About US Equity Options
The US Equity Options data by AlgoSeek provides Option data, including prices, strikes, expires, and open interest. The data covers 4,000 Symbols, starts in January 2012, and is delivered on a minute frequency. This dataset is created by monitoring 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.
This dataset depends on the following datasets:
- US Equity Security Master - data on splits, dividends, and symbol changes for the underlying Equities.
- US Equity Option Universe - data on the available contracts and their daily Greeks and implied volatility values.
- US Equities - trade and quote data on the underlying Equities.
- Buying put Options to hedge against downward price movement in positive Equity positions
- Exploiting arbitrage opportunities that arise when the price of Option contracts deviate from their theoretical value
About AlgoSeek
AlgoSeek was in 2014 with the goal of providing the highest quality, most accurate, ready-to-use data in the financial data industry. AlgoSeek provides access to Equities, ETFs, ETNs, Equity Indices, Equity Options, Futures, and Future Options for quantitative firms and traders.
About QuantConnect
QuantConnect was founded in 2012 to serve quants everywhere with the best possible algorithmic trading technology. Seeking to disrupt a notoriously closed-source industry, QuantConnect takes a radically open-source approach to algorithmic trading. Through the QuantConnect web platform, more than 50,000 quants are served every month.
Algorithm Example
from AlgorithmImports import *
from QuantConnect.DataSource import *
class USEquityOptionsDataAlgorithm(QCAlgorithm):
def initialize(self) -> None:
self.set_start_date(2020, 6, 1)
self.set_end_date(2020, 8, 1)
self.set_cash(100000)
self.universe_settings.asynchronous = True
# Requesting data
self.underlying = self.add_equity("GOOG").symbol
option = self.add_option("GOOG")
self.option_symbol = option.symbol
# To speculate trade the underlying with a low cost, filter for the ATM calls that expiring in the current week
# -2/+2 strike buffer is given for small price change
option.set_filter(lambda u: u.include_weeklys().calls_only().strikes(-2, +2).expiration(0, 6))
self.contract = None
def on_data(self, slice: Slice) -> None:
# Close the underlying position if the option contract is exercised
if self.portfolio[self.underlying].invested:
self.liquidate(self.underlying)
# Select with the lastest option chain data only
chain = slice.option_chains.get(self.option_symbol)
if self.contract and not self.portfolio[self.contract.symbol].invested and chain:
# Select the call contracts with the furthest expiration (week end)
furthest_expiry = sorted(calls, key = lambda x: x.expiry, reverse=True)[0].expiry
furthest_expiry_calls = [contract for contract in calls if contract.expiry == furthest_expiry]
# Get the ATM call for speculate trade with low cost and limited loss
self.contract = sorted(furthest_expiry_calls, key = lambda x: abs(chain.underlying.price - x.strike))[0]
self.market_order(self.contract.symbol, 1)
def on_securities_changed(self, changes: SecurityChanges) -> None:
for security in changes.added_securities:
# Historical data
history = self.history(security.symbol, 10, Resolution.MINUTE)
self.debug(f"We got {len(history)} from our history request for {security.symbol}")
Example Applications
The US Equity Options dataset enables you to accurately design Option strategies. Examples include the following strategies:
Pricing
Cloud Access
Freely harness terabytes of US Equity Options data in the QuantConnect Cloud for your backtesting and live trading purposes.
Minute Download
US Equity Options Minute resolution archives in LEAN format for on premise backtesting and research. One file per ticker/day (include all contracts).
Hour Download
US Equity Options Hour resolution archives in LEAN format for on premise backtesting and research. One file per ticker/year (include all contracts).
Daily Download
US Equity Options Daily resolution archives in LEAN format for on premise backtesting and research. One file per ticker/year (include all contracts).
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