Intraday Data
Returns 1 minute interval intraday data for the given option contract.
You can use this to build volume profile charts for contracts to see when volume can in, and which side dominated the volume. The volume and premium is segmented into bid, ask, mid and neutral.
Date must be the current or a past date. If no date is given, returns data for the current/last market day.
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
A trading date in the format of YYYY-MM-DD. This is optional and by default the last trading date.
"2024-01-18T00:00:00.000Z"
Response
Minute-by-minute aggregated data for an option contract, based on chain aggregates.
The volume weighted average fill price of the contract.
"1.0465802437910297887119234370"
The last fill on the contract.
"0.03"
The contract expiry date in ISO format.
"2023-12-22T00:00:00.000Z"
The highest fill on that contract.
"2.95"
The highest implied volatility at which a transaction occurred.
"0.675815680048166"
The lowest implied volatility at which a transaction occurred.
"0.310502942482285"
The lowest fill on that contract.
"0.02"
The first fill on that contract.
"0.92"
The option symbol of the contract.
You can use the following regex to extract underlying ticker, option type, expiry & strike:
^(?<symbol>[\w]*)(?<expiry>(\d{2})(\d{2})(\d{2}))(?<type>[PC])(?<strike>\d{8})$
Keep in mind that the strike needs to be multiplied by 1,000.
The total premium value for transactions executed on the ask side.
"3138.00"
The total premium value for transactions executed on the bid side.
"1403.92"
The total premium value for transactions executed at the mid price.
"60.50"
The total premium value for transactions without an identifiable side.
"0.00"
A UTC timestamp.
"2023-12-12T16:35:52.168Z"
The amount of volume that happened on the ask side.
Ask side is defined as (ask + bid) / 2 < fill price.
119403
The amount of volume that happened on the bid side.
Bid side is defined as (ask + bid) / 2 > fill price.
122789
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 amount of volume that happened on no identifiable side. This can be late, out of sequence and/or cross transactions.
0
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
