CFE Summary files aggregate and bucket anonymized trading volume and trade count in all CFE products including spreads and trade at settlement products.
Sessions available:
-Regular Trading Hours (RTH): 8:30am - 3:15pm U.S. Central time
-Global Trading Hours (GTH): 5:00pm (previous day) - 4:00pm (current day) U.S. Central time
-For End-of-Day data, selecting GTH will also include RTH
Snapshots Available: 10-minute intervals and End-of-Day (EOD) Summary
Licensing & Redistribution Rights
This dataset is proprietary to Cboe Global Markets. External redistribution of this data is strictly prohibited.
Bucketing Categories
- Participant: Customer/Firm
- Volume classification is based on Customer Type Indicator (CTI) as described in https://www.nfa.futures.org/news/newsNotice.asp?ArticleID=1362
- Customer = CTI 4 (non-member)
- Firm = CTI 1-3 (member)
- Side: Buy/Sell
Subscription Details
Delivery Times:
- 10-minute intervals:
- Intraday (15-minute delay) available only for RTH session
- Effective Dec 16th, 2024, we will be adding the 8:30 interval file (filename format: CFE_report_YYYY-MM-DD_08_30.csv.zip). This file will include the cumulative GTH volumes from 5:00PM the previous day up until 8:30AM and will be delivered shortly after 8:45AM CT.
- End of day delivery for Futures session and RTH session, delivered after 5:15pm ET on day of market close
- Intraday (15-minute delay) available only for RTH session
- EOD Summary - GTH session and RTH session delivered after 7:15pm ET on day of market close
Historical Data Availability
- 10-minute intervals: Available from March 2022
- EOD: Available for both GTH and RTH from March 2018
Additional Value-Added Information included:
- Product Symbol (Futures, Spreads, TAS)
- Futures Root
- Settlement Date
- Total volume
- Opening trade price in snapshot
- Highest trade price in snapshot
- Lowest trade price in snapshot
- Last trade price in snapshot
- Daily Settlement Value
- Start of day Open Interest
- Timestamped reference quote
- TAS volume is combined into the volume of the specific futures contracts in EOD Summary files.
File Specifications & References
Trading Hours & Holidays:
Please refer to Cboe's CFE Hours & Holidays for more information on GTH and RTH hours and modified hours around U.S. Holidays.
Cboe Open-Close Volume Summary
Detailed option trading data volume summary by capacity (Customer, Pro-Customer, Broker, Firm, MM) on Cboe exchanges (BZX, C1, C2, EDGX) available End-of-Day (EOD) and in 10-minute intervals
Enhanced US Options Trade-by-Trade Execution Detail
Trade-by-Trade (TBT) provides full transaction-level detail for every executed options trade, enabling granular market analysis and historical reconstruction.
Option EOD Summary
End-of-day snapshot and 3:45PM ET snapshot for quotes, OHLC prices, and volume summaries along with optional Calcs data (implied volatilities and Greeks)
CFE Futures Trades
Daily report of all futures trades done on the Cboe Futures Exchange (CFE) with insights into originating orders and side adding/taking liquidity
Option Quotes
1 minute or n-minute interval summaries including NBBO with size, OHLC prices, and trade volumes along with optional open interest and Calcs data (implied volatilities and Greeks)
Option Trades
Daily option trades with print details and contextual market information along with optional Calcs data (Implied Volatility & Delta)