Historical Options Data API for Backtesting - Replay GEX, VRP & Dealer Positioning at Any Minute Since 2018

The article discusses the introduction of a Historical Options Analytics API by FlashAlpha, which allows users to access historical data on dealer positioning for financial instruments like SPY (S&P 500 ETF) since April 16, 2018. Here are the key points:

1. Coverage and Granularity:

   • Symbols: SPY with more backfill available upon request.
   • Date Range: From April 16, 2018, to present (continuously updated).
   • Option Rows: Over 6.7 billion rows.
   • Stock Minute-Bars: More than 2 million records.
   • Intraday Granularity: Data is available at a one-minute interval with quotes and greeks.

2. Features:

   • The API provides over 40 dealer-positioning features per timestamp, including net GEX (Gamma Exposure), gamma flip distance, VRP z-score, net DEX (Delta Exposure), 0DTE contribution, volatility surface shape, and macro regime.

3. Usage Cases:

   • Backtesting strategies: Users can validate trading strategies historically without leakage issues in the training data.
   • Machine Learning Features: The

Read the full article at DEV Community

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