Equity Options Daily
End-of-day equity options analytics: implied volatility, Greeks, theoretical pricing, and open interest. Black-Scholes-Merton models. Since 2012.
End-of-day analytics and reference data for U.S. equity options covering historical implied volatility data, options Greeks data, theoretical pricing, and open interest. Coverage begins in 2012.
The daily analytics dataset provides implied volatility and the full set of Greeks (delta, gamma, theta, vega, rho) for every listed U.S. options contract, computed from last-minute mid-prices using Black-Scholes-Merton models. European-style options use closed-form analytical formulas; American-style options use finite-difference numerical pricing. Convergence codes are included for transparency and downstream validation.
Open interest is consolidated across all exchanges at the contract level, providing a daily snapshot of market positioning and liquidity across the full U.S. listed options universe.
Daily Analytics#
The U.S. Options Daily Analytics dataset provides end-of-day option valuation and risk metrics computed using the last-minute mid-price of each trading session. For each listed U.S. options contract, the dataset includes the theoretical option price, implied volatility, and the full set of standard Greeks: delta, gamma, theta, vega, and rho. Calculations are performed using the Black-Scholes-Merton framework, with closed-form analytical formulas applied to European-style options and a finite-difference numerical pricing model applied to American-style options. To support transparency and downstream validation, the dataset also provides the underlying asset mid-price at the calculation minute and implied volatility convergence codes, indicating the numerical stability and outcome of the volatility solve. This dataset is designed for daily risk monitoring, portfolio analytics, volatility research, and options valuation workflows, where consistent, model-based end-of-day metrics are required.
Open Interest#
The U.S. Options Open Interest dataset provides daily open interest information for U.S. equity and index options, derived from Options Price Reporting Authority (OPRA) open interest publications. The dataset consolidates open interest across all U.S. equity options exchanges, delivering contract-level visibility into the number of outstanding option positions at the end of each trading day. Open interest values are provided per option contract, enabling analysis of market participation, liquidity concentration, positioning trends, and risk exposure across strikes, expirations, and option types.