Python function: getOptionsQuotes()

Specification	Value
Delivery Frequency	continuous
Data Frequency	real-time, intraday (1-min), daily
Reporting Lag	Live snapshots every minute; daily EOD ~14 min before close
Coverage	5,000+ U.S. equity options symbols, all strikes and expirations
History	Since 2007-01-02
Availability	Free

Product Overview

Overview

Options Quotes provides comprehensive quote data for U.S. equity options — bid/ask/mid prices, contract metadata, implied volatilities, and full Greeks — at three granularity levels:

Live: The latest 1-minute snapshot for any option contract.
Intraday historical: 1-minute bars with full Greeks and IV, available from August 2020.
Daily historical: End-of-day quotes with additional fields (interest rate, dividend rate, exercise style), available from 2007.

The dataset covers 5,000+ underlying symbols across all U.S. options exchanges. Options are identified by their OPRA symbol (e.g., AAPL260213C00280000).

Data Pipeline

Live and Intraday Quotes

Live and intraday options quotes are sourced from a high-frequency options data pipeline that captures strike-level snapshots every minute during market hours:

1-minute strike snapshots: Every minute, a snapshot is captured for each active strike across all expirations for 5,000+ underlying symbols.
Smoothed implied volatility: Raw market quotes are cleaned, normalized, and processed through a Smooth Market Value (SMV) system to produce accurate implied volatilities. The SMV system fits a non-arbitrageable smooth curve through strike implied volatilities (see the Options Greeks & Implied Volatility reference for full methodology).
Greeks derivation: Delta, gamma, theta, vega, rho, and phi are computed from the smoothed IV surface using a modified binomial pricing engine that accounts for dividends, interest rates, and early exercise (American-style options).
Bid/ask IV: Separate implied volatilities are calculated at the bid and ask prices, in addition to the smoothed mid-IV.

Daily Historical Quotes

Daily end-of-day quotes are sourced from archived Level 1 (L1) data files:

Near end-of-day snapshot: Captured approximately 14 minutes before market close to ensure representative end-of-day values.
Smoothed Greeks: Same SMV methodology as live/intraday, applied to end-of-day quotes.
Additional fields: Daily quotes include the risk-free interest rate, dividend rate, exercise style, and shares per contract.

Call/Put Parity

The system computes a single set of Greeks (delta, gamma, theta, vega, rho, phi) per strike that is consistent across both the call and the put. A residual yield rate is solved via put-call parity to align call and put implied volatilities, accounting for hard-to-borrow stocks and varying dividend assumptions.

Coverage

Underlying symbols: 5,000+ U.S. equities and ETFs with listed options.
Intraday history: August 2020 to present (1-minute granularity).
Daily history: 2007 to present (end-of-day snapshots).
Live data: Real-time 1-minute snapshots during market hours.

Supported Modes

Mode	Trigger	Granularity
Live	Omit `start` and `end`	Latest 1-minute snapshot
Intraday historical	`start`/`end` as `'YYYY-MM-DDTHH:MM:SS'`	1-minute bars
Daily historical	`start`/`end` as `'YYYY-MM-DD'`	End-of-day

Note: Intraday mode supports a maximum of 20 trading days per call. For larger ranges, query in smaller chunks.

Querying the Data

Basic Usage

from scalarlib import getOptionsQuotes

# Live: latest snapshot with full Greeks
quotes = getOptionsQuotes(tickers=['AAPL260213C00280000'])
quote_df = quotes['AAPL260213C00280000']

# Live: call + put on the same strike
quotes = getOptionsQuotes(tickers=[
    'AAPL260213C00280000',
    'AAPL260213P00280000',
])

# Intraday historical: 1-minute bars
quotes = getOptionsQuotes(
    tickers=['AAPL260213C00280000'],
    start='2026-02-06T10:00:00',
    end='2026-02-06T10:30:00'
)

# Daily historical: end-of-day quotes
quotes = getOptionsQuotes(
    tickers=['AAPL260213C00280000'],
    start='2026-02-01',
    end='2026-02-06'
)

Parameters

Parameter	Type	Required	Description
`tickers`	list of str	Yes	Option symbols in OPRA format (e.g., `['AAPL260213C00280000']`).
`start`	str	No	Start date (`'YYYY-MM-DD'`) or datetime (`'YYYY-MM-DDTHH:MM:SS'`, New York time). Omit with `end` for live mode.
`end`	str	No	End date or datetime. Omit with `start` for live mode.

Column Definitions

Live & Intraday Columns

Column	Type	Description
`ts_recv`	datetime64[ns]	Timestamp in New York time.
`ticker`	string	Option symbol in OPRA format.
Prices
`bid_px`	float64	Best bid price.
`ask_px`	float64	Best ask price.
`mid_px`	float64	Theoretical mid-price (smoothed).
Sizes
`bid_sz`	int64	Bid size (number of contracts).
`ask_sz`	int64	Ask size (number of contracts).
Contract Metadata
`underlying_ticker`	string	Underlying symbol (e.g., `AAPL`).
`contract_type`	string	`'call'` or `'put'`.
`expiry_date`	string	Expiration date (`YYYY-MM-DD`).
`strike_price`	float64	Strike price.
`days_to_expiry`	int64	Calendar days until expiration.
`years_to_expiry`	float64	Years until expiration (days / 365.25).
Greeks
`delta`	float64	Rate of change of option price with respect to underlying price.
`gamma`	float64	Rate of change of delta with respect to underlying price.
`theta`	float64	Rate of change of option price with respect to time (per day).
`vega`	float64	Rate of change of option price with respect to volatility.
`rho`	float64	Rate of change of option price with respect to interest rate.
`phi`	float64	Rate of change of option price with respect to dividend yield.
Implied Volatilities
`bid_iv`	float64	Implied volatility at the bid price.
`mid_iv`	float64	Implied volatility at the mid price (smoothed).
`ask_iv`	float64	Implied volatility at the ask price.
Trading
`volume`	float64	Daily trading volume.
`open_interest`	float64	Open interest.

Additional Daily Historical Columns

Daily historical mode returns all columns above (except bid_sz / ask_sz) plus:

Column	Type	Description
`interest_rate`	float64	Risk-free interest rate used in pricing.
`dividend_rate`	float64	Dividend yield used in pricing.
`exercise_style`	string	`'american'` or `'european'`.
`shares_per_contract`	int64	Shares per contract (typically 100).
`mid_value`	float64	Theoretical mid-value.

Getting Started

Trading

Trading Venues

Market Data

Usage & Pricing

Options Quotes

Product Overview

Overview

Data Pipeline

Live and Intraday Quotes

Daily Historical Quotes

Call/Put Parity

Coverage

Supported Modes

Querying the Data

Basic Usage

Parameters

Column Definitions

Live & Intraday Columns

Additional Daily Historical Columns

​Product Overview

​Overview

​Data Pipeline

​Live and Intraday Quotes

​Daily Historical Quotes

​Call/Put Parity

​Coverage

​Supported Modes

​Querying the Data

​Basic Usage

​Parameters

​Column Definitions

​Live & Intraday Columns

​Additional Daily Historical Columns

Product Overview

Overview

Data Pipeline

Live and Intraday Quotes

Daily Historical Quotes

Call/Put Parity

Coverage

Supported Modes

Querying the Data

Basic Usage

Parameters

Column Definitions

Live & Intraday Columns

Additional Daily Historical Columns