AlgoSeek

US Index Options

Introduction

The US Index Options dataset by AlgoSeek covers European Option contracts for 3 US Indices: SPX, VIX, and NDX. The dataset starts from January 2012 and is delivered on minute resolution. This dataset is created by monitoring the 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.

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

About the Provider

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.

Getting Started

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

from QuantConnect.DataSource import *

self.index_symbol = self.AddIndex('VIX').Symbol
option = self.AddIndexOption(self.index_symbol)
option.SetFilter(-2, 2, 0, 90)
self.option_symbol = option.Symbol
using QuantConnect.DataSource;

_indexSymbol = AddIndex("VIX").Symbol;
var option = AddIndexOption(_indexSymbol);
option.SetFilter(-2, 2, 0, 90);
_optionSymbol = option.Symbol;

Data Summary

The following table describes the dataset properties:

PropertyValue
Start DateJanuary 2012
Asset Coverage7 Index Options
Data DensityRegular
ResolutionMinute, Hourly, & Daily
TimezoneNew York

Data Point Attributes

The US Index Options dataset provides TradeBar and QuoteBar objects.

TradeBar Attributes

TradeBar objects have the following attributes:

QuoteBar Attributes

QuoteBar objects have the following attributes:

Supported Assets

The following table shows the available Index Options:

Underlying IndexUnderlying TickerTarget TickerStandard ContractsWeekly ContractsTradable on Expiry Day
S&P500VIXgreen check
S&P500VIXVIXWgreen check
S&P500SPXgreen check
S&P500SPXSPXWgreen checkgreen check
NASDAQ-100NDXgreen check
NASDAQ-100NDXNDXPgreen checkgreen check
NASDAQ-100NDXNQXgreen checkgreen checkgreen check

For more information about each underlying Index, see Supported Indices.

Requesting Data

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

class IndexOptionsDataAlgorithm(QCAlgorithm):
    def Initialize(self) -> None:
        self.SetStartDate(2021, 1, 1);
        self.SetEndDate(2021, 6, 1);
        self.SetCash(1000000);
        self.UniverseSettings.Asynchronous = True
        self.index_symbol = self.AddIndex('VIX').Symbol
        
        standard_option = self.AddIndexOption(self.index_symbol)
        standard_option.SetFilter(-2, 2, 0, 90)
        self.standard_option_symbol = standard_option.Symbol

        weekly_option = self.AddIndexOption(self.index_symbol, "VIXW")
        weekly_option.SetFilter(-2, 2, 0, 90)
        self.weekly_option_symbol = weekly_option.Symbol
namespace QuantConnect
{
    public class IndexOptionsDataAlgorithm : QCAlgorithm
    {
    	private Symbol _indexSymbol, _standardOptionSymbol, _weeklyOptionSymbol;

        public override void Initialize()
        {
            SetStartDate(2021, 1, 1);
            SetEndDate(2021, 6, 1);
            SetCash(100000);
            UniverseSettings.Asynchronous = True;
            _indexSymbol = AddIndex("VIX").Symbol;

            var standardOption = AddIndexOption(_indexSymbol);
            standardOption.SetFilter(-2, 2, 0, 90);
            _standardOptionSymbol = standardOption.Symbol;

            var weeklyOption = AddIndexOption(_indexSymbol, "VIXW");
            weeklyOption.SetFilter(-2, 2, 0, 90);
            _weeklyOptionSymbol = weeklyOption.Symbol;
        }
    }
}

The Index resolution must be less than or equal to the Index Option resolution. For example, if you set the Index resolution to minute, then you must set the Index Option resolution to minute, hour, or daily.

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

Accessing Data

To get the current US Index Options data, index the OptionChains property of the current Slice with the canonical Index 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.

def OnData(self, slice: Slice) -> None:
    standard_chain = slice.OptionChains.get(self.standard_option_symbol)
    if standard_chain:
        for contract in standard_chain:
            self.Log(f"{contract.Symbol} price at {slice.Time}: {contract.LastPrice}")

    weekly_chain = slice.OptionChains.get(self.weekly_option_symbol)
    if weekly_chain:
        for contract in weekly_chain:
            self.Log(f"{contract.Symbol} price at {slice.Time}: {contract.LastPrice}")
public override void OnData(Slice slice)
{
    if (slice.OptionChains.ContainsKey(_standardOptionSymbol))
    {
        var standardChain = slice.OptionChains[_standardOptionSymbol];
        foreach (var contract in standardChain)
        {
            Log($"{contract.Symbol} price at {slice.Time}: {contract.LastPrice}");
        }
    }

    if (slice.OptionChains.ContainsKey(_weeklyOptionSymbol))
    {
        var weeklyChain = slice.OptionChains[_weeklyOptionSymbol];
        foreach (var contract in weeklyChain)
        {
            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 Index Options data, see Handling Data.

Historical Data

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

Historical Data In Algorithms

To get historical US Index Options data in an algorithm, call the History method with the Index 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 Index Options data in the Research Environment for an entire Option chain, call the OptionHistory method with the canonical Option Symbol.

qb = QuantBook()
index_symbol = qb.AddIndex('VIX').Symbol
option = qb.AddIndexOption(index_symbol) # or qb.AddIndexOption(index_symbol, "VIXW")
option.SetFilter(-2, 2, 0, 90)
history = qb.OptionHistory(option.Symbol, datetime(2020, 6, 1), datetime(2020, 6, 5))

all_history = history.GetAllData()
expiries = history.GetExpiryDates() 
strikes = history.GetStrikes()
var qb = new QuantBook();
var indexSymbol = qb.AddIndex("VIX").Symbol;
var option = qb.AddIndexOption(indexSymbol); // or qb.AddIndexOption(indexSymbol, "VIXW");
option.SetFilter(-2, 2, 0, 90);
var history = qb.OptionHistory(option.Symbol, new DateTime(2020, 6, 1), new DateTime(2020, 6, 5));

var contracts = history.SelectMany(x => x.OptionChains.SelectMany(y => y.Value.Contracts.Keys)).Distinct().ToList();
var expiries = contracts.Select(x => x.ID.Date).Distinct().ToList();
var strikes = contracts.Select(x => x.ID.StrikePrice).Distinct().ToList();

To get historical data for a single US Index 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 Index Options.

Example Applications

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

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