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
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:
A separate subscription to nightly ongoing updates of this data-set is also available, please see: Option Quotes Intervals – Subscription
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 firstname.lastname@example.org. For pricing, please see “LiveVol Fees” in the Cboe Exchange Fee Schedule.
For an ongoing subscription, please see: Open-Close C1 - Subscription
The downloadable sample contains 2 files: 1 sample of the EOD format, 1 of the 10-minute
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 will provide the maximum theoretical call strike price that is financially beneficial for early exercise and the minimum theoretical put strike price that is financially beneficial for early exercise on the current trading day according to a proprietary theoretical valuation model.
This proprietary valuation model uses a business day calendar with intraday time decay along with discrete dividend estimates, proprietary implied borrow rates, and proprietary arbitrage-free smoothed volatility surfaces. Files are labeled with a date-time in Central time.