Equity Options Close Mark

Data Description:<br/>SpiderRock’s Option Closing Marks is a unique set of over 50 data fields including the SR closing mark and an exchange closing mark. Data featured includes the closing quotes, closing prices, SpiderRock’s closing underlier bid, following with option bid, ask and mark (Closing time minus 1 minute), option implied bid/ask volatilities, Greeks, dividend data, surface volatilities and prices, and calculations on both the option and its underlier. Prior day closing quotes and prices are also included.

Typical Use Cases:<br/>Some typical uses for this data include back-testing, incubating/optimizing strategies, trade-cost analysis (TCA), model market volatility and relative market movement, replay market patterns, and accurate compliance reporting.

Additional Information:

1. Data Quality<br/>Closing mark records are bases for the volatility surface PnL calculations in the SpiderRock platform ensuring accuracy, timeliness, and corrections if needed. SpiderRock’s proprietary approach selects the most appropriate closing price for the given security type and surface prices. This process significantly reduces the effort required to reconcile bad closing marks and provide consistent day-to-day results that reduce frustrating mark noise and better represent a Sharpe Ratio.

2. Data Presentation <br/>Data is collected point-in-time and archived from our trading platform's ticker plant. The format of the data is consistent with our real-time volatility feed and live analytics. The dataset is organized in multiple columns with each column representing a different data point.

3. Data Sources<br/>Our historical data is derived from the live data and analytics which powers the SpiderRock trading system and ensures a high level of accuracy and consistency. The data is also properly labeled, point in time and duplicates have been removed and basic data cleaning has been performed to improve the quality of the information. SpiderRock evaluates the data for validity and accuracy and performs statistical checks on the production databases daily to verify completeness.