Historical Intraday Options Chain Data with Greeks
Please add historical intraday options-chain data to AlphaSpace/Yahoo Scout for quantitative options research and strategy backtesting.
I would like the ability to select any historical date, underlying symbol, expiration, strike, and call/put contract and retrieve timestamped intraday snapshots, ideally at 1-minute intervals (5-minute would still be useful).
Each historical snapshot should include:
• Bid, ask, midpoint and last price
• Bid/ask size
• Strike and expiration
• Call/put
• Underlying price at that timestamp
• Delta, gamma, theta and vega
• Implied volatility
• Volume and open interest
• Expected move, if available
The most valuable feature would be the ability to export this data to CSV/API for research.
This would allow users to backtest the actual option contract, rather than estimating option performance from historical underlying prices. For example, researchers could determine an option strategy's actual entry cost, maximum favorable/adverse excursion, stop-loss behavior, trailing-stop performance, and option value 15/30/60/90/120 minutes after entry.
Historical coverage of SPX/SPXW, SPY, QQQ and XSP would be especially valuable, including 0DTE contracts.
Even if full tick data is impractical, 1- or 5-minute historical chain snapshots with bid/ask, IV and Greeks would be extremely valuable and could justify a premium subscription tier for serious options traders.
This is currently data that sophisticated options researchers often have to purchase separately from specialized historical options-data vendors. Integrating it into Alpha Space would materially expand the platform from a real-time research tool into a serious options strategy research and validation platform.