Option Suite by WRDS

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Option and equity level indicators are available for all U.S. options and corresponding equities going back to 1996. Using the U.S. Stock Level Output, you can obtain option-based equity characteristics from filtered option series based on standard option criteria, such as range of time to expiration, moneyness, and implied volatility. With the U.S. Daily Level Output, you are offered the flexibility to filter option series by widely used criteria, such as range of time to expiration, moneyness, and implied volatility.

Requires subscription to OptionMetrics data.