I'm looking for the following historical intraday options data: - primarily just for SPY (but might be interested in a few others, but just SPY would be fine) - preferably at least 30 minute (1 hour would be ok) increments - preferably since 2010 or at 10 years of data - up to the past half hour would be nice, but daily updates would be ok I have found one data provider that does all that except the daily updates, but I need that.
ORATS has 1-minute intraday data with delivery either by API or entire snapshot delivery. We go back three years with full greeks, theoretical values, IVs, and constant maturity summarizations. We update every minute throughout the day. We have an extremely fast database so you don't have to download all the data if you don't want. We have 2 minute data back to 2015 but it is just raw with no greeks or IVs. Our near EOD goes back to 2007 with greeks and everything else.
Thank you for the replies. I had looked at Orats briefly but missed that the 2 minute data went back to 2015. I should have mentioned that I do not need greeks or IV, so that's fine. I'll give that some thought. I'm not finding intraday options data on historicaloptionsdata.com
From their site "We take the closing model of each underlying symbol, along with all of its options at the close of each day, and create a curve-fitted surface and implied volatility mesh of all its options. We then calculate the 1-minute Open, High, Low, Close of each option price using the 1-minute stock prices." Good luck with that.
You might try tickdata.com , i think they only have a few years of quote data but longer history for trade data. From memory, their pricing model is per ticker per year so might not be too pricey if it is just a single ticker.
You can also try tickdatamarket.com, "SPY" is available back to 1998, in Tick, 1 minute and Trades & Quotes format. Contact them to ask for sample data and test the data.