Very. The standard terminal product they offer is around 2K per month. You can buy just the data (as many third parties do) but that'll also cost a pretty penny. It's a great data source, but definitely not cheap.
You can also use Quandl data too (most series are free). I subscribe to Bloomberg and it's great data source, but obviously it's not that cheap. (I'm the developer of PyThalesians - if you'd like me to add other data sources let me know!)
Thanks for the tip on Quandl, and for the great library!
Xbrl integration for SEC filings
It's not even a complete data source, which for the price is an embarrassment. I tested it with a nearby college that had a full terminal, and they are missing data from expired options. For $2k/month I'd expect it to at least be complete!
Historical option data is "premium" data unfortunately.