Market Data

ISE Open/Close Trade Profile

The ISE Open/Close Trade Profile provides extensive underlying put/call data that can be used to create analytical models and test trading strategies. This is an end-of-day file available via FTP, with historical data separately available dating back to May 2005.

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

  • Number of trades in addition to volume for each series
  • "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 and industry total volume for each series
  • Closing price for each series and underlying instrument

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 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 and ISE Gemini 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
End-of-Day File

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

Fees - $750 per month

ISE Open/Close Trade Profile end-of-day file is available for $750 per month with an annual subscription.

To order the daily download of the ISE Open/Close Trade Profile, 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
Historical Data Requests

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

Fees for Ad-hoc requests - $600 per month

Subscribers choose a fixed number of months of the ISE Open/Close Trade Profile historical data back to May 2005.

Fees for Complete History - $27,500

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

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

Academic Discounts for Historical Data

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

Fees for Ad-hoc requests - $500 per year

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

Fees for Complete History - $1000 one time

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

To order historical data for the ISE Open/Close Trade Profile, 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 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
How often does this data update?

This file is updated once per day (on days the market is open) during an overnight process. Our ISE Open/Close Trade Profile Intraday Feed offers more frequent updates.

 

What time is the file available?

The file is available at approximately 6:30 am ET.

 

What is the source of this data?

This file contains proprietary ISE options trade data and does not include 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.

 

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

 

 

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

The four types of trades at the International Securities Exchange 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 BROKER/DEALER trades, executed on behalf of another broker/dealer who is not a member of the exchange.

 

How often are the “Days to Expiration” recalculated?

The “Days to Expiration” and all other fields are updated during an overnight process on days when the market is open.

 

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

Daily Download: The subscription fee is $750 per month and the term of the agreement is 12 months.

 

Historical Ad-hoc Request: This is a one-off request with no term and the fees are as follows:

 

  • $600 per month plus tax if applicable

Or

  • $500 per month plus tax if applicable if you purchase all of the history

 

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

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

 

How much historical data is available?

We can provide daily historical files back to May 2005, but the following two fields are not available prior to March 1, 2008: Moneyness and Series Type. 

 

What is your definition of PROFESSIONAL CUSTOMER?

ISE Holdings introduced a new trade designation on October 1, 2009 called PROFESSIONAL CUSTOMER. Anyone who is not trading for a MARKET MAKER or FIRM account and enters more than 390 orders per day is considered a PROFESSIONAL CUSTOMER. 

 

What new fields were introduced with the latest release of the Open Close Trade Profile?

There are a total of 30 new fields broken down as follows:

 

  • PROFESSIONAL CUSTOMER has 24 fields that correspond to existing CUSTOMER fields
  • Open Interest for each series takes up one field
  • Total ISE volume for each series takes up one field
  • Total industry volume for each series takes up one field
  • Closing price for each series takes up one field
  • Closing price for each underlying instrument takes up one field
  • New OPRA OSI code that goes into effect beginning in February 2010

 

What does open interest represent?

Open Interest will show the total number of outstanding contracts for each series for the trade date of the file. The larger the Open Interest the more active the series is.

 

What is the new OSI code?

The legacy OPRA codes are 4-5 characters consisting of an OPRA root for the underlying, a letter for the expiration month and a letter for the strike price. The new OSI code is part of an industry initiative with a completely new structure for each symbol consisting of the data shown below.

Minimum field sizes (Total of 21 bytes when minimum values are adopted): 

  • 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

 

SymbolYrMoDayC/PExplicit StrikeDecimal
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 and the roll out will be gradual over a period of time. The roll out is to begin in February and will take at least a couple of months.

 

Contact Us

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