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Data

We have included a market dataset that we use for examples and activities in the equity domain. This dataset holds the daily open, high, low, close, and volume data for a selection of stocks between 2014 and 2024.

VLQuantitativeFinancePackage.MyTestingMarketDataSet — Function
MyTestingMarketDataSet() -> Dict{String, DataFrame}

Load the components of the SP500 Daily open, high, low, close (OHLC) dataset as a dictionary of DataFrames. This data was provided by Polygon.io and covers the period from January 3, 2025, to the current date (it is updated periodically).

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Options Data

We have also included an options chain dataset that we use for examples and activities in the options domain. This dataset holds a snapshot of options data for a selection of stocks on a specific date. Currently, we only provide data for AMD options as of October 22, 2025. The dataset includes information such as strike prices, expiration dates, bid and ask prices, and implied volatilities.

VLQuantitativeFinancePackage.MyOptionsChainDataSet — Function
MyOptionsChainDataSet(ticker::String) -> NamedTuple

Load the options chain dataset for the specified ticker symbol as a NamedTuple.

Arguments

  • ticker::String: The ticker symbol for which to load the options chain data (e.g., "amd" for AMD). Defaults to "amd".

Returns

  • NamedTuple: A NamedTuple containing two fields:
    • metadata::Dict{String, Any}: A dictionary containing metadata about the options chain.
    • data::DataFrame: A DataFrame containing the options chain data.

The metadata field has the keys:

  • DTE::String
  • underlying_share_price_mid::String
  • underlying_share_price_bid::String
  • underlying_share_price_ask::String
  • expiration_date::String
  • purchase_date::String
  • is_weekly::Bool
  • atm_IV::String
  • historical_volatility::String
  • source::String
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