SpiderRock Options Alternative Data Sets
SpiderRock provides robust historical options market data and analytics.
SpiderRock is a respected brand in calculating implied volatility, greeks, other risk metrics, and fitting volatility surfaces.
Their historical data is derived from their live data & analytics ensuring a high level of accuracy and consistency.
Three data sets are available via Liberator.
Options Live Surface Term ID every 10 minutes - from 1/1/2019
Options Live Surface Term records contain a live implied volatility term record at standardized days-to-expiration.
Options Live Surface Term ID End of Day (EOD) - from 1/1/2019
Options Live Surface Term records contain a live implied volatility term record at standardized days-to-expiration.
Options Print Set ID - from 1/1/2016
Option Print Set records contain every option print along with quote, surface, and SR probability details at print time. CAUTION - THIS IS A VERY LARGE DATASET