The End-of-Day Theoretical Values file provides valuations at 4 PM ET for each Cboe proprietary option series, delivering both a theoretical and market-aligned view of closing prices.
Model-Driven End-of-Day Theo Values
At 4 PM ET, theo value (TV) is calculated for all proprietary options series independent of prevailing quotes.
NBBO-Bound Adjusted Theo Values
For each theoretical value, a second value is produced that incorporates the 4 PM ET NBBO as a constraint. The adjusted theoretical value is set to the NBB or NBO if the model-driven value falls outside the prevailing NBBO range.
Options on the following indices are included: SPX, XSP, VIX, DJX, MRUT, MXACW, NANOS, OEX, RUT, SPESG, SPEQX, XEO, CBTX, MBTX, MGTN
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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)