Definition
Options data is the family of market-data feeds describing the price and behaviour of listed option contracts. Unlike spot data, which has one bid and one ask per symbol, an option chain explodes into a grid: every underlying carries dozens of expirations, each expiration carries dozens of strikes, each strike has both a call and a put, and each contract has its own bid, ask, last trade, open interest, volume, and implied volatility. A single underlying can expose tens of thousands of distinct option contracts at any moment.
Beyond price, an option carries the greeks — delta, gamma, theta, vega, rho — which quantify its sensitivity to underlying price, time, volatility, and rates. The implied volatility surface, derived from the chain, encodes the market's forward view of risk across strikes and tenors. None of this structure exists in equity or futures data.
Why it matters
How it works
A typical options-data feed delivers, per snapshot: the underlying spot price, the option chain (strike, expiration, type, bid, ask, last, volume, open interest), and either the implied volatility per contract or enough information to compute it. A research stack will compute greeks from a pricing model — Black-Scholes for European-style equity index options, binomial trees for American-style single-name options — using the implied volatility as the calibrating input.
The operational subtleties are real. Options on dividend-paying stocks need the dividend schedule to price correctly. American-style options have early-exercise optionality that pure Black-Scholes ignores. The implied-volatility surface is rarely flat — it skews lower for high strikes and steeper for short tenors — and any strategy that flattens the surface in its model is mis-pricing tail risk. Liquidity falls off quickly outside the at-the-money strikes and the nearest two or three expirations; far-from-the-money strikes may have indicative quotes that cannot actually be traded in size.