Best Volatility Data Providers for Options and Derivatives Research

Best Volatility Data Providers for Options and Derivatives Research

Implied vol, realized vol, term structure, skew — where to get the data that volatility-focused strategies actually need.

What Volatility Research Requires

Volatility-focused strategies operate in a different data universe than directional equity strategies. The inputs are not just prices — they are implied volatility surfaces, realized volatility estimates, term structure dynamics, skew behavior, and the relationship between implied and realized movements. Getting this data in a clean, historically consistent format is the foundation of any serious vol research.

Providers

ORATS

ORATS provides the deepest options analytics platform accessible to individual researchers. Their products include historical implied volatility surfaces, earnings vol estimates, skew analytics, and a proprietary fair-value model. For dedicated volatility researchers, ORATS is the benchmark.

CBOE DataShop

CBOE DataShop is the authoritative source for VIX data, index options, and CBOE-specific products. Their historical VIX data and options data are used extensively in academic and institutional vol research.

IVolatility

IVolatility provides historical implied volatility data, Greeks, and options analytics. Their coverage includes U.S. and some international markets. The platform has been operating since 1999, providing one of the longer historical records available.

Databento

Databento provides raw options tick data that researchers can use to compute their own volatility metrics. This is the route for researchers who want full control over their volatility calculations and trust their own models over pre-computed analytics.

Comparison Table

Structural Data for Volatility Strategies

Beyond raw volatility data, many vol strategies depend on structural inputs: Which market regime are we in? Which underlyings are most likely to produce outsized realized moves? What is the model-implied expected range for today's 0-DTE session?

Alphanume provides several datasets purpose-built for these questions. The S&P 500 risk regime dataset classifies each trading day into a binary risk state, enabling regime-conditional strategy filtering. The next-day movers dataset identifies equities ranked by probability of large realized movements — useful for targeting short-dated options strategies. The S&P 500 0-DTE strike band provides a model-derived expected intraday range based on implied probability distributions.

These complement the vol analytics providers by addressing the strategic layer: not what the vol surface looks like, but what to do with it given the current market environment.