Level 2 for Stock Options?

[Cypherdude]

Is it possible to get Level 2 for each strike price for stock options?
Is Level 2 for stock options only available for professionals and the big trading houses? Does such a thing even exist? I assume it does.

This is an example for Level 2 for a stock symbol:

 

[Robert Morse]

Option data is only sold to customers in one way, then your broker either shows the option exchanges or just top of book.

Is it possible to get Level 2 for each strike price for stock options?
Is Level 2 for stock options only available for professionals and the big trading houses? Does such a thing even exist? I assume it does.

This is an example for Level 2 for a stock symbol:
View attachment 348240

 

[Databento]

The short answer is yes, but it's extremely expensive.

The long answer is complicated.

So, options data that you've seen so far is almost always sourced from OPRA, which consolidates data from all of the US equity option exchanges.

OPRA is a L1 feed that publishes the top of book and last sale of every venue and the NBBO. You can overlay and aggregate the top of book of every venue to make it look like a L2 price ladder, but that's only going to be a fraction of the sweep liquidity actually available at those prices. So it's not really a L2 feed.

In fact, it might surprise you but both Robert and you are showing screenshots of L1 feeds, not L2 feeds. You can verify this from observing that every MPID/market center only shows up exactly once on each side of the book. This is obviously untrue, Arca for example has a lot of depth at multiple levels in a liquid ETF like QQQ.

(Your screenshot is more nuanced, it does show Nasdaq occurring multiple times, but other venues only once. It appears that it's not distinguishing between Nasdaq, BX and PSX properly. This suggests that your provider is providing Nasdaq Basic NLS+, Nasdaq Basic plus the SIPs, or Nasdaq TotalView+the SIPs which results in this particular combination of L1 quotes or partial combination of Nasdaq L2 with L1 from other stock venues.)

If all you want is this, then Databento has it; a few other vendors provide this too. You can see from our pricing calculator that it's about 700 GB uncompressed per day.

If what you want is a true L2 feed, you'll need the prop feeds. But unlike equities where prop feeds are more readily available, options prop feeds are rarely used by individuals. The reason is multifold: (i) OPRA is already a massive data feed that most vendors cannot keep up with or store. Providing the prop feeds would be even more challenging. (ii) The prop feeds are licensed in a manner that will subject most people to significant fees. See for example Cboe Book Depth, C2 Book Depth, BZX Options Depth internal distribution pricing here.

 

[Robert Morse]

OPRA only refers to this as Non-Pro or Pro Device. I thought to get real depth of market with OPRA, you need a raw feed.

In fact, it might surprise you but both Robert and you are showing screenshots of L1 feeds, not L2 feeds.

 

[Drawdown Addict]

L2 per strike on an option chain.

I even fail to imagine how would you display that, considering call and put sides.

But considering that an option chain is driven by the underlying and you are likely to get filled on the top of the book by the exchange, on the strike, what would be the applications for having such L2 data?

I am asking to learn something and not trying to be sarcastic.

 

[Databento]

OPRA only refers to this as Non-Pro or Pro Device. I thought to get real depth of market with OPRA, you need a raw feed.

We consume the OPRA raw feed and it's L1 only. You can see the spec here, there's only best bid/offer, no depth index.

 

[brown.william]

Level 2 for stock options shows real-time bid and ask prices along with the order book depth. It reveals the supply and demand at different price levels, helping traders make better decisions. This data provides a clearer picture of market activity and potential price changes.

 

[Robert Morse]

Skipping the very expensive service Databento can provide, which is not for a retail trader with a trading platform, depth of market is not available on any display I have ever seen for OPRA feeds. And your premise of the value you get from seeing option bid/ask outside the current NBBO, I would say is not accurate. A very high percentage of those booked orders are from automated market makers with quotes that move with the Stock and Vol changes. They just might not be there if the NBBO moves. When I was automated, I set my quotes for a profit a certain amount away from my fair value. Then I could code to be more or less aggressive based on my current risk. E.G. If I was short too much VEGA, I might make it so I was always a tick higher than the ASK so only a very fast sweep would touch my quote. With 17 Option Exchanges and market prices set first by a small number of fully automated market makers, I think outside quotes are a distraction. And, not available on trading platforms.

Level 2 for stock options shows real-time bid and ask prices along with the order book depth. It reveals the supply and demand at different price levels, helping traders make better decisions. This data provides a clearer picture of market activity and potential price changes.