The Options Price History page can be used to display and download daily historical option prices for specific puts or calls. Historical daily options data is available only for U.S. and Canadian equities (stocks, ETFs, and indices), including options that have expired. Historical daily price data is available for expirations back to 01/03/2017.
The following information is required to retrieve the option prices:
- Symbol: Entry of a valid U.S. or Canadian equity symbol is required.
- Expiration: Select an expiration date from the calendar. Normally, monthly expiration dates fall on the third Friday of each month.
- Strike: Enter the strike price you want to view history for.
- Type: Select Put or Call from the dropdown.
- Aggregation: Select Daily or Intraday. When using Intraday, select the number of Minutes.
- (Optional) Start/End Dates: You may optionally enter a range of trade dates to view.
Click Show Prices to view the selected data. The page retrieves only the latest 1000 records of available history, while the download file will retrive the latest 20,000 records.
Once the data is retrieved, you may download the data to a .csv file using the "download" icon located at the top right of the page. Data shown includes
- Time: Trade date
- Open: The daily open price of the option
- High: The daily high price of the option
- Low: The daily low price of the option
- Last: The daily closing price of the option
- Change: The daily change for the option
- Volume: The daily volume for the option
- Open Interest: The daily open interest for the option
- Implied Volatility: The daily implied volatility for the option
- Delta: Measures the sensitivity of an option\'s theoretical value to a change in the price of the underlying asset.
- Gamma: Measures the rate of change in the delta for each one-point increase in the underlying asset.
- Theta: A measure of the time decay of an option, the dollar amount that an option will lose each day due to the passage of time.
- Vega: Measures the sensitivity of the price of an option to changes in volatility.
- Rho: The rate at which the price of a derivative changes relative to a change in the risk-free rate of interest.
- Theoretical: The hypothetical value of the option, calculated by the Binomial Option Pricing Model.
- Price: The last price of the underlying equity.
- Strike: The strike price of the option.