提供2015年3月开始到上月底日数据及1分钟数据,可提供品种:50ETF期权、300ETF期权、500ETF期权、159915ETF期权等。日数据120元一年一品种,1分钟数据400元一年一品种。
基于Tick转换的1分钟数据计算得出隐含利率及隐含融券利率,然后计算隐含波动率及希腊字母。买价的隐含波动率使用的标的价格为标的买价,卖价的隐含波动率使用的标的价格为标的卖价,中间价及收盘价的隐含波动率分别基于标的中间价、收盘价。当期权买量及卖量大于零时,中间价等于买价加卖价除以2。
字段:日期、时间、合约编码、交易代码、开盘价、高、低、收盘价、成交量、持仓量、成交额、买价、买量、卖价、卖量、收盘价_标的、买价_标的、卖价_标的、执行价、合约单位、到期日、隐含利率、隐含融券利率、期权类型、调整标志、距离到期日天数、连续标志、隐含波动率、理论价格、delta、gamma、vega、theta、rho、隐含波动率_中间价、理论价格_中间价、delta_中间价、gamma_中间价、vega_中间价、theta_中间价、rho_中间价、iv_买价、iv_卖价。
文件按品种按月存储一个个csv文件,excel可读。
网络发送,快捷方便。
拷贝下述小字体文本到文本编辑器,再按ctrl+a全选文本编辑器界面文字,打开excel,选择粘贴--文本导入向导--分隔符--选择逗号打勾,其他项去除勾号,点击完成按钮,即可打开。
日期,时间,合约编码,交易代码,开盘价,最高价,最低价,收盘价,成交量,持仓量,成交额,买一价,买一量,卖一价,卖一量,买二价,买二量,卖二价,卖二量,买三价,买三量,卖三价,卖三量,买四价,买四量,卖四价,卖四量,买五价,买五量,卖五价,卖五量,收盘价_标的,买一价_标的,卖一价_标的,执行价,合约单位,到期日,利率,期权类型,调整标志,距离到期日天数,距离到期日下午三点分钟数,连续标志,隐含波动率,理论价格,delta,gamma,vega,theta,rho,隐含波动率_中间价,理论价格_中间价,delta_中间价,gamma_中间价,vega_中间价,theta_中间价,rho_中间价,iv_买一价,iv_买二价,iv_买三价,iv_买四价,iv_买五价,iv_卖一价,iv_卖二价,iv_卖三价,iv_卖四价,iv_卖五价
2024-01-31,15:00,10006548,510500P2402M04900,0.1773,0.2664,0.1540,0.2344,103241,45925,217663853.00,0.2339,1,0.2344,107,0.2335,1,0.2346,1,0.2333,1,0.2348,10,0.2321,1,0.235,60,0.232,1,0.2353,10,4.7830,4.7840,4.7860,4.900,10000,20240228,2.4115,P,M,28,40319.9,L1,0.3279,0.23440,-0.5794,0.9002,0.0052,-0.0028,-0.0023,0.3297,0.23415,-0.5770,0.8960,0.0052,-0.0029,-0.0023,0.3280,0.3272,0.3269,0.3245,0.3243,0.3312,0.3316,0.3320,0.3324,0.3329
2024-01-31,15:00,10006595,510500C2402M06500,0.0007,0.0012,0.0003,0.0012,976,3321,6847.00,0.0007,10,0.0009,21,0.0005,10,0.001,1,0.0003,3,0.0012,1,0.0002,1,0.0014,1,0.0001,13,0.0019,2,4.7830,4.7840,4.7860,6.500,10000,20240228,2.4115,C,M,28,40319.9,L1,0.4342,0.00120,0.0067,0.0324,0.0002,-0.0002,0.0000,0.4150,0.00080,0.0048,0.0253,0.0002,-0.0001,0.0000,0.4095,0.3960,0.3775,0.3643,0.3443,0.4199,0.4247,0.4333,0.4410,0.4572
2024-01-31,15:00,10006546,510500P2402M04700,0.0913,0.1697,0.0764,0.1320,127395,33256,154457170.00,0.1314,1,0.132,54,0.1303,1,0.1323,1,0.1298,1,0.1336,1,0.1291,1,0.1338,18,0.129,22,0.134,5,4.7830,4.7840,4.7860,4.700,10000,20240228,2.4115,P,M,28,40319.9,L1,0.3326,0.13200,-0.3989,0.8762,0.0051,-0.0029,-0.0016,0.3336,0.13170,-0.3974,0.8723,0.0051,-0.0029,-0.0016,0.3322,0.3300,0.3291,0.3277,0.3275,0.3349,0.3355,0.3380,0.3384,0.3388
2024-01-31,15:00,10005818,510500P2403M07000,2.2100,2.2100,2.2100,2.2100,1,486,22100.00,2.2919,1,2.3088,1,2.291,1,2.3171,10,2.2795,10,2.3267,1,2.2395,1,2.3287,1,2.2133,1,2.3513,1,4.7830,4.7840,4.7860,7.000,10000,20240327,2.5152,P,M,56,80639.9,L2,0.5496,2.21000,-0.9499,0.1004,0.0019,-0.0005,-0.0104,0.8270,2.30035,-0.8415,0.1560,0.0045,-0.0029,-0.0097,0.8061,0.8040,0.7770,0.6682,0.5703,0.8471,0.8646,0.8844,0.8884,0.9328
2024-01-31,15:00,10005810,510500P2403M05000,0.3109,0.4309,0.2903,0.3868,10369,23384,35896858.00,0.3848,1,0.3868,1,0.3844,1,0.3869,1,0.3795,1,0.395,10,0.3789,1,0.3964,10,0.3787,1,0.3976,1,4.7830,4.7840,4.7860,5.000,10000,20240327,2.5152,P,M,56,80639.9,L2,0.3632,0.38680,-0.5846,0.5731,0.0073,-0.0021,-0.0049,0.3634,0.38580,-0.5834,0.5729,0.0073,-0.0022,-0.0049,0.3612,0.3607,0.3540,0.3531,0.3529,0.3655,0.3657,0.3767,0.3786,0.3803
2024-01-31,15:00,10006725,510500C2403M04500,0.3788,0.4033,0.3250,0.3280,1332,2224,4893168.00,0.3244,1,0.3281,1,0.321,1,0.3282,1,0.3192,1,0.3284,1,0.3182,1,0.3292,1,0.3178,10,0.3298,1,4.7830,4.7840,4.7860,4.500,10000,20240327,2.5152,C,M,56,80639.9,L2,0.1716,0.32800,0.8410,0.7538,0.0045,-0.0010,0.0057,0.1638,0.32625,0.8530,0.7493,0.0043,-0.0009,0.0058,0.1614,0.1532,0.1486,0.1460,0.1450,0.1660,0.1663,0.1667,0.1685,0.1699
2024-01-31,15:00,10006727,510500C2406M04500,0.4606,0.4606,0.4006,0.4292,227,906,981714.00,0.4002,1,0.4072,1,0.3998,10,0.4092,10,0.3975,1,0.4104,1,0.393,5,0.4273,1,0.3914,1,0.4316,1,4.7830,4.7840,4.7860,4.500,10000,20240626,2.3637,C,M,147,211679.9,L3,0.1975,0.42920,0.7341,0.5473,0.0100,-0.0009,0.0124,0.1697,0.40370,0.7619,0.6006,0.0094,-0.0008,0.0131,0.1667,0.1663,0.1638,0.1589,0.1572,0.1726,0.1747,0.1759,0.1933,0.1977
2024-01-31,15:00,10006216,510500P2406M05500,0.7684,0.8636,0.7450,0.8617,258,5642,2134116.00,0.8514,1,0.8617,3,0.8483,1,0.8651,1,0.8433,10,0.8845,1,0.8093,1,0.89,2,0.7973,1,0.8901,1,4.7830,4.7840,4.7860,5.500,10000,20240626,2.3637,P,M,147,211679.9,L3,0.3517,0.86170,-0.6814,0.3344,0.0108,-0.0010,-0.0166,0.3482,0.85655,-0.6832,0.3368,0.0108,-0.0010,-0.0166,0.3428,0.3399,0.3352,0.3027,0.2909,0.3536,0.3567,0.3743,0.3793,0.3794
2024-01-31,15:00,10006492,510500P2406M04700,0.2337,0.3176,0.2254,0.3062,4088,7522,11413642.00,0.3025,10,0.3026,1,0.3017,1,0.308,1,0.2995,1,0.3084,10,0.2889,1,0.3177,1,0.2837,1,0.3181,1,4.7830,4.7840,4.7860,4.700,10000,20240626,2.3637,P,M,147,211679.9,L3,0.3073,0.30620,-0.4067,0.4159,0.0118,-0.0011,-0.0091,0.3048,0.30255,-0.4057,0.4189,0.0118,-0.0011,-0.0090,0.3044,0.3037,0.3019,0.2929,0.2884,0.3052,0.3098,0.3101,0.3180,0.3183
2024-01-31,15:00,10006781,510500P2409M05750,1.0223,1.1140,1.0223,1.1140,34,170,358473.00,1.1264,1,1.1473,1,1.1189,1,1.1534,1,1.0979,10,1.1633,10,1.0744,1,1.167,1,1.0509,1,1.1817,1,4.7830,4.7840,4.7860,5.750,10000,20240925,2.6977,P,M,238,342719.9,L4,0.3475,1.11400,-0.6748,0.2682,0.0139,-0.0007,-0.0283,0.3647,1.13685,-0.6616,0.2595,0.0141,-0.0008,-0.0281,0.3568,0.3514,0.3363,0.3190,0.3014,0.3725,0.3768,0.3837,0.3863,0.3965
2024-01-31,15:00,10006537,510500C2402M04700,0.2240,0.2488,0.1721,0.1741,13472,9051,27289208.00,0.1741,2,0.175,1,0.174,1,0.1757,1,0.1724,1,0.1766,10,0.1722,6,0.1768,1,0.1721,11,0.1779,1,4.7830,4.7840,4.7860,4.700,10000,20240228,2.4115,C,M,28,40319.9,L1,0.2348,0.17410,0.6294,1.2145,0.0050,-0.0023,0.0022,0.2332,0.17455,0.6325,1.2190,0.0050,-0.0023,0.0022,0.2335,0.2333,0.2301,0.2297,0.2295,0.2328,0.2342,0.2360,0.2364,0.2386
2024-01-31,15:00,10005812,510500P2403M05500,0.7316,0.8394,0.6933,0.8195,1917,9321,14807498.00,0.8134,1,0.8261,10,0.8097,1,0.8273,1,0.8088,10,0.8312,1,0.7949,1,0.8345,1,0.7894,1,0.8389,1,4.7830,4.7840,4.7860,5.500,10000,20240327,2.5152,P,M,56,80639.9,L2,0.4663,0.81950,-0.7429,0.3691,0.0060,-0.0022,-0.0067,0.4692,0.81975,-0.7405,0.3685,0.0061,-0.0022,-0.0067,0.4574,0.4512,0.4496,0.4258,0.4161,0.4807,0.4827,0.4890,0.4943,0.5013
2024-01-31,15:00,10005811,510500P2403M05250,0.5089,0.6209,0.4752,0.5939,4275,15903,22277270.00,0.588,2,0.596,1,0.5861,10,0.5993,1,0.5854,1,0.5999,12,0.5823,1,0.6015,1,0.582,1,0.6025,1,4.7830,4.7840,4.7860,5.250,10000,20240327,2.5152,P,M,56,80639.9,L2,0.4130,0.59390,-0.6812,0.4614,0.0067,-0.0022,-0.0059,0.4122,0.59200,-0.6807,0.4624,0.0067,-0.0022,-0.0059,0.4051,0.4022,0.4012,0.3965,0.3961,0.4191,0.4240,0.4249,0.4272,0.4287
2024-01-31,15:00,10006540,510500C2402M05000,0.0713,0.0824,0.0499,0.0499,94965,52366,62509584.00,0.0499,69,0.05,5,0.0498,6,0.0503,5,0.0497,2,0.0505,1,0.0495,3,0.0507,10,0.0491,40,0.0508,10,4.7830,4.7840,4.7860,5.000,10000,20240228,2.4115,C,M,28,40319.9,L1,0.2368,0.04990,0.2691,1.0523,0.0044,-0.0019,0.0009,0.2357,0.04995,0.2702,1.0588,0.0044,-0.0019,0.0010,0.2362,0.2359,0.2357,0.2352,0.2343,0.2352,0.2358,0.2363,0.2367,0.2370
2024-01-31,15:00,10006547,510500P2402M04800,0.1276,0.2180,0.1080,0.1812,118961,39960,190867130.00,0.1812,19,0.1818,1,0.1805,1,0.1819,20,0.1804,1,0.182,5,0.18,1,0.1836,1,0.1796,2,0.184,1,4.7830,4.7840,4.7860,4.800,10000,20240228,2.4115,P,M,28,40319.9,L1,0.3350,0.18120,-0.4888,0.8986,0.0053,-0.0030,-0.0019,0.3374,0.18150,-0.4868,0.8917,0.0053,-0.0030,-0.0019,0.3359,0.3345,0.3344,0.3336,0.3328,0.3388,0.3390,0.3392,0.3423,0.3430
2024-01-31,15:00,10006539,510500C2402M04900,0.1103,0.1261,0.0780,0.0780,71085,29765,72104688.00,0.0777,21,0.078,119,0.0776,20,0.0787,1,0.0775,20,0.0789,1,0.0774,20,0.079,5,0.0773,20,0.0794,2,4.7830,4.7840,4.7860,4.900,10000,20240228,2.4115,C,M,28,40319.9,L1,0.2332,0.07800,0.3771,1.2295,0.0050,-0.0022,0.0013,0.2314,0.07785,0.3784,1.2400,0.0050,-0.0022,0.0013,0.2318,0.2316,0.2314,0.2312,0.2310,0.2309,0.2323,0.2327,0.2329,0.2337
2024-01-31,15:00,10006491,510500C2406M04700,0.3350,0.3350,0.2827,0.3055,407,1128,1292849.00,0.2834,10,0.2894,10,0.2801,1,0.291,1,0.2788,3,0.2942,1,0.2755,1,0.3029,1,0.2754,1,0.3051,1,4.7830,4.7840,4.7860,4.700,10000,20240626,2.3637,C,M,147,211679.9,L3,0.1979,0.30550,0.6095,0.6390,0.0117,-0.0010,0.0105,0.1805,0.28640,0.6167,0.6965,0.0116,-0.0009,0.0107,0.1784,0.1755,0.1744,0.1715,0.1714,0.1825,0.1838,0.1866,0.1941,0.1960
2024-01-31,15:00,10006549,510500P2402M05000,0.2388,0.3447,0.2104,0.3051,38467,30981,104227096.00,0.305,1,0.3059,2,0.3048,1,0.306,1,0.3025,1,0.3095,5,0.3014,1,0.31,2,0.3004,1,0.3108,10,4.7830,4.7840,4.7860,5.000,10000,20240228,2.4115,P,M,28,40319.9,L1,0.3386,0.30510,-0.6578,0.8189,0.0049,-0.0027,-0.0026,0.3421,0.30545,-0.6543,0.8133,0.0049,-0.0028,-0.0026,0.3397,0.3393,0.3346,0.3323,0.3303,0.3443,0.3445,0.3516,0.3526,0.3542