Open-Close data is a volume summary file for option trading activity on Cboe exchanges (BZX, C1, C2, EDGX). Available in 10-minute 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 position. The customer and professional customer volumes are further broken down into trade size buckets (fewer than 100 contracts, 100-199 contracts, greater than 199 contracts). Fields 10-17 (OHLC prices, total volume, open interest) 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 the exchange.

Select one or more exchanges when purchasing. Data files are delivered per exchange.

*While the bulk of this data set is derived directly from our markets, we rely on third party providers for Total Industry Volume and Open Interest. These fields are included as value-adds and are provided on a best effort basis.

Reference:

Detailed end-of-day file information:
EOD file specification
Legacy EOD file specification (C1)

Detailed 10-minute interval file information:
Interval file specification

This data set is exclusive to Cboe and Fee Schedules have been filed with the SEC (see “LiveVol Fees”)

Subscription:

End-of-day data is delivered overnight after midnight U.S. Eastern.

10-minute files are delivered intraday a few minutes after each interval closes.

Historical Data:

*Format change in 2011 described in Legacy EOD file specification (C1). For data prior to 2005, please contact sales@livevol.com

Coverage for the Global Trading Hours session on C1 is available starting Dec 11, 2023.

For EOD data, there will be one file per exchange, per day or month (depending on your file grouping selection). Monthly grouping may not be available for orders with a large number of symbols.

For interval data, there will be one file per exchange, per 10-minute interval time stamp

Due to operational and system changes over time, differing conventions will be found in historical data across exchanges:

Open Interest / Previous Open Interest

• From the beginning of C1 history through 2019-10-04, OI and Previous OI values are shifted a day ahead (i.e. an EOD number instead of start of day as is current convention)
• From the beginning of C2 history through 2018-05-11, OI and Previous OI values are shifted a day ahead.
• Other exchanges (BZX, EDGX) follow start of day OI convention from the beginning of their file history to present.

Total Industry Volume

• C2 total industry volumes are doubled from start of history through 2018-05-11

Total Exchange Volume

• From the beginning of C1 history through 2019-10-04, total exchange volume = (B + S) / 2 instead of current convention of B + S

Previous Close

• From the beginning of C1 history through 2019-10-04, C1 reported previous close as the last traded price on the previous day on the C1 exchange (instead of across all industry exchanges as is current convention)
• From the beginning of C2 history through 2018-05-11, C2 reported previous close as the last traded price on the previous day on the C2 exchange.
• BZX and EDGX have consistently reported previous close as the last traded on the previous day across all industry exchanges.

Series Type

• From beginning of history to 2024-10-15, values for series type: 'S' Standard (ex. GE, AAPL, GE1); 'N' Nonstandard (2AAPL, 2QQQ1).
• As of 2024-10-16, values for series type will include 'F' to indicate flex options: 'S' Standard (ex. GE, AAPL); 'N' Nonstandard (ex. GE1); 'F' Flex (ex. 2AAPL, 2QQQ1)

Dates Unavailable

• C1 intervals are not available for 2012-02-29 and 2016-02-29