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End-of-Day $QQQ Options Data
Finance & Banking Analytics
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About
Historical options chain data for the Invesco QQQ Trust Series 1 ($QQQ) is provided, detailing end-of-day quotes spanning from the first quarter of 2020 through the fourth quarter of 2022. This collection presents the entire options chain—all available option contracts for all expiration dates—for each business day within this period. Every individual record corresponds to the information associated with a single contract's strike price and a specific expiration date. The options covered are American style, allowing exercise on or before the stated expiration date.
Columns
The dataset includes 33 columns covering quote timing, underlying asset price, strike details, and all associated Option Greeks and pricing metrics for both call and put contracts:
- QUOTE_UNIXTIME / QUOTE_READTIME / QUOTE_DATE / QUOTE_TIME_HOURS: Various time formats indicating when the quote was recorded.
- UNDERLYING_LAST: The last observed price of the underlying asset, $QQQ.
- EXPIRE_DATE / EXPIRE_UNIX / DTE: Details related to the contract expiration, including Days To Expiration.
- STRIKE: The specified price at which the option holder can buy or sell the underlying asset.
- C_BID / C_ASK / C_LAST / C_VOLUME / C_SIZE: Call option bid, ask, last price, trading volume, and size information.
- P_BID / P_ASK / P_LAST / P_VOLUME / P_SIZE: Put option bid, ask, last price, trading volume, and size information.
- C_DELTA / C_GAMMA / C_VEGA / C_THETA / C_RHO / C_IV: Call option pricing "Greeks" and Implied Volatility.
- P_DELTA / P_GAMMA / P_VEGA / P_THETA / P_RHO / P_IV: Put option pricing "Greeks" and Implied Volatility.
- STRIKE_DISTANCE / STRIKE_DISTANCE_PCT: The absolute and percentage difference between the strike price and the underlying asset's last price.
Distribution
The data is structured as a single file, typically in CSV format, designated as
qqq_2020_2022.csv, with a size of approximately 628.23 MB. It consists of 33 columns and contains approximately 1.78 million records. Quotes were captured daily at 4:00 pm EST, coinciding with the end of the day market closure. Updates to this historical data set are expected to occur quarterly.Usage
This data product is suited for several advanced financial applications:
- Quantitative Research: Developing and refining algorithmic trading strategies using granular options data.
- Model Validation: Testing and calibrating options pricing models, such as Black-Scholes, utilizing the provided Greek values and Implied Volatility.
- Historical Analysis: Studying market dynamics, volatility spikes, and investor behaviour across the significant period between 2020 and 2022.
- Backtesting: Evaluating the performance of various options trading and hedging strategies.
Coverage
The dataset focuses exclusively on the Invesco QQQ Trust Series 1, ticker $QQQ. The temporal scope spans two years, starting in the first quarter of 2020 and concluding in the fourth quarter of 2022. The data represents American style options end-of-day quotes.
License
CC0: Public Domain
Who Can Use It
Intended users include financial analysts requiring historical market depth, quantitative traders developing high-frequency models, researchers studying derivatives markets, and data scientists engaging with financial time series data.
Dataset Name Suggestions
- Historical QQQ Options Chains: 2020-2022
- End-of-Day $QQQ Options Data
- Invesco QQQ Trust (American) Historical Derivatives
Attributes
Original Data Source: End-of-Day $QQQ Options Data
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