Option Features Dataset

The Option Features Dataset is a curated collection of end-of-day option analytics designed for active market participants who want to leverage option market sentiment and dynamics to gain insights into equity and equity options market behavior.

The data set combines information on underlying equities, a mix of common and proprietary data points from the SpiderRock option volatility surfaces and additional attributes related to liquidity, order flow, imbalances, implied metrics and historical option activity.

The data is aggregated at the underlying asset level for equities with active option<br/>markets.

Unique Features:

Earnings Indicator: Users can identify trading days with<br/>earnings announcements and timing of earnings releases which is essential for earnings event analysis.

Retail and institutional flow estimator proxies based on typical market practices<br/>and OPRA feed codes.

Risk-neutral implied metrics (implied skewness, kurtosis) and other research based<br/>implied volatility metrics.

Informed and behavioral option trading metrics, such as speculative call volume,<br/>short and long-term Put-Call ratio, and Put-Call Gamma imbalance.

Options implied market regime measures as mean-reversion/trending, implied<br/>volatility term structure slope and normalized Delta skew ratios.

Underlying asset closing auction imbalance data.