Real-Time Options Data Too Expensive? Try Filtered Options

Chelsea Caltuna
September 24, 2020

Update 12/10: We now offer 15-minute delayed options!

Reliable, real-time options data is critical for anyone looking to participate in the market for options contracts, but the combined licensing, infrastructure, and delivery costs can make live options data a challenge for enterprises and downright inaccessible for smaller companies.

Fortunately, you don’t need the full OPRA feed to gain the benefits of option pricing data. A filtered real-time options data feed eliminates unactionable data to reduce bandwidth up to 80%. In this blog, we’ll explain why options data is so expensive and how filtered options delivers more value and less noise. First up…

Who needs equity options data?

There are two primary use cases for real-time options data:

  • Internal investing: hedge funds, quant funds, and investment teams within large banks or financial institutions need data on options contracts to manage their internal investments
  • External platform: fintech companies run options data through their customer-facing applications to help individual investors make educated investment decisions

Typically, users who fall into either of these categories don’t actually need the full, unfiltered OPRA feed; there just hasn’t been a good alternative (until now).

Why is real-time options data so expensive?

Connecting to the full OPRA feed can cost upwards of $500k a year. There’s no sugarcoating it – that’s a lot of money.

That cost is a combination of three factors:

  • Licensing. The exchange license to access OPRA data can cost thousands of dollars annually.
  • Delivery. You’ll have to pay for delivery through API or your access method of choice.
  • Infrastructure. Your business needs the infrastructure to process an ever-growing amount of data.

If you’ve ever managed a real-time options data feed, you know that infrastructure is the killer. OPRA disseminates all US options data in a feed that contains trades, quotes, and administrative messages. The amount of data in this feed is constantly expanding – skyrocketing your bandwidth and processing power requirements. This presents pretty significant technical challenges to users.

What is a filtered real-time options data feed?

Filtered options maintain the data that most users actually need – real-time trades and National Best Bid and Offer (NBBO) – while eliminating millions of BBO messages and other unnecessary, unactionable information.

NBBO data is flagged by OPRA and conflated at 250 millisecond intervals, and the intervals aren’t reset even if a trade comes through (you’ll just see the trade and then the next NBBO at its scheduled time). Because most users don’t need every BBO message and can’t process or act on the NBBO faster than 250 milliseconds, they can reduce their bandwidth and processing requirements from more than 40 Gbps to less than 10Gbps without experiencing a drop in data quality. Even as the volume of the standard OPRA feed grows, there will be little impact to your infrastructure.

Why get filtered real-time options data from Intrinio?

Intrinio now offers a filtered real-time options feed for business users. Our feed includes the following data from OPRA and the OCC:

  • Greeks (delta, gamma, theta, vega)
  • Implied volatility
  • Last trade price, size & timestamp 
  • Total trade volume 
  • Last ask/bid price, size & timestamp
  • Underlying symbol 
  • Put or call 
  • Expiration date 
  • Strike price
  • Exercise style 
  • Open interest 

This feed is available via our Web API and real-time WebSocket. We also offer direct database access, which is exceptionally useful for businesses that need to manage, organize, and sort through massive amounts of options pricing data.

We offer the best data tools on the market for developers, engineers, and analysts. Whatever your preferred access method, we provide step-by-step documentation, syntax builders, and more to streamline onboarding and integration. Plus, our flexible licensing allows you to display options data to end users at reasonable rates.

Our filtered options feed is backed by our responsive, US-based support team. If you experience an issue, we have a built-in ticketing system and live chat five days a week.

Ready to build a filtered options solution that’s tailored to your business? Request a consultation with our team to get started.

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