As volumes in options increases, so does the amount of information available for options and stock models
SpiderRock Gateway Technologies (“SpiderRock”), a leader in historical and live options data and technology, introduces the Option Features Dataset. This curated collection of analytics leverages option market sentiment and dynamics to include insights into market behavior and captures latent information through advanced metrics.
Stock return predictability has evolved. While stock trading volumes in dark pools have risen, options trading remains primarily exchange-based with consistent year-over-year growth. The options market, often driven by informed trading based on proprietary information, may offer predictive power not immediately reflected in stock prices. As such, this may signal a regime shift, making option features a better predictor of returns.
The SpiderRock Option Features Dataset combines underlying equity information with options data points, including volatility surfaces, implied volatility, liquidity measures, order flow, imbalances, and other key metrics. Curated data points come from both intraday and end-of-day content, providing a comprehensive information profile to support data-driven decisions and machine-learning models.
Product Overview
Key features include an earnings indicator for identifying trading days with earnings announcements, retail and institutional flow estimator proxies, risk-neutral implied metrics like skewness and kurtosis, and behavioral trading metrics such as speculative call volume and Put-Call ratios. The dataset also includes market regime measures, including mean-reversion/trending indicators, implied volatility term structure slope, normalized Delta skew ratios, and underlying asset closing auction imbalance data.
The Option Features Dataset supports dynamic analysis, cluster analysis, strategy development, and alpha factor augmentation. It enables the construction of market sentiment indicators, prediction of directional or implied moves, and analysis of short versus long-term flow via open interest, volume, and ratios by expiry. Applications include using VWKS to predict returns, combining VWKS with earnings indicators to forecast news flow, analyzing implied skewness for tail risk, and using implied volatility to anticipate future volatility.
Key Users
Both buy-side and sell-side professionals use the Option Features Dataset to incorporate options market data into their workflows, run overlay strategies, model forward volatility, and enrich risk models or macro-driven strategies. Daily data from January 2014 is available via AWS S3 and Snowflake.
About SpiderRock Gateway Technologies
SpiderRock Gateway Technologies (“SpiderRock Data & Analytics”) is a division of SpiderRock Technology Solutions, a provider of industry-leading options trading solutions.
SpiderRock Gateway is an exchange-licensed redistributor of market data, providing US stocks, options, and futures market data in a raw and normalized formats, as well as historical data. SpiderRock’s robust historical datasets are updated daily from live markets and are ideal for research, backtesting, and making data-driven decisions.
For more information, visit https://www.spiderrock.net/data/, follow us on X at @SpiderRockChi, and visit our LinkedIn page.
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