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sqx_options_analytics by SQX

Dataset Name: sqx_options_analytics

Group: options
Vendor: SQX
Asset Class: Options
Data Update Frequency: day

Options Analytics

The Options Analytics service uses daily updates and historical data to provide end-of-day analytics and reference data for U.S. and international exchange-listed options on equities, exchange-traded funds (ETFs), equity indexes, and futures.

This service can run test simulations of trading strategies, generate risk and regulatory reports on portfolios of options and underlying securities, and perform an in-depth analysis of options positions. Accounting firms can also use this service to their advantage, to help calculate the amount of dividend equivalent payment and delta test for the IRS Section 871(m).

Available options analytics data

  • Standard Greeks:
    • Delta
    • Gamma
    • Vega
    • Theta
    • Rho
  • Implied volatilities
  • Interpolated volatility surface
  • Historical volatilities
    • Time series periods from 10 days up to 180 days
    • Close-to-close historical volatilities time series
    • Open-high-low-close historical volatilities time series
  • Reference data
    • Open, high, low, close, volume and open interest
    • NBBO bid/ask quotes
    • End-of-day pricing
    • Other reference data


Founded in 2001, SQX specializes in gathering and distributing fixed-income pricing, difficult-to-price security quotes and niche derived-data for the global fixed income and investment industry.

SQX provides a broad range of accurate, cost-effective prices for structured notes, evaluated corporate bonds, municipal bonds , and REITS for mutual funds, money managers, hedge funds, internal pricing groups, custodians, and auditors.

SQX currently maintains a relationship with over 100 domestic and foreign dealers, who provide clients with pricing data on fixed income instruments through SQX.

SQX has provided daily end-of-day fixed-income evaluations since 2015. In the fall of 2016, SQX teamed up with Mergent, allowing for an even broader range of fixed-income price evaluations using Mergent data, such as municipal bond pricing.

  • Accurate - Reliable and rigorous methodology
  • Cost Effective - Industry's low-cost pricing leader
  • Independent - Third-party pricing and audit reports for over 15 years
  • Customized - Service and pricing determined by client-specific needs

SQX provides pricing for:

  • Global Corporate Bonds
  • Global government Bonds
  • Municipal Bonds
  • Structured notes
  • REITs
  • LPs
  • Swaps
  • Interest Rate Swaps
  • Money Markets
  • CDs
  • Catastrophe Bonds

In partnership with Exchange Data International (EDI), SQX is also equipped to provide corporate actions, as well as reference data and pricing for all exchange-traded securities.


Important Dataset Notes

This dataset is not available for direct online purchase. Please contact sales directly at The data is available through our normal sales department who can provide you with current pricing and a quote for accessing this valuable dataset. This may be due to a number of reasons such as dataset intended use, size of the company (or investment fund) using the dataset, or for simple legal requirements that CloudQuant needs to ensure are in place prior to licensing the dataset to you.