Data: what is published and how to fetch it
Everything shown on the ticker pages, screens and chart comes from one public series of derived aggregates, published after every trading day.
What is in the series
One CSV per ticker, one row per trading day, columns:
| Column | Meaning |
|---|---|
date | trading day, YYYYMMDD |
close | underlying close |
delta_neutral | delta neutral price |
gamma_neutral | price where summed gamma is zero |
gamma_max | gamma max price |
gamma_max_value | summed gamma at gamma max |
n_contracts | listed contracts on the ticker |
total_calls, total_puts | listed call and put contracts |
total_open_interest | open interest across the chain |
History begins 2020-12-01. Roughly 5,600 tickers have a row on a given day; about 8,700 have appeared at some point.
How to fetch it
The series follows a pointer so that a methodology change can be published atomically:
- Fetch
https://data.halfonadouble.com/file/historical-option-data/thesis_quantities/current.json. If it exists, it names the active generation; ticker files are then atthesis_quantities/generations/<generation>/tickers/<SYMBOL>.csv. - If it returns 404, the pointer has not been introduced yet; ticker files are at
thesis_quantities/tickers/<SYMBOL>.csv.
Each ticker page has a Download CSV button that resolves this for you. Ticker files may be cached for up to four hours. Data lands after each close, typically before 05:00 UTC the next day.
Licence
The published levels are derived aggregates and are yours to use for personal, non-commercial research with a link back to the page or this site. Bulk republication, resale, or use in a product needs permission first; ask through the contact page. Full terms are in the terms of use.
What is not published
The underlying per-contract data (quotes, implied volatilities, greeks per strike) is licensed from HistoricalOptionData.com and is not redistributed. Only quantities that cannot be converted back into that data are public.