Dataset catalog

Per option contract · per minute · 33 columns

A fitted volatility and a theoretical price for every listed contract, at every minute of the session, with the full greek set beside it, from delta through vanna and volga.

The forward is solved from put–call parity with discrete dividends, an SPX-implied rate, and an implied borrow, so calls and puts land on one curve instead of two. American contracts are priced with an American pricing engine that respects the early-exercise boundary. The wings are Lee-bounded, so an extrapolated quote is arbitrage-free by construction rather than by inspection, and is_wing_extrapolated tells you which rows those are.

Daily · per SPX/SPXW expiry · symbol-agnostic · 4 columns

The risk-free term structure the options market actually discounts at, solved out of SPX and SPXW put–call parity for every listed expiry and smoothed across the curve.

A flat SOFR or Treasury rate is the single most common source of a wrong forward, and a wrong forward puts calls and puts on different curves at every tenor. Every row carries rate_se (a delta-method standard error on the raw per-expiry parity rate), so a thin expiry announces itself instead of quietly moving your surface. One curve per day, shared by every symbol, which is what makes product 01 internally consistent.

Per symbol · per snapshot · tenors 30, 60, 90, 180, 360 days · 14 columns

The shape of the surface at constant maturities: at-the-forward vol, 25-delta skew, curvature, and the straddle, strangle and risk-reversal premiums as a percentage of spot.

Listed expiries roll, so a series keyed on them is not a time series. These are interpolated onto fixed tenors off the same fits as product 01. Base metrics are populated. The clean at-the-forward vol, its error bar, the clean straddle and event_dates are filled from 14 October 2026; earlier history is being backfilled. Skew, curvature, strangle and risk reversal have no clean variant.

Per symbol · per snapshot · tenors 1 to 30 days · 10 columns

Implied and realized volatility at matched tenors, and the difference between them, across nine short horizons from one day to thirty.

The comparison is only meaningful if both sides are measured over the same window, which is why the tenors are matched rather than assembled from a 30-day IV and whatever realized series was to hand. Realized vol is computed from 1-minute bars, not daily closes. The implied side also comes clean, with its error bar and the removed events listed, filled from 14 October 2026 while earlier history is backfilled. Realized vol and the premium have no clean variant.

Two tables · run-up by trading session, and one row per event · 8 + 14 columns

What the market paid for an event on each session leading into it, and what the event actually did. Earnings, FOMC, CPI and NFP.

The run-up table is a trajectory, not a single number: the implied move on every session of the window, so you can see the shape of the bid rather than its endpoint. Outcomes give the realized move with its sign and split it into overnight and intraday (for a BMO or AMC print those are different questions) and carry the IV crush and the straddle result. Implied moves carry a standard error. The implied move is the average move priced, about 0.80 times the event's volatility. It is empty, never zero, where the options priced no measurable move.

Per option and minute, per option and day, and per symbol and day · Raw fields subject to access permissions

Cumulative intraday contract volume and prior-close open interest, daily contract totals, and daily symbol aggregates with put/call ratios.

Because the per-option table shares product 01's six-column key, this is an add-on rather than a second dataset to align , flow sits next to the fitted vol on the same row. Every column here is raw exchange data, so the whole product is gated.