7About

Pitfield St is an independent research firm. We collect US options and equity market data through the trading day and after every close, and publish what we build from it, so that individual traders can work with the kind of information professional desks use. We also trade on it ourselves.

7.1Why we started it

Good market data is expensive. A consolidated options feed costs thousands of dollars a month before you've calculated anything, and the analysis desks build on top of it, like volatility surfaces, skew and a view of the whole stock market by size, usually sits behind institutional subscriptions. Individual traders end up trading against people who can see a lot more than they can.

Everything on the site is free to read today. Where a licence limits what we can show, the page says so.

7.2What we publish

• The SPY options volatility surface, fitted every half hour during the session and again after the close, with skew, term structure, gamma exposure and more.
• The whole US stock market every day, broken down by company size, sector and time of day, with the most attention on small and mid caps.
• Research notes on what the data shows, including the results that didn't hold up.
• A daily quality report on what we had to throw out, and a methodology page with the formula behind every number.

7.3What this isn’t

• Advice. Nothing here tells you what to buy or sell, and none of it is tailored to you.
• A signals service. We don't publish positions, trade ideas or alerts.
• A live feed. Options update every half hour while the market is open; stocks update after the close.
• A data vendor. Our raw prices are licensed and we can't pass them on. We publish what we calculate from them, and for stocks only figures that cover many companies at once.

7.4We trade

We trade in the markets this site covers, using the same data. That's a conflict of interest, and you should know about it. This is how we handle it:

• We never publish a position or a recommendation, before or after a trade.
• Everything goes up for every reader at the same time. Nobody gets early access.
• Research notes describe what the market did over a stated period. We write them to be accurate, not to move anything we own.
• We may own or trade any security mentioned on this site, including SPY.

7.5Where the data comes from

Our options data comes from Alpaca's indicative feed, which estimates quotes rather than reporting the official consolidated options tape (OPRA). We don't have an OPRA licence yet, so we use this feed and label it on every options page. Treat our surfaces as a close approximation of the market's rather than the official record: the levels are estimates and the spreads aren't ones you could have traded at. The calculations are the same ones we would run on the official feed, and every stored row records which feed it came from.

Stock prices come from the consolidated tape, which covers every US exchange, delayed by fifteen minutes. Company share counts, earnings and industries come from SEC filings. Interest rates come from the Federal Reserve's FRED database. We license market data for our own use, which means we can't redistribute raw quotes or prices. Everything published here is calculated by us.

7.6Checking our numbers

Our code is private, because the same pipeline feeds our own trading. What we publish instead is enough to check any number: the formula on the methodology page, where the data came from, and the version of the pipeline that produced it, which is stored with every row.

Trading days captured

42

Option contract-days

540,503

Latest session

2026-11-06

Pipeline version

0.1.0

7.7Corrections

We never overwrite data. If something needs correcting, the correction goes in as a new row with a later timestamp and the original stays where it was. Every row also records the version of the code that wrote it, so if a bug ever gets through we can find exactly what it touched.