I bought option daily data from online vendors that has last price, bid, ask,greeks, and underlying stock price. the problem is that bid and ask is for option at 415pm, while the underlying stock price is 4pm, thus the greeks the vendor provided are not accurate since it uses option price at 415pm and stock price at 4pm. Is there option vendor that provides greeks calculated with corresponding option and stock price? one way is to use minute data, but that data is too huge.
Yes at ORATS we ensure that the stock price matches the options prices. As a past market maker the prices at the close are not dependable. We use bid and ask data with stock prices to calculate greeks, IVs, and smoothed theoretical values at 14 minutes before the close. We also have one minute data back to Aug 2020 but as you say, that is a huge data set. We have built an API to access just the minute data you want.
Thank you for information. You said “14 min before the close”. The close time is 4pm or 415 pm? besides, if I subscribe to realtime data, can I stream or pull whole option market ?
4 pm ET close or 3:46 pm is when we snap the market. If you subscribe to real time data, you can pull the whole market.