> ## Documentation Index > Fetch the complete documentation index at: https://scalarfield.io/docs/llms.txt > Use this file to discover all available pages before exploring further. # Options Quotes > Live, intraday (1-minute), and daily historical options quotes with bid/ask/mid prices, contract metadata, and full Greeks. Covers 5,000+ US equity options symbols with intraday history back to August 2020. **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 ```python theme={null} 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. |