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:
In addition, this release will accommodate the new OPRA symbology that will be phased in beginning in February 2010.
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.
This file includes a break-down of the following trade types for all CUSTOMER, FIRM and PROFESSIONALCUSTOMER (NEW) trades for every option series:
We show the quantity of trades in addition to volume for each series.
CUSTOMER and PROFESSIONAL CUSTOMER (NEW) trades are further subdivided into up to 24 fields each with following categories:
FIRM trades are further subdivided into following categories:
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:
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.
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.
There are two subscriptions available for the Open Close Intraday Trade Profile.
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:
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)
To order historical data for the Open/Close Intraday Trade Profile, simply:
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:
We will process your order promptly and respond within 24 hours.
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|
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.
Every 10 minutes during market hours.
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.
This file contains proprietary ISE options trade data and does not include trade data from any other exchanges.
Once your account is set up you will be assigned an FTP (File Transfer Protocol) account so you can download the file.
This data is available only as a .csv file, which is easy to use and can be viewed in most standard spreadsheet applications.
This proprietary trade data can be used to create customized put/call ratios or sentiment indices, which could provide indications of bullish/bearish activity.
The four types of trades at ISE are:
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.
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.
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.
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.
“Days to Expiration” is updated during an overnight process on days when the market is open and does not change intraday.
Some fields are derived from end-of-day values and some are static, so the following fields will not update intraday:
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.
After the beta period the subscription fee will be $2,000 per month and the term of the agreement will be 12 months.
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.
All fields in the intraday file are included in the end-of-day file except for:
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.
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.
An example would be:
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.
We have defined the 5 levels of Moneyness as follows:
|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|
For more information about, ISE Open/Close Trade Profile Intraday please contact our Market Data team.