Complex options strategies — reversal conversions, box spreads, jelly rolls, and option strategies tied to stock — rarely show up cleanly in a standard options tape. Untangling them from raw market data means subscribing to and maintaining the market data feeds behind it.

Cboe's Complex Order Flow End-of-Day files perform that reconstruction for you. Delivered once per trading day through DataShop, each file gives you a structured, leg-level record of a complex strategy type, so you can reconcile activity, monitor flow, or feed downstream models without carrying the cost of a live feed.

Daily delivery covers five strategies, one file per type:

• RevCon (reversal conversion) — a stock position paired with an offsetting synthetic option position, priced at an implied lending or borrowing rate.
• Box Spread — a four-leg, all-option combination that behaves like a synthetic loan or deposit at a fixed, implied rate.
• Jelly Roll — a calendar spread that rolls a synthetic forward position from one expiration to the next.
• Tied Outright — a single option leg executed alongside an offsetting stock trade to hold the position delta-neutral.
• Tied Spread — the same delta-hedging structure, built from a two-leg option spread instead of a single leg.

Every file includes the trade date, underlying symbol, strategy-level price, and full leg detail — root symbol, expiration, strike, type, size, execution price, and theoretical price or delta where applicable — plus the paired stock execution for tied strategies. No proprietary formulas to reverse-engineer, no missing legs to chase down.

Subscription

Five zipped .csv files delivered daily

File Specifications