Our Options Data Packages are built for options trading, education, research, and sentiment analysis. Subscribe to one of our three packages – Bronze, Silver, or Gold – to get the data that meets your business needs.
You can easily change packages as your company’s needs change. When you move to the next tier, you’ll get higher-frequency pricing data, additional data sets and access methods, and premium support – without having to start over with a brand-new integration.
Here’s an overview of our three options data packages:
The Bronze package is ideal for developing your idea and prototyping your platform with high-quality EOD options prices sourced from OPRA.
When you’re ready for launch, it’s a seamless transition to our Silver package for delayed options prices, Greeks and implied volatility, and unusual options activity, plus delayed equity prices.
This package requires no paperwork or exchange fees.
The Silver package is ideal for clients that want delayed options data for their platform, or for startups in the development and testing phase. You’ll get 15-minute delayed options data, Greeks, implied volatility, and unusual options activity, plus the latest EOD options prices and delayed equity prices.
You can easily move up to the Gold package for real-time options and equity prices, additional access methods, and premium support options.
If you subscribe to the Silver package and will not display the data outside of your firm, you’ll need to fill out a simplified exchange agreement and send it back to us. There are no exchange fees and we can provide immediate access to the data.
If you subscribe to the Silver package and will display the data outside of your firm, we’ll work with your team to submit the correct paperwork to OPRA for approval. Once approved, OPRA will bill exchange fees directly to your firm – typically $600-$2000/month depending on your use case. These fees are the same no matter what data provider you use. Per-user reporting is not required, so there are no variable per user fees.
The Gold package is ideal for funded companies that are in the growth or scaling stage, as well as institutions that are innovating within the fintech space. This full-service solution offers real-time options prices, Greeks and implied volatility, and unusual options activity, as well as the latest EOD options prices and real-time equity prices.
You’ll also have access to our wide range of modern access methods, third-party data via Intrinio’s API with licensing assistance, support from our team of expert engineers, custom delivery architectures, and much more.
If you subscribe to the Gold package, we’ll work with your team to submit the correct paperwork to OPRA for approval. Once approved, OPRA will bill exchange fees directly to your firm – typically $600-$2000/month depending on your use case. These fees are the same no matter what data provider you use. Per-user reporting is required, with an associated variable per-user fee.
Don’t see a package that fits your needs? Our team can design a premium custom package for your business.
Our Silver and Gold options data packages feature unusual options activity, implied volatility, and Greeks. Here’s how these metrics work and why they’re valuable to investors:
Unusual options activity is anything that happens on the options market that seems out of the ordinary, such as large volume orders. You can request the latest unusual activity by ticker or across the entire OPRA universe.
Unusual options activity data can be very helpful in determining the direction of the market for a particular company or sector. On May 21, Zack's Equity Research reported unusual options activity on AMC Entertainment Holdings (AMC). By June 2, the stock price had risen by more than 417%. Similarly, Market Rebellion reported unusual activity on GameStop Corp (GME) on December 23, 2020. Over the next month and change, the underlying stock price went from around $20 to around $326 (an increase of about 1,589%).
Option block orders are large, privately negotiated orders executed off the public option exchanges. Such orders allow large institutions to fill a significant order without moving the underlying price in an unfavorable direction.
These orders are flagged by Intrinio based on the inherently immense notional value of the corresponding premiums paid, or collected, and significant order size.
An options sweep is a market order split across all exchanges to take advantage of the best prices for a given option contract on each individual exchange. Essentially all sweep orders suggest that the acting party is anticipating a significant move, in one direction or the other, in the underlying stock in the near future.
Intrinio has a threshold for sweeps and will only display trades of $3,000 or more. Since sweeps usually encompass multiple trades, the timestamp for sweeps will represent the time of the first trade in the series.
Implied volatility represents the market's demand or expectations for an option. If the market’s expectations increase and/or demand for a particular option increases, the implied volatility will rise – the opposite is true for decreasing demands or expectations. As a result, when implied volatility increases, the option’s premium increases, and when it decreases, the option’s premium decreases.
Technically speaking, implied volatility is expressed as the percentage of the stock price that indicates a one standard deviation range of where the underlying security’s stock price can end up in a year.
For example, if ACME is trading at $100 and the implied volatility of a particular contract is 25%, then the market is estimating there is a 68% chance of ACME’s stock price falling between $75 and $125 by the expiration date – 68% chance because that is one standard deviation from the mean.
Delta is an estimate of how much an option’s premium may change given a $1 increase/decrease in the underlying equity’s price. For call options, Delta fluctuates between 0 and 1 and for put options, Delta fluctuates between 0 and –1.
For example, if you paid $2 for a call option for ACME (currently trading at $20 a share) with a strike price of $20 and Delta of .5 (50%) and ACME’s price went from $20 to $21 (an increase of $1) then your call option should theoretically increase by 50% of the underlying’s move, or in this case by $0.50 and your call option is now worth $2.50.
Represents the rate of change of Delta relative to the change of the underlying security’s price and will be a number between 0 and 1.
The following example should demonstrate how Gamma affects Delta after the change in an underlying security stock price.
ACME call option has a Delta of .5 and a Gamma of .05. If ACME’s underlying price increases by $1 the premium will increase by $0.50, and the Delta will increase by the Gamma amount and now be .55. Meaning, if ACME’s underlying price were to increase by another dollar, then the new premium increase would be $0.55 and then once again the Delta would increase by whatever the current Gamma is. This would work the exact same given a decrease of $1 in the underlying price and you would subtract the Gamma amount from the current Delta.
Represents the rate of time decay for an option. It is typical for Theta’s decaying effects on the option premium to be smaller at first (when the option is far from expiration) and then exponentially increase as the option approaches expiration.
For example, if ACME were trading at $20, and you owned a $20 strike call trading at $1 with a Theta of .01, you would expect that the premium of your option would decrease by $.01 a day – holding all effects of other Greeks on the option premium’s price constant.
Represents an option’s sensitivity to implied volatility and measures the amount of increase or decrease in an option’s premium based on a 1% change in the implied volatility.
For example, ACME is trading at $100, and you purchased an option contract with a market value of $5, an implied volatility of 50% and a Vega of .1, then a 5% increase in implied volatility would increase the option contract market value by $0.50 – holding all effects of other Greeks on the option premium’s price constant.
We deliver all trade data and the National Best Bid & Offer quotes (as flagged by OPRA), while removing millions of unactionable messages to lower the infrastructure costs associated with processing options data.
Our Web API has a delay between 250 and 500 milliseconds. Ask/bid data is always conflated at 250 milliseconds. If you use our streaming WebSocket, latency is under 100 milliseconds.
Visit our website to compare plans and get the right data package for your business.