
    chain = slice.OptionChains.get(self.option_symbol)
    if chain:
        for contract in chain:
            self.Log(f"{contract.Symbol} price at {slice.Time}: {contract.LastPrice}")
public override void OnData(Slice slice)
{
    if (slice.OptionChains.ContainsKey(_optionSymbol))
    {
        var chain = slice.OptionChains[_optionSymbol];
        foreach (var contract in chain)
        {
            Log($"{contract.Symbol} price at {slice.Time}: {contract.LastPrice}");
        }
    }
}

You can also iterate through all of the OptionChain objects in the current Slice.

def OnData(self, slice: Slice) -> None:
    for canonical_symbol, chain in slice.OptionChains.items():
        for contract in chain:
            self.Log(f"{contract.Symbol} price at {slice.Time}: {contract.LastPrice}")
public override void OnData(Slice slice)
{
    foreach (var kvp in slice.OptionChains)
    {
        var canonicalSymbol = kvp.Key;
        var chain = kvp.Value;
        foreach (var contract in chain)
        {
            Log($"{contract.Symbol} price at {slice.Time}: {contract.LastPrice}");
        }
    }
}

For more information about accessing US Equity Options data, see Handling Data.

Historical Data

You can get historical US Equity Options data in an algorithm and the Research Environment.

Historical Data In Algorithms

To get historical US Equity Options data in an algorithm, call the History method with the Equity Option contract Symbol. If there is no data in the period you request, the history result is empty.

# DataFrame
history_df = self.History(contract.Symbol, 100, Resolution.Minute)

# TradeBar objects
history_trade_bars = self.History[TradeBar](contract.Symbol, 100, Resolution.Minute)

# QuoteBar objects
history_quote_bars = self.History[QuoteBar](contract.Symbol, 100, Resolution.Minute)
// TradeBar objects 
var historyTradeBars = History(contract.Symbol, 100, Resolution.Minute);

// QuoteBar objects 
var historyQuoteBars = History<QuoteBar>(contract.Symbol, 100, Resolution.Minute);

For more information about historical data in algorithms, see History Requests.

Historical Data In Research

To get historical US Equity Options data in the Research Environment for an entire Option chain, call the GetOptionHistory method with the canonical Option Symbol.

qb = QuantBook()
option = qb.AddOption("GOOG") 
option.SetFilter(-2, 2, 0, 90)
history = qb.GetOptionHistory(option.Symbol, datetime(2020, 6, 1), datetime(2020, 6, 5))

all_history = history.GetAllData()
expiries = history.GetExpiryDates() 
strikes = history.GetStrikes()
// The GetOptionHistory method isn't currently available for C#
// To track the feature progress, subscribe to https://github.com/QuantConnect/Lean/issues/6489

To get historical data for a single US Equity Option contract, call the History method like you would in an algorithm but on the QuantBook object. For more information about historical data in the Research Environment, see Equity Options.

Example Applications

The US Equity Options dataset enables you to accurately design Option strategies. Examples include the following strategies:

  • Buying put Options to hedge against downward price movement in positive Equity positions
  • Exploiting arbitrage opportunities that arise when the price of Option contracts deviate from their theoretical value

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