# Equities and ETF Option Data

Equity Options Data track derivatives indicators across equities and ETF's.

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Data is updated daily at 7PM EST

At The Money Implied volatility for the first standard expiration (month 1, 2, 3 or 4) of an option contract of a corresponding stock symbol.

Implied hard-to-borrow interest rate at two years to expiration (given options prices put call parity) for a corresponding stock symbol.

A term structure measure which looks at the ratio of the ATM 20 day implied volatility to 30 day implied volatility.

A term structure measure which looks at the ratio of the ATM 30 day implied volatility to 60 day implied volatility.

A term structure measure which looks at the ratio of the ATM 60 day implied volatility to 90 day implied volatility.

A term structure measure which looks at the ratio of the ATM 90 day implied volatility to 6 month implied volatility.

A measure of the volatility risk premium of 30 day at the money implied volatility compared to n-day realized volatility.

Implied hard-to-borrow interest rate at 30 days to expiration (given options prices put call parity) for a corresponding stock symbol.

Total call open interest for a corresponding stock symbol.

30-day implied volatility ex-earnings correlation with the Best ETF 30-day implied volatility over the last month, for a corresponding stock symbol.

30-day implied volatility ex-earnings correlation with the SPDR Sector ETF 30-day implied volatility over the last year, for a corresponding stock symbol.

30-day implied volatility ex-earnings correlation with SPY over the last month, for a corresponding stock symbol.

30-day implied volatility ex-earnings correlation with SPY over the last year, for a corresponding stock symbol.

Today’s call option volume for all strikes for the current trading day, for a corresponding stock symbol.

The actual earnings move, up or down, following an earnings announcement. A value of "2" would represent the move for the second last earnings announcement.

Average earnings straddle price as a percent of the stock price at the last (one through twelve) earnings dates.

20-calendar-day ATM interpolated implied volatility for a corresponding symbol.

30-calendar-day ATM interpolated implied volatility for a corresponding symbol.

60-calendar day ATM interpolated implied volatility for a corresponding symbol.

90-calendar day ATM interpolated implied volatility for a corresponding symbol.

6-month ATM interpolated implied volatility for a corresponding stock symbol.

30-day implied volatility with any earnings implied move taken out, divided by the monthly average of the historical volatility of the past 20-days.

30-day implied volatility with any earnings implied move taken out, divided by the yearly average of the historical volatility of the 20-day observations.

Total open interest for all strikes for a corresponding stock symbol.

Total put volume divided by total call volume for a corresponding stock symbol.

Total put open interest for a corresponding stock symbol.

Today’s put option volume for all strikes for a corresponding stock symbol.

Straddle price for month 1 closest to the money strikes for a corresponding stock symbol.

Straddle price for month 2 closest to the money strikes for a corresponding stock symbol.

Last modified 2yr ago