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Power Trading Strategies
With Custom Historical Data

7 New Data sets: Cboe exclusive Early Exercise Strike by Option Class, Master Vol By Underlyer, Implied Borrow, Event Free Realized Volatility, Fit Parameters, Implied Earnings Move and Traded Vega Ratios.

Click here for details.

DataShop Options Trades/Intervals Promo

Featured Data Sets

Our end-of-day option quotes with Calcs file provides all of the fields in the end-of-day Option quotes file plus market implied volatility for each option, as well as, the greeks (Delta, Gamma, Theta, Vega and Rho). Implied volatility and Greeks are calculated off of the 1545 timestamp, since it is considered a more accurate snapshot of market liquidity than the end of day market. Effective February 5, 2020 on half trading days, the value in the "1545" column will be taken at 12:45 pm ET and the column name of 1545 will be unchanged.


File Layout: End-of-Day Option Quotes With Calcs Layout.


To purchase subscription data, please see: End-of-Day Option Quotes with Calcs – Subscription

Buy three years history of full market (all symbols) Options Trade or full Option Intervals data and get your first year of updates free! Offer expires June 30th. Click here for details.


Select your own custom interval from 1 minute to End-of-day, NBBO market quote and size are captured in every snapshot along with open, high, low, close and trading volume. Underlying bid and ask prices are included at each interval for your reference. Covers U.S Stock, ETF, and Index securities with listed options.


In addition to OHLC, Volume, and NBBO markets at each interval, you may select and include the following:

  • Calcs: Midpoint Implied Volatility, Delta, Gamma, Theta, Rho*
  • BBO of each individual exchange*
  • Open Interest: Start-of-day Open Interest for each option (Optional)
*Base order must include at least 1 selection between Calcs or BBO of Each Exchange.


A separate subscription to nightly ongoing updates of this data-set is also available, please see: Option Quotes Intervals – Subscription


Reference Files:
Exchange ID Mapping: Exchange IDs

Open-Close data is a volume summary file for trading activity on the C1 exchange. Available in 10-minute summary intervals or as an end-of-day summary, it aggregates and buckets the volume by origin (customer, professional customer, broker-dealer, and market maker), buying/selling, and opening/closing criteria. The customer and professional customer volume are further broken down into trade size buckets (fewer than 100 contracts, 100-199 contracts, greater than 199 contracts). Fields 10-17 will only be available in the end-of-day files and will not be populated in the 10-minute intervals. It contains all series in an underlying security's chain-if it has volume on C1. For data prior to 2005, please contact sales@livevol.com. For pricing, please see “LiveVol Fees” in the Cboe Exchange Fee Schedule.


For an ongoing subscription, please see: Open-Close C1 - Subscription


Open-Close data is also available for BZX, C2, and EDGX


The downloadable sample contains 2 files: 1 sample of the EOD format, 1 of the 10-minute

Buy three years history of full market (all symbols) Options Trade or full Option Intervals data and get your first year of updates free! Offer expires June 30th. Click here for details.


Our option trades files have the supporting information needed to provide context to trading activity. Included with each trade is the trade price and size, the exchange where the trade printed, the NBBO quote and depth, the underlying bid and ask, and each of the individual exchange markets. With the addition of our Calcs data, you receive the implied volatility and the calculated delta of the trade. Trades from Global Trading Hours (GTH) will be included effective February 5, 2020. GTH trades will be signified by a time stamp between 3:00 am ET and 9:15 am ET. At this time only ^SPX and ^VIX trade during GTH.


Reference Files:
Exchange ID Mapping: Exchange IDs
Trade Condition ID Mapping: Trade Condition IDs

After the column with "number_of_exchanges", there are unlabeled columns representing individual exchange quotes. This repeatable sequence populates columns according to this pattern: Exchange ID (see Exchange mapping Exchange IDs), Bid Size, Bid, Ask Size, Ask.

This report is a superset of proprietary volatility analytics including implied volatilities per expiration and constant maturity, realized volatilities, Event free implied and realized volatilities, earnings information and much more. This proprietary valuation model uses a business day calendar with intraday time decay along with discrete dividend estimates, implied borrow rates, and proprietary arbitrage-free smoothed volatility surfaces. Files are labeled with a date-time in Central time.


One file will be delivered at the end of the day, if End of Day interval is chosen. If 15 min interval is selected, files will be delivered every 15 minutes during the day with 15 minutes delayed data.

This report provides the implied price move associated with the upcoming earnings event using a proprietary methodology. In certain cases, market pricing may be such that an implied move cannot be calculated and a value of blank is acceptable. This proprietary valuation model uses a business day calendar with intraday time decay along with discrete dividend estimates, implied borrow rates, and proprietary arbitrage-free smoothed volatility surfaces. Files are labeled with a date-time in Central time.


One file will be delivered at the end of the day, if End of Day interval is chosen. If 15 min interval is selected, files will be delivered every 15 minutes during the day with 15 minutes delayed data.