Stop by SpiderRock Data and Analytics’ booth at Quant Strats to discuss our Option Intraday Datasets. 

SpiderRock, a leader in real-time and historical options data and analytics captures 5-and 30-minute snapshots throughout the live trading session on all U.S listed equity options.  Tailored for short-term traders seeking clarity and precision, these datasets deliver high level visibility into the inner workings of the market intraday.  

Key Features  

SpiderRock’s intraday datasets are point-in-time snapshots at 5-and 30-minutes intervals throughout the trading day. Each captures synchronized option and underlying data, including call and put prices, sizes, implied volatilities, Greeks, surfaces, etc., ensuring that every data point reflects the true market state at that moment. What sets this apart is the synchronization: underlying prices and options analytics utilize the same timestamped data, eliminating inconsistencies often introduced when values are calculated sequentially or derived from misaligned quotes. Even the calculation of time to expiration is handled with greater precision; SpiderRock applies a hybrid model that weights trading hours more heavily than overnight periods, offering a more realistic representation of time decay. This is achieved through a surface-fitting process that integrates both call and put markets into a single coherent curve, aligned with the underlying mid-price and ATM volatility in real time.  

This analytic precision isn’t theoretical; the Option Intraday Datasets contain the same data and analytics available in the SpiderRock trading platform. As institutional strategies use the data to trade, the historical datasets are battle-tested and reflect actual market activity. This alignment enables a frictionless flow from back testing to live trading environments, supporting consistent strategy development and execution. 

Key Users 

The Options Intraday Data sets are suitable for a wide range of professionals. Equity portfolio managers leverage the alignment between underlying prices and options analytics to layer yield enhancing overlays on their portfolios. Options traders leverage the snapshots to craft and manage strategies, knowing that every metric, from delta to implied volatility, is aligned to the same instant in time. 

For quantitative analysts, SpiderRock data offers a structured basis for advanced modeling. By arranging implied volatility data across strike and expiry, they can uncover dominant volatility dynamics. 

Additionally, event-driven professionals, whether focusing on merger arbitrages, earnings volatility plays, or macro-driven strategies around Fed decisions or non-farm payroll announcements, find value in these intraday snapshots. The data captures how implied volatility and Greeks evolve through key market catalysts, helping them spot mispricing’s, hedge exposures dynamically, or exploit short-term volatility spikes.  

About SpiderRock Data and Analytics 

SpiderRock Data & Analytics is a division of  SpiderRock Technology Solutions, a provider of industry-leading options trading solutions. SpiderRock Data and Analytics is an exchange-licensed redistributor of market data, providing US stocks and options market data in a raw and normalized format.   

SpiderRock’s proprietary live analytics offer low-cost delivery of market data and options analytics without requiring clients to make a significant investment in infrastructure. In addition, SpiderRock’s robust historical datasets updated daily from live markets are ideal for research, back testing, 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.

Have any questions?