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fabhaus/equities_5m_options

Equities 5-Minute Options (Enriched) Intraday 5-minute OHLCV bars for U.S. equity options contracts, with each contract's strike, expiration, and side parsed from the OCC option symbol, and the macro rate / inflation environment joined per row. Companion stock dataset: fabhaus/equities_5m_stockprices. Dataset Summary Asset class: U.S. listed equity options (calls and puts). Bar interval: 5 minutes, timestamps in UTC (ISO-8601 with Z suffix). Coverage window:… See the full description on the dataset page: https://huggingface.co/datasets/fabhaus/equities_5m_options.

sourceHugging Faceotherupdated 5mo agoView on Hugging Face
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Equities 5-Minute Options (Enriched)

Intraday 5-minute OHLCV bars for U.S. equity options contracts, with each contract's strike, expiration, and side parsed from the OCC option symbol, and the macro rate / inflation environment joined per row. Companion stock dataset: `fabhaus/equities_5m_stockprices`.

Dataset Summary

  • —Asset class: U.S. listed equity options (calls and puts).
  • —Bar interval: 5 minutes, timestamps in UTC (ISO-8601 with Z suffix).
  • —Coverage window: 2024-01 through 2026-03 (27 monthly shards).
  • —Universe: options on ~13.3k underlyings (the project's tickers_with_options_data.txt list).
  • —Row count: ~77.4 million rows.
  • —Granularity: one row per (option_symbol, datetime) — i.e. one contract at one 5-minute bar.

The schema is intentionally flat. Macroeconomic columns are prefixed with macro_ so they group naturally and don't collide with bar fields. There are no technical-indicator, fundamentals, or valuation columns on this dataset — those live on the companion stock dataset, keyed on the underlying_symbol.

Column Descriptions

Contract identifiers

ColumnTypeDescription
option_symbolstringOCC option symbol (e.g. AAPL260618C00185000)
underlying_symbolstringUnderlying equity ticker, parsed from option_symbol
option_typestringcall or put, parsed from the C/P character of the OCC symbol
strike_pricefloat64Strike in U.S. dollars, parsed from the OCC symbol's strike segment
expiration_datestringContract expiration date (YYYY-MM-DD), parsed from the OCC symbol

Bar identifiers

ColumnTypeDescription
datetimestringUTC timestamp at the start of the 5-minute bar (YYYY-MM-DDTHH:MM:SSZ)
datestringUTC calendar date of datetime (YYYY-MM-DD)
unix_timestampint64Seconds since epoch for datetime

OHLCV

Prices are quoted per share of the underlying (i.e. the standard option quote, not multiplied by the 100-share contract multiplier).

ColumnTypeDescription
openfloat64Open price for the 5-minute bar
highfloat64High price
lowfloat64Low price
closefloat64Close price
volumeint64Contracts traded during the bar
trade_countint64Number of trades during the bar
vwapfloat64Volume-weighted average price for the bar

Macro indicators (macro_*)

Each macro field is paired with an *_observation_date indicating the latest observation that was available at or before the bar's UTC date (as-of join, no look-ahead).

ColumnSourceDescription
macro_cpi / macro_cpi_observation_dateBLS series CUUR0000SA0CPI-U All Urban Consumers, NSA, monthly
macro_inflation_rate_yoy / macro_inflation_rate_yoy_observation_datederived from CPIYear-over-year CPI change in percent
macro_unemployment_rate / macro_unemployment_rate_observation_dateBLS series LNS14000000Civilian unemployment rate, percent, monthly
macro_treasury_yield_3m / macro_treasury_yield_3m_observation_dateU.S. Treasury daily XML3-month constant maturity Treasury yield, percent
macro_treasury_yield_10y / macro_treasury_yield_10y_observation_dateU.S. Treasury daily XML10-year constant maturity Treasury yield, percent

Values may be null when the upstream series has not yet published the observation that covers the bar's date.

Dataset Details

Sources

  • —Bars: Historical options chains at 5-minute resolution (Various sources).
  • —Contract metadata: parsed deterministically from the OCC option symbol.
  • —Macro: BLS public API v2 (CPI, unemployment), U.S. Treasury daily yield curve XML (3m, 10y).

Joining with the stock dataset

underlying_symbol here matches symbol in `fabhaus/equities_5m_stockprices`. A typical workflow is to compute features on the stock dataset (technical indicators, fundamentals, valuation gap), then join them onto the options rows on (underlying_symbol, datetime) to build option-level features that incorporate underlying state.

Notes and caveats

  • —OCC symbol format. underlying_symbol, expiration_date, option_type, and strike_price are parsed deterministically from the trailing 15 characters of option_symbol (YYMMDD, C/P, then the 8-digit strike in thousandths of a dollar). The first character(s) before that block are the underlying.
  • —Quote convention. Option prices are per-share, not multiplied by the 100-share contract multiplier. To get notional dollars per contract, multiply by 100.
  • —As-of joins, no look-ahead. Macro fields are joined using the latest observation at or before the bar's date, so early bars may have null macro fields.
  • —Sparse contracts. Many option contracts trade thinly. Bars are only emitted for 5-minute windows where the upstream feed reports activity, so expect uneven cadence per option_symbol.
  • —Greeks / IV are not included. This dataset is raw bars + contract metadata + macro. Compute Greeks downstream from close, strike_price, expiration_date, the underlying price (from the companion stock dataset), and your preferred rate / dividend assumptions.
  • —Time zone. All timestamps are UTC.