Skip to content
All library documents

Exchange-Tagged Options Data and Its Market Coverage

Article Quant Q&A · Author: Jack Maloney
Read the original

Summary

The document explains a limitation of exchange-tagged options trade data used to infer dealer positioning. Some exchanges offer data that identifies qualifying trade-side information, but the cited answer says coverage is limited to trades executed on the exchange providing the feed. It gives Nasdaq ISE as an example of a venue offering such data and advises contacting the exchange for pricing.

The answer also clarifies that the consolidated OPRA feed does not include this tagging. Therefore, an exchange-specific feed cannot by itself provide a complete view of dealer activity across the options market. The discussion does not specify the exact fields, tagging methodology, historical availability, or current product terms, and its description of vendor availability may change over time. It is a concise data-source clarification, not a method for reconstructing dealer open interest or positioning.

Key ideas

  • Only some exchanges provide options trade data with exchange-specific tags.
  • The cited ISE data covers trades executed on that venue rather than the whole market.
  • The aggregated OPRA feed does not include the described tags.
  • Exchange-specific tagged data therefore provides incomplete market coverage.

Tags

OptionsMarket microstructure
Full text
# Exchange-tagged option trade data?


# Exchange-tagged option trade data?












I was listening to this Bloomberg odd lots podcast (from 3/21/25) around 3:50. The guest Charlie McElligott says that people speculated on dealer positioning "before you had the exchange-tagged data which now gives you the actuals". I presume he means exchanges (maybe just some of them) have a data feed where options trades are tagged to indicate when one side was taken by a market maker. Is this true? How do I get this data? I thought half the battle was trying to model dealer directional open interest. Is the podcast guest referring to something else?

## Answer by pyCthon (score 2, accepted)

https://quant.stackexchange.com/a/82194

Not every individual exchange sells tagged data only a few of them do. Nasdaq's ICE exchange is one of the few that provides this, it's only for trades executed on their exchange not the entire market. You will have to reach out to them for pricing details. https://www.nasdaq.com/solutions/data/options/ise

The aggregated OPRA feed doesn't contain this as well.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.