Using data from the Options Price Reporting Authority (OPRA) supplied by ISE, the LIM OPRA solution delivers historical options tick data in a variety of flexible formats to meet usersâ analytical requirements. In addition to providing raw trade and quote data, LIM OPRA allows data to be sliced into user-specified time increments, merged with other high and low-frequency data, and/or transformed into derived values.
The LIM OPRA file contains tick-by-tick trade information and second-by-second bid/ask data for the full universe of US equity, index, and ETF options dating back to June 2005. LIM also provides advanced analytical tools and robust data warehouse capabilities to reshape the data for end-user consumption by providing on-demand derived values, customer-specified ticker lists, and time slicing.
Examples of LIM OPRA uses include:
â¢ Time sliced snapshots of the market condition for all options series (e.g. hourly)
â¢ Time sliced bar rollup of trade and quote values: open, high, low, last
â¢ Time sliced implied volatility and standard option sensitivity values
â¢ A noon EST snapshot of market condition by exchange and/or NBBO
â¢ Raw tick history to backfill gaps or validate customerâs own data
âWe are pleased to partner with ISE to deliver valuable consumable data to sophisticated options traders that will enable them to back-test their trading strategies, develop better risk models and design other customized analytics,â said Tony Kolton, President and founder of LIM. âThis partnership provides us an excellent opportunity to extend our existing data offering and address on-going customer demand for calculated options values. This comprehensive offering provides a fully integrated solution that includes OPRA tick data, a sophisticated database and a powerful analytics engine to calculate volatilities and Greeks using industry standard or proprietary valuation models,â said Jeff Soule, ISE Head of Market Data.