Services

Our Services

AlphaMix provides comprehensive options data processing services designed for quantitative trading professionals. Our platform aggregates data from 12+ major US options exchanges, providing unparalleled market coverage and insights.

Data Sources & Exchange Coverage

We parse and process options data from 12+ major US options exchanges, providing comprehensive market coverage. Our platform aggregates data from:

  • Cboe Global Markets (4 platforms: CBOE, C2, EDGX, BZX) - accounting for ~31% of US options volume
  • Nasdaq Options Markets (4 platforms: PHLX, NOM, BX, ISE)
  • NYSE Options Platforms (ARCA, NYSE American)
  • MIAX (Miami International Securities Exchange) (MIAX Options Exchange, MIAX PEARL Options)

For detailed information about each exchange and their specific characteristics, see our Data Sources page.

Data Parsing & Collection

We parse and collect complex options data from these platforms, handling:

  • Real-time data streams: Live options pricing, trading data, and market depth from OPRA feeds
  • Historical data: Comprehensive historical options datasets with full tick-level granularity
  • Data normalization: Standardized formats across multiple platforms ensuring consistency
  • Quality assurance: Automated validation, error detection, and data integrity checks
  • OPRA integration: Direct parsing of OPRA (Options Price Reporting Authority) consolidated feeds

Data Preparation & Processing

Our data preparation pipeline transforms raw options data into analysis-ready formats using industry best practices:

  • Data cleaning: Advanced outlier detection and removal, handling of corporate actions and adjustments
  • Feature extraction: Comprehensive options metrics including Greeks, implied volatilities, and pricing models
  • Data enrichment: Integration of additional market data including underlying prices, dividends, and interest rates
  • Format standardization: Consistent data structures across all exchanges enabling seamless analysis
  • OPRA consolidation: Proper handling of OPRA consolidated feeds with exchange-level granularity
  • Quality metrics: Continuous data quality monitoring and reporting

Advanced Feature Engineering

Using state-of-the-art machine learning and deep learning models built on the latest academic research, we generate specialized features for quantitative trading:

Academic Research Foundation

Our feature engineering incorporates insights from recent research in: - Options market microstructure and price discovery - Volatility modeling and forecasting - Market maker behavior and inventory dynamics - Information flow and informed trading - High-frequency trading and market impact

Key Features

Gamma Exposure (GEX) Analysis:

  • OPRA-based GEX: Gamma exposure calculations based on OPRA trade classifications, providing comprehensive market-wide gamma positioning
  • Exchange-native GEX: Exchange-specific gamma calculations using native trader type classifications
  • Real-time gamma monitoring: Continuous tracking of gamma imbalances across strikes and expirations
  • Historical gamma analysis: Long-term gamma exposure patterns and their impact on volatility

Trader Type Classification:

  • OPRA trade classification: Standardized trade classification from OPRA consolidated feeds
  • Exchange-native classifications: Detailed trader type identification from exchange-specific data (market makers, customers, proprietary traders)
  • Flow analysis: Identification and tracking of large block trades and unusual activity
  • Informed trading signals: Detection of potentially informed trading based on trader classifications

Additional ML/DL Features:

  • Deep learning embeddings: Neural network-generated features capturing complex option relationships
  • Time-series features: Temporal patterns, volatility clustering, and regime detection
  • Cross-asset features: Multi-asset relationships, correlations, and spread analysis
  • Volatility surface modeling: Advanced implied volatility surface construction and analysis
  • Custom features: Tailored feature engineering for specific trading strategies and research needs

Database Management

We maintain organized, queryable databases of processed options data:

  • Structured storage: Efficient database schemas for fast queries
  • API access: Programmatic access to processed data
  • Data versioning: Historical snapshots and version control
  • Documentation: Comprehensive data dictionaries and schemas

Custom Solutions

We work with clients to develop tailored solutions:

  • Custom pipelines: Data processing workflows specific to your needs
  • Strategy-specific features: Features designed for particular trading strategies
  • Integration support: Help integrating our data into your trading systems
  • Ongoing support: Continuous monitoring and optimization
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Interested in learning more about our services? Request access to discuss your specific requirements.