We are thrilled to announce that the Hanlon Financial Systems Lab has signed a new data partnership with AlgoSeek, and two of their US equity options datasets are now available to Stevens researchers and students through the lab. If your research needs broad, ready-to-use US equity options data rather than raw tick feeds, these two products are for you:
1) US Equity Options Trade and Quote Minute Bars
Aggregated minute bars built from the Options Price Reporting Authority (OPRA) consolidated feed, with roughly 60 analytical fields per bar. You get open, high, low, close, Volume-Weighted Average Price (VWAP), and volume from both trade and quote events, along with the underlying's bid and ask at the open and close of each interval. Bars are continuous through regular market hours (9:30 to 16:15 ET), so there are no gaps to stitch together yourself. It is built for backtesting, machine learning, and any work that needs many contracts at once rather than one at a time.
2) US Equity Options Daily Analytics
End-of-day analytics for any option chain, computed on the last-minute mid price: theoretical price, implied volatility (IV), and the full set of Greeks (delta, gamma, theta, vega, and rho). Calculations are performed using the Black-Scholes-Merton framework, with closed-form analytical formulas applied to European-style options and a finite-difference numerical pricing model applied to American-style options. We already have daily IV and Greeks on the chains we carry through LSEG; the gain here is reach, the same analytics across the entire listed universe rather than a selected set of names. If your project needs IV and Greeks without computing them from scratch, this is the shortcut.
AlgoSeek is a financial market data provider whose datasets run deep and broad, spanning equities, futures, options, and crypto at every level of granularity, from ultra-low-latency real-time feeds and tick-level trade and quote data to aggregated bars, computed analytics, and reference data. Through this partnership, researchers can now pull any listed US equity option chain at daily resolution. For a deeper intraday view of the chains, see our data offering through LSEG.
A huge thank you to Chris Bartlett, CEO of AlgoSeek, for making this partnership possible.
Note: To request data, complete a Request Resources form on the Hanlon Lab's website with details about your request. Students should use their faculty advisor as the approver; faculty can self-approve or directly email HFSL staff.