When viewing an Options Chain, end of day historical data for futures options is available by clicking on the ‘date picker’ in the upper right corner.
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After selecting a date, the option expirations' data will be displayed in the chain. The fields supported for historical futures options data are in the table below.
Field | Description |
|---|---|
Theoretical | The theoretical value or price of the option |
Theta | Theta is a measure of the time decay of an option, the dollar amount that an option will lose each day due to the passage of time |
Vega | Vega measures the sensitivity of the price of an option to changes in volatility |
Gamma | Gamma measures the rate of change in the delta for each one-point increase in the underlying asset |
Delta | Delta measures the sensitivity of an option's theoretical value to a change in the price of the underlying asset |
Implied Volatility | The volatility for the option calculated using the Black 76 Model (for spread options the Bachelier model is used) |
Rho | The rate at which the price of a derivative changes relative to a change in the risk-free rate of interest (US Treasuries Yield and the Canada Bank Rate) |
Volume | The total number of options traded |
Open Int. | Open Interest is the total number of open option contracts that have been traded but not yet liquidated via offsetting trades for that date |
Open | The open price for the options contract for the day |
High | The high price for the options contract for the day |
Low | The low price for the options contract for the day |
Last | The settlement price for the options contract for the day |
View
For ease of use, all of the data fields supported in the lookback can be selected at one time using the ‘Lookback View'.
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Expiration
In lookback mode, the expiration drop down will display the active expirations of the date selected. Prior to using lookback, if the expiration originally viewed was not ‘open’ on the date selected, the ‘nearest’ option expiration for that day will display.
Clear Date
After viewing historical data, easily pull up the most recent quotes by clicking on the ‘Clear Data’ selection in the upper right corner of the Options Chain panel.
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Export
Easily export historical and current options chain data by selecting Export.
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