Market Data

ISE Open/Close Trade Profile Intraday

ISE Open/Close Trade Profile Intraday provides extensive underlying put/call data that can be used to create analytical models and test trading strategies. Now you can access this data intraday every 10 minutes via FTP rather than waiting for an end-of-day file. The intraday historical data is separately available dating back to October 2009.

ISE Open/Close Trade Profile Intraday provides up to 80 fields of data for each series, including opening and closing volume for FIRM, CUSTOMER and PROFESSIONAL CUSTOMER trades. In addition, the following value-added data fields are also included for each series:

  • Number of trades in addition to volume
  • "Moneyness" level (Deep in the money, Deep out of the money, etc.)
  • Days to expiration
  • FIRM trades are further broken down to Proprietary and Broker/Dealer trades
  • Open Interest for each series 
  • ISE total volume for each series 
  • Series type and security type

In addition, this release will accommodate the new OPRA symbology that will be phased in beginning in February 2010.

Details/Sample Data
Data Format

The ISE Open/Close Trade Profile is an end-of-day file in .csv format. Each option series is broken down by number of trade and trade volume for all opening and closing trades. There are additional fields for each series that indicate level of moneyness and days to expiration for each series. We also provide additional option series details as outlined below.

As of October 2009 we have added new intraday values for PROFESSIONAL CUSTOMER trades for each series and end-of-day values for open interest, total ISE and ISE Gemini volume, total industry volume and closing prices for each series and underlying security. Additional option series details are ALSO outlined below.

Trade Types

This file includes a break-down of the following trade types for all CUSTOMER, FIRM and PROFESSIONALCUSTOMER (NEW) trades for every option series:

  • Opening buy trades
  • Opening sell trades
  • Closing buy trades
  • Closing sell trades
Trade Quantity

We show the quantity of trades in addition to volume for each series.

Trade Volume

CUSTOMER and PROFESSIONAL CUSTOMER (NEW) trades are further subdivided into up to 24 fields each with following categories:

  • Trades of less than 100 contracts
  • Trades of at least 100 contracts, but less than 200 contracts
  • Trades of 200 contracts or more

FIRM trades are further subdivided into following categories:

  • Broker/Dealer volume
  • FIRM/Proprietary volume
"Moneyness"

The Moneyness indicator is a single value for each series that identifies whether the option is in, at, or out of the money. The five levels are:

  • Deep-in-the-money
  • In-the-money
  • At-the-money
  • Out-of-the-money
  • Deep-out-of-the-money
Days to Expiration

Options with near-term expirations can be more volatile than long-term options. We include a separate field that provides the number of days until expiration.

Option Series Details

Details for each option series include trade date, underlying symbol, option root symbol, expiration date, strike, call or put designation, series type and security type. As of September 2009 additional new end-of-day values for each series include open interest, total ISE volume, total industry volume, closing price and closing price for underlying.

Sample Data & Documentation - Beginning October 2009
Sample Data & Documentation - Prior to October 2009

 

 

Fees/How to Order

There are two subscriptions available for the Open Close Intraday Trade Profile.

Open Close Intraday Trade Profile – Annual Subscription

Intraday Subscription Fee:

ISE Open/Close Intraday Trade Profile is available for $2,000 per month plus tax if applicable.

To order the Open/Close Intraday Trade Profile, simply:

  1. Download an Order Form and Licensing Agreement. A License Agreement is not required if you already have signed one for another product.
  2. Complete and sign the order form and license agreement (if necessary).
  3. Email the signed forms to ISE Holdings or fax the signed forms to (212)509-3955.

 

Historical Data – Ad-hoc request for specific number of months

This was a new offering in October of 2009 so historical data can be purchased back to this point.

Historical Data Fees for Ad-hoc Requests (plus tax if applicable)

  • $1,000 per month
  • $2,000 per quarter
  • $8,000 per year (when available)

To order historical data for the Open/Close Intraday Trade Profile, simply:

  1. Download an Order Form and Licensing Agreement. A License Agreement is not required if you already have signed one for another product.
  2. Complete and sign the order form and license agreement (if necessary).
  3. Email the signed forms to ISE Holdings.

Academic Discounts for Historical Data

All fees are exclusive of any sales tax that may apply.

Fees for Ad-hoc requests - $1000 per year

Academics choose a fixed 12-month period of the ISE Open/Close Trade Profile Intraday historical data back to May 2005.

Fees for Complete History - $2000 one time

Academics purchase all available ISE Open/Close Trade Profile Intraday historical data back to May 2005.

To order historical data for the ISE Open/Close Trade Profile Intraday, simply:

  1. Download an Order Form and Licensing Agreement
  2. Complete and sign the license agreement and order form
  3. Email the signed forms to ISE or fax the signed forms to (212) 509-3955

We will process your order promptly and respond within 24 hours.

Support

Support for the ISE Open/Close Trade Profile Intraday is available from 8 am to 6 pm (ET) on market days. The contacts are:

Business Issues (212) 897-0357
Technical Support (212) 897-0284
FAQs
What is the difference between ISE Open/Close Trade Profile and ISE Open/Close Trade Profile Intraday?

The files generated for both of these products are essentially the same except the following three fields are not included in the intraday file: Closing price of underlying, Closing price of series and Total industry volume. While ISE Open/Close Trade Profile is available as an end-of-day file, ISE Open/Close Trade Profile Intraday is updated at 10-minute intervals.

 

How often does this data update?

Every 10 minutes during market hours.

 

What time is the file available?

The file is available every 10 minutes on the 2s after the hour beginning at 9:42 am EST (e.g. 9:42, 9:52, 10:02, 10:12, 10:22, 10:32, etc.). The end-of-day snapshot occurs at 9:00 pm EST and will account for any post-close adjustments.

What is the source of this data?

This file contains proprietary ISE options trade data and does not include trade data from any other exchanges. 

 

How will I access this data?

Once your account is set up you will be assigned an FTP (File Transfer Protocol) account so you can download the file. 

 

What is the data format of this file?

This data is available only as a .csv file, which is easy to use and can be viewed in most standard spreadsheet applications.

 

How can this data be used?

This proprietary trade data can be used to create customized put/call ratios or sentiment indices, which could provide indications of bullish/bearish activity.

What do you mean by FIRM, CUSTOMER and PROFESSIONAL CUSTOMER trades, and can you provide an example?

The four types of trades at ISE are:

  • MARKET MAKER
  • FIRM
  • CUSTOMER
  • PROFESSIONAL CUSTOMER

If a retail trader enters an option order through a broker like optionsXpress, the broker will designate the order as a CUSTOMER order. When a member like Morgan Stanley or Goldman enters a trade on behalf of a large customer, institution or hedge fund, the trade is designated a CUSTOMER trade. When a member like Morgan Stanley or Goldman enters a trade for their own account, the trade is designated as FIRM trade. FIRM trades can be PROPRIETARY trades, executed on behalf of their own trading account or for another BROKER/DEALER who is not a member of the exchange. A PROFESSIONAL CUSTOMER is a high-activity CUSTOMER. 

 

What is your definition of PROFESSIONAL CUSTOMER?

ISE introduced a new trade designation on October 1, 2009 called PROFESSIONAL CUSTOMER. Anyone who is not trading for as a MARKET MAKER or FIRM account that enters more than 390 orders per day over the course of a one-month period is considered a PROFESSIONAL CUSTOMER. 

What does open interest represent?

Open Interest shows the total number of outstanding contracts for each series across all options exchanges for the trade date of the file. Increases in open interest indicate a net increase in opening long positions. There is potential for more activity in series with larger Open Interest since there is the potential for closing trades to reduce the amount of outstanding contracts. 

 

Does open interest update intraday?

No. Open interest is only updated after all the trades are processed for that trade date in overnight processing, and become available the next morning. Keep in mind that since nearly all series are fungible across all options exchanges it would be practically impossible to update this value intraday. 

 

How often are the “Days to Expiration” recalculated?

“Days to Expiration” is updated during an overnight process on days when the market is open and does not change intraday.

 

Are there other fields with this product that do not update during the day?

Some fields are derived from end-of-day values and some are static, so the following fields will not update intraday:

  • Trade Date
  • Underlying Symbol
  • Security Type
  • Symbol Root
  • Expiration Date Strike Price
  • P/C Flag
  • Moneyness
  • Days to Expiration
  • Series Type
  • Open Interest
  • ISE and ISE Gemini total volume
  • Industry total volume
  • OSI Code (unless it is a new series created intraday)

 

Can you provide the details on how you capture the closing price for each option series?

Some options stop trading at 4 pm and some stop trading at 4:15 pm. The actual closing prices can be skewed as market makers pull their quotes at the end of the day. Therefore, based on feedback we have received we calculate the closing price for each series as the mid-point of the bid/ask spread at 3:58 pm EST. 

What is the subscription fee for the service, and is there a contract term?

After the beta period the subscription fee will be $2,000 per month and the term of the agreement will be 12 months.

 

Do you have any historical data available?

The intraday offering currently has a limited amount of history available (back to August 2009) because it is a new offering. However there is historical data available for the end-of-day file going back to May 2005.

 

Have there been new fields introduced with the intraday file that are not part of the historical end-of-day ISE Open/Close Trade Profile?

All fields in the intraday file are included in the end-of-day file except for:

  • Closing price of underlying
  • Closing price for each series
  • Total industry volume for each series

 

Has there been any analysis done using this type of trade data that is publicly available?

Two professors did an extensive study by creating a hypothetical portfolio and using end of day open/close data which was highlighted in a New York Times article. Although the returns were impressive, past investment results are not indicative of future results.

 

What is the new OSI code?

The new OSI code is an industry initiative to replace the current OPRA symbology with a new symbol structure that is expected to roll out in February 2010. Today it is sometimes difficult to identify the underlying symbol for each series, but the new OSI code will explicitly include the underlying symbol and make it easier to identify each series.

  • Symbol – 6 bytes
  • Year – 2 bytes
  • Month – 2 bytes
  • Day – 2 bytes
  • Call/Put indicator – 1 byte
  • Strike Dollar – 5 bytes
  • Strike Decimal – 3 bytes

An example would be:

SymbolYrMoDayC/PExplicit PriceDecimal
MSFT 6 3 18 C 47 500
When will the roll out of the new OSI codes be completed?

Not all new symbols will be implemented at once as this will be a phased roll out over a period of time beginning in February 2010. The roll out is likely take a couple of months.

 

What is your definition of Moneyness Code?

We have defined the 5 levels of Moneyness as follows:

Moneyness CodeDefinition
Level 1: Deep in the Money The strike price of this option is more than 12% lower than the price of the underlying security if it is a call or more than 12% higher if it is a put
Level 2: In the Money The strike price of this option is within the range of 5%-12% lower than the price of the underlying security if it is a call or within the range of 5%-12% higher if it is a put
Level 3: At the Money The strike price of this option is within the range of 5% higher or lower than the price of the underlying security
Level 4: Out of the Money The strike price of this option is within the range of 5%-12% higher than the price of the underlying security if it is a call or 5%-12% lower if it is a put
Level 5: Deep out of the Money The strike price of this option is more than 12% higher than the price of the underlying security if it is a call or more than 12% lower if it is a put

Contact Us

For more information about, ISE Open/Close Trade Profile Intraday please contact our Market Data team.