OPTIONS DAILY ANALYTICS
Greeks and implied volatility you can actually audit.
Most teams either build a fragile valuation pipeline of their own or buy option analytics they cannot verify. algoseek computes end-of-day price, implied volatility, and the full set of Greeks from the complete OPRA feed, and ships the inputs alongside every value so the numbers can be checked.
Options Daily Analytics (sample)
EOD
| Field | Type | Example |
|---|---|---|
| Ticker | string | AAPL |
| CallPut | string | C |
| OptionStyle | string | A |
| Strike | decimal | 200.00 |
| MidTheoPrice | float | 14.32 |
| MidImpliedVol | float | 0.2345 |
| MidDelta | float | 0.6521 |
| MidGamma | float | 0.0134 |
| ImpliedVolConvergence | string | Direct |
Computed, not guessed
The hard part of options analytics is not the formula. It is everything around it.
Any textbook gives you Black-Scholes. What it does not give you is a clean option price to feed it, the right treatment for American versus European exercise, and a way to know when the volatility solve was clean, strained, or failed outright. Get any of that wrong and the Greeks look plausible and are quietly off, which is the worst way for a number to be wrong.
algoseek does that work once, consistently, for every listed US option. Each value is computed from the NBBO mid at the last traded minute, tagged with the contract’s exercise style, and shipped with a convergence status that tells you whether the implied volatility came straight from the pricing model, was interpolated from nearby contracts, or could not converge. You are not handed a number and asked to trust it. You are handed the number and a label for how much to trust it.
Exercise style on every contract
Each record carries the option’s exercise style, American or European, so the contract is valued and read in the correct framework instead of lumped together with the rest of the chain.
A convergence status on every value
Each implied volatility is tagged: solved directly from the pricing model, interpolated from nearby contracts, or flagged where it could not converge. You know how each number was reached before you build on it.
Every contract, every exchange
Derived from the complete OPRA feed, over 1.5 million contracts a day across every US options exchange, with Global Trading Hours activity included rather than dropped.
What’s in the dataset
One end-of-day record per contract, with the valuation and the risk.
Options Daily Analytics delivers theoretical price, implied volatility, and the full Greek set for every listed US option, keyed to the contract and ready to join to your chain on day one. Delivered end of day as CSV or SQL.
Options · Daily · US
US Options Daily Analytics
End-of-day option valuation and risk metrics for every listed US option. Contract identifiers, the underlying and option NBBO at the last traded minute, theoretical price, implied volatility with convergence status, and the full Greek set: delta, gamma, theta, vega, and rho. 23 fields per record.
TradeDate
Ticker
CallPut
OptionStyle
Strike
Expiration
UnderLastMidPrice
LastMidPrice
MidImpliedVol
MidTheoPrice
MidDelta
MidGamma
MidTheta
MidVega
MidRho
ImpliedVolConvergence
Reference · Equities
IPO Detailed
The full picture: underwriter, deal type, the pricing range the offering was marketed at, the proposed and initial prices, and the exchange code. Built for teams analyzing IPO performance, underwriter track records, or new-issue pricing dynamics.
Ticker
FirstTradingDate
ProposedPrice
SharePriceLowest
SharePriceHighest
InitialPrice
Underwriter
DealType
Why it holds up
Analytics are only as good as the feed and the method behind them.
Two teams can run the same formula and get different Greeks, because the inputs and the modeling choices differ. This is where most option analytics quietly diverge, and where ours are built to be checked.
Analytics you cannot see into
Computed on a partial or sampled feed, so thinly traded contracts carry the least reliable numbers.
One treatment applied to everything, with American and European exercise lumped together.
A bare number, with no pricing inputs attached and no flag for when the volatility could not be solved.
Global Trading Hours activity dropped, so the picture is incomplete outside the regular session.
algoseek Options Daily Analytics
Computed from the complete OPRA feed, every contract on every US options exchange.
Exercise style tagged per contract, American or European, not collapsed into one.
A convergence status on every value: solved directly, interpolated, or flagged.
The NBBO bid, mid, and ask and the underlying’s last mid ship alongside the result.
The NBBO bid, mid, and ask and the underlying’s last mid ship alongside the result.
Because the data and the analytics come from the same pipeline, the Greeks line up with the prices they were computed from. No reconciliation between two vendors, no gaps where one ends and the other begins. Take just the daily analytics if that is all you need, or get them inside the Options Historical Research or Multi-Asset packages, where they ship alongside the tick data, bars, security master, and everything else under one license with no exchange fees.
Explore the Data
Query the equity security master directly with Python or SQL. Up to a year of production data, no agreement, no credit card needed.
Talk to our team
Core team from the trading side. Integration help, licensing for redistribution, and pipeline design.