Market Replay
A powerful Quote and Trade historical data archive delivered as a simplified API service. Use Market Replay to easily pull point-in-time data across multiple asset classes, including equity and futures options.
High-Powered Point-In-Time Historical Database Delivered via API
Risk Management
Assess risk more effectively than ever before. Quickly pull all of the tick data you need all the way down to bid/ask using one simplified query request.
Data Management
Manage all of your data together easier than ever before. Easily load Barchart’s historical data archive into your own firm’s database.
Compliance
Quickly access the historical data you need to stay up to speed on ever-changing regulatory requirements - your compliance team will thank you.
Trading Strategies
Focus more on what drives your business forward - Use Barchart’s deep historical database to develop trading strategies, test new algorithms, and identify opportunities.
Backtesting
Simply determine the amount of opportunity your trading strategies may bring using Barchart’s reliable historical tick data.
Accuracy
Barchart’s historical data is created from our real-time data feeds, ensuring users that our data meets the highest standards of accuracy.
Access futures options history via Market Replay. Historical futures options data provides portfolio managers, research analysts, risk managers, institutional investors, and academic researchers with the data they need to evaluate risk and enhance their research, trading, and analysis capabilities.
| Parameter | Description | Data Type | Data Level |
|---|---|---|---|
| root | Option root symbol | string | Options Data/Aggregate Stats |
| date | Data as of date | date | Options Data/Aggregate Stats |
| lastupdate | Last update timestamp for the data | datetime | Options Data/Aggregate Stats |
| underlyingFuture | Underlying futures contract symbol | string | Options Data/Aggregate Stats |
| expirationDate | Option expiration date | date | Options Data/Aggregate Stats |
| optionType | Option type (monthly, weekly, etc.) | string | Options Data/Aggregate Stats |
| symbol | Barchart option contract symbol | string | Options Data |
| strike | Option strike price | float | Options Data |
| type | Option type (Calls or Puts) | string | Options Data |
| open | Opening price for the option | float | Options Data |
| high | Highest price for the option | float | Options Data |
| low | Lowest price for the option | float | Options Data |
| settle | Settlement price for the option | float | Options Data |
| volume | Trading volume for the option | integer | Options Data |
| oi | Open interest for the option | integer | Options Data |
| volatility | Implied volatility for the option | float | Options Data |
| theoretical | Theoretical option price | float | Options Data |
| delta | Option delta | float | Options Data |
| gamma | Option gamma | float | Options Data |
| theta | Option theta | float | Options Data |
| vega | Option vega | float | Options Data |
| rho | Option rho | float | Options Data |
| underlying | Underlying asset price | float | Options Data |
| rates | Interest rates | float | Options Data |
| daystoexp | Days to expiration | integer | Options Data |
| callsVolume | Total trading volume of call options | integer | Aggregate Stats |
| callsOpenInterest | Total open interest of call options | integer | Aggregate Stats |
| callsWeightedImpVol | Weighted implied volatility calculated using Near-The-Money call options | float | Aggregate Stats |
| putsVolume | Total trading volume of put options | integer | Aggregate Stats |
| putsOpenInterest | Total open interest of put options | integer | Aggregate Stats |
| putsWeightedImpVol | Weighted implied volatility calculated using Near-The-Money put options | float | Aggregate Stats |
| weightedImpVol | Weighted implied volatility calculated using Near-The-Money put and call options | float | Aggregate Stats |
| 7DayImpVol | Composite implied volatility index for Near-The-Money options expiring at 7-day maturity | float | Aggregate Stats |
| 14DayImpVol | Composite implied volatility index for Near-The-Money options expiring at 14-day maturity | float | Aggregate Stats |
| 30DayImpVol | Composite implied volatility index for Near-The-Money options expiring at 30-day maturity | float | Aggregate Stats |
| 60DayImpVol | Composite implied volatility index for Near-The-Money options expiring at 60-day maturity | float | Aggregate Stats |
| 90DayImpVol | Composite implied volatility index for Near-The-Money options expiring at 90-day maturity | float | Aggregate Stats |
| 180DayImpVol | Composite implied volatility index for Near-The-Money options expiring at 180-day maturity | float | Aggregate Stats |
| 360DayImpVol | Composite implied volatility index for Near-The-Money options expiring at 360-day maturity | float | Aggregate Stats |
Market Replay Resources
Why Market Replay
Market Replay offers a cost-savings approach to accessing a historical data archive for non-streaming content.
Market Replay returns data quicker with more flexible technology and offers clients on-demand API access or file-based delivery of historical market data across multiple asset classes, including equity and futures options. It ties directly into front-office decision frameworks and back-office processes. Whether you require non-streaming historical data for market analysis, risk management, accounting, or charting, Market Replay is the solution you need.
Get real-time, delayed, or previous trading day data delivered via API. Our comprehensive data coverage includes Last Sale, Level 1 (NBBO, Best Bid / Best Offer), N-minute bars, Daily Data, Corporate Actions, and Daily Futures Options.
Market Replay FAQ
Market Replay is offered as both an API based service (Web Services) or as a file-based service delivered via FTP. Market Reply does not rely on a front end or GUI.
Market Replay is both a stand-alone product and a service that compliments Barchart’s streaming feeds. Reach out to us at solutions@barchart.com to discuss your requirements.
Market Replay supports Trades, Quotes, Minute-based OHLC summaries and real-time, delayed, daily, historical and end-of-day data.
Barchart maintains historical tick (trades and quotes), minute and end-of-day history across global exchanges. For specific start dates, please review our data inventory by exchange.
Yes, sale conditions are supported.
We’re here to help which is why we have gone ahead and created resources for you to succeed. View our Developer Guide where you can find the answers to most questions. Still need answers? Contact us and we’ll get back to you asap.
Futures Options History FAQ
We have global coverage from most global futures exchanges. Check out our options data catalog for more details.
As for the model, we use Black 76 model. As for risk-free rate, we use US Treasuries Yield and Canada Bank Rate. We use option settlement price and underlying futures settlement price, and above mentioned model and rates to calculate the implied volatility.
End-of-day (EOD) data provides complete market information including price, OIV, greeks, volatility, and metadata to users. Full data provides EOD data plus aggregate stats at the underlying options expiration level, implied volatility indices and aggregate stats at the root level. Check out the sample data.
In addition to the EOD prices and greeks at options instrument level we provide aggregate stats at the underlying options expiration level and implied volatility indices and aggregate stats at the root level. Check out the full sample data file to learn more.
In both cases, the weights are determined by considering the relative distance of the underlying security price from the two nearest strike prices, ensuring that the weighted average reflects the influence of both options. Aggregated stats are also calculated at the root level. Similarly, cvol, coi, cwiv, pvol, poi, pwiv, wiv are calculated by aggregating all option expirations.
IV Index is a measure of future root's implied volatility levels of “virtual” options expiring at constant maturities(7, 14, 30, 60, 90, 180, and 360 days). We calculate three sets of IV Indexes: IV Index, IV Call Index, and IV Put Index.
Simply speaking, IV Index is composite volatility for a root by aggregating option implied volatilities. It is a weighted average of the implied volatilities of Near-The-Money options (includes both calls and puts ) that straddle constant maturities(30, 60,… days). For example, IV30, IV60, …
The IV index calculation for Futures Options is linear weighted by distance of the two nearest active expirations from the constant maturity.
For example, for 30 days IV index, we choose the furthest active expiration that is prior to 30 days, and the closest active expiration that is after 30 days. Then we implement linear weight on the wiv(weighted ATM IV) of those two active expirations to calculate the IV30 index.
We have deep historical coverage with the earliest data available from the 2000s. The extent of historical data availability varies based on the exchange. Learn more about the historical coverage here.
Settlement prices are released at 4:30 pm CST for markets below:
- European and Asian Futures Options
- North American Agriculture Futures Options
Settlement prices are released at 7:00 pm CST for markets below:
- North American Energy, Financials, Metals and Equities Futures Options
Final update for the trading date is released 10:30 pm CST.
Data can be accessed via API or delivered as flat files. Checkout the API details to learn more.
Yes, sample data or a trial can be made available for qualified users. Please reach out to solutions@barchart.com to learn more.
Simply reach out to us at solutions@barchart.com. We would love to understand your use case and find the perfect solution to benefit your business. We're always ready to assist you!
