Historic Data
Returns for every trading day historic data for the given option contract.
Data includes open, high, low, close of the contract of fills. The percentage of the volume which was part of a multi leg trade, stock multi leg trade, sweep, floor and cross. The high and low of the implied volatility is included as well as the volume distributed per sides: Ask, bid, mid and neutral. Neutral is volume that is either a cross trade or from trades that came in late.
You can use this endpoint to retrieve for a given chains historical details about how much volume has been traded in the past, when the OI did start to build and much more.
Rows are returned under the chains key, not data.
Authorizations
Bearer authentication header of the form Bearer <token>, where <token> is your auth token.
Path Parameters
An option contract in the OSI format.
"TSLA230526P00167500"
Query Parameters
How many items to return. If no limit is given, returns all matching data. Min: 1.
x >= 110
Response
The amount of volume that happened on the ask side.
Ask side is defined as (ask + bid) / 2 < fill price.
119403
The volume weighted average fill price of the contract.
"1.0465802437910297887119234370"
The amount of volume that happened on the bid side.
Bid side is defined as (ask + bid) / 2 > fill price.
122789
The amount of cross volume. Cross volume consists of all transaction that have the cross trade code.
0
A trading date in ISO format.
"2023-09-08T00:00:00.000Z"
The amount of floor volume. Floor volume consists of all transaction that have the floor trade code.
142
The highest fill on that contract.
"2.95"
The implied volatility for the last transaction.
"0.675815680048166"
The highest implied volatility at which a transaction occurred.
"0.675815680048166"
The lowest implied volatility at which a transaction occurred.
"0.310502942482285"
The last fill on the contract.
"0.03"
The last time there was a transaction for the given contract as UTC timestamp.
"2023-09-08T17:45:32.000Z"
The lowest fill on that contract.
"0.02"
The amount of volume that happened in the middle of the ask and bid.
Mid is defined as (ask + bid) / 2 == fill price.
22707
The amount of volume that happened as part of a multileg trade with another contract. This can be spreads/rolls/condors/butterflies and more.
7486
The NBBO Ask price for the final tick of that day's trading session.
"0.45"
The NBBO Bid price for the final tick of that day's trading session.
"0.30"
The amount of volume that happened on no identifiable side. This can be late, out of sequence and/or cross transactions.
0
The open interest for the contract.
18680
The first fill on that contract.
"0.92"
The amount of volume that happened as part of a stock transaction and possibly other option contracts. This can be covered calls and more.
52
The amount of sweep volume. Sweep volume consists of all transaction that have the sweep trade code.
18260
The total count of changes to the NBBO ask during that day's trading session.
165
The total count of changes to the NBBO bid during that day's trading session.
28
The total option premium.
"27723806.00"
The amount of transaction for this contract.
39690
The contract volume.
264899
