OptionMetrics Adds Retail Flow Signals and 5-Minute Data to…
By Rick Steves
AI summary of the source article
OptionMetrics introduced IvyDB TradeFlow, a dataset providing five-minute, 30-minute, and end-of-day intervals with historical records dating back to January 2016 across all US options exchanges. The tool uses trade descriptions, sequence of events, and volume-weighted average price to infer order direction, aggressiveness relative to NBBO, and participant types. This classification is intended to help researchers and quantitative traders analyze market impact and separate customer demand from dealer hedging, especially as zero-day-to-expiry (0DTE) contracts expand. However, the classifications remain model-based inferences rather than verified identities, meaning caution is required when interpreting trade motivations.
Why it matters
The dataset provides intraday participant classification and directional volume, helping quantitative traders, risk managers, and academics separate customer demand from dealer hedging amid rapid growth in zero-day options trading.
Key facts
- IvyDB TradeFlow covers every US options exchange across five-minute, 30-minute, and end-of-day intervals with history to January 2016.
- Zero-day contracts accounted for 59% of S&P 500 Index options volume in 2025, with Cboe estimating retail share at roughly 50% to 60%.
- US brokers received over $1 billion in options payment for order flow in a single quarter based on aggregated regulatory filings.