Frequently Asked Questions (FAQs)
Account and FTP Delivery
- What is my username?
- Your username for the website account and the FTP is the email address entered when registering for an account.
- What should I do if I don't remember my password?
- Please follow these steps:
A) Click on the Login / Register button at the top of the page.
B) Click on the Forgot password? link.
C) Enter the email address which you used when registering for an account and click on the Recover button.
D) Check your inbox for an email from firstname.lastname@example.org with the subject: "Cboe LiveVol Data Shop. Password recovery". Click on the temporary password reset link, enter a new password, then click on the Recover button to save.
- How will the data be delivered?
- Data will be made available to download from our FTP server once it completes processing and if the total compressed size is under 500GB. Orders over this size will be transferred onto external USB hard-drives and sent via group shipping.
- What is the host name or IP of the FTP site?
- For single purchases and subscriptions, there are two FTP sites:
Primary FTP: ftp.datashop.livevol.com (IP: 126.96.36.199, Port: 21)
Backup FTP: ftp2.datashop.livevol.com (IP: 188.8.131.52, Port: 21)
- How long will files remain on the FTP after an order is processed?
- Files are available to download for a 30-day period following the completion date, after 30 days the files will be removed from your FTP folder.
- If I sign-up for a subscription to a daily file for equity or option data, what time will it be ready to download from the FTP?
- Daily files for a trade date are provided the following day via FTP. Files are typically uploaded between 0:05am - 3:00am U.S. Eastern time, however it possible for a delay to cause the previous day's file to be delivered during the day after the market opens the next day, in this case we'll make files available as soon as possible.
Fields and Values
- Why are there zero values for the Open, High, Low, and Close fields?
- These represent the opening, high, low, and closing trade prices for the interval on a given day. These fields will be zero in options data if the particular option has no traded volume during the interval. For equity or underlying data, these fields will be zero if the underlying stock volume is zero during the interval.
- How are the underlying_bid and underlying_ask values determined?
- We capture the bid and ask of the underlying security disseminated over the live feed. Certain products may not disseminate a bid or ask, such as a few indexes, in this case the spot price will be substituted and the underlying_bid and underlying_ask will be equal.
- I see a few fields with "1545" in the name, what does this mean?
- In End-of-Day Option Quotes and End-of-Day Option Quotes with Calcs files, "1545" represents a snapshot of the underlying market, option market, and the option greeks at 15:45 or 3:45pm U.S. Eastern time, 15-minutes before the close of the regular trading session.
- Why do some ^SPX options have zero values on the expiration date?
- AM-settlement options are expected to contain zero values for the quotes on the expiration date. This may be observed in a file that is also the expiration date. A few example are: AM-settlement monthly options in ^SPX, ^VIX, and ^RUT.
- What is the "root" field in the historical options data?
- The root is another name for the OCC option symbol. It is also synonymous with the option class symbol.
- What does it mean if the root symbol contains a digit?
- These indicate non-standard options which are adjusted for a corporate action such as a stock split, special dividend, spin-off, or merger where the deliverable per contract delivers an amount other than a standard 100 shares.
- What is the active_underlying field?
- The active_underlying is the price used as the stock price input (it could be the implied price, or the last trade price or the midpoint of the bid/ask).
- What is the implied_underlying?
- The implied price is defined as the Forward Index minus the cost of carry. The forward index is defined as "call - put + strike" where call/put is the midpoint of the bid/ask.
- What does it mean if the underlying_symbol value contains a caret (^) character?
- Indicies are identified with the ^ pre-fix.
Calculations and Inputs
- What is the decay schedule, the number of days and intraday decay weightings?
- Decay is linear, half days are taken into account
- Which models do you use?
- Black-Scholes, Cox-Ross-Rubinstein, Bjerksund-Stensland, Roll-Geske-Whaley, and Bjerksund-Stensland / Black-Scholes
- Which options pricing models do you use and under which scenario?
- Please see the following table:
||Bjerksund-Stensland / Bblack-Scholes
|American Call Standard with 1 dividend
|American Call Standard with 0 or 2 or more dividends
|American Call Non-standard
||Black-Scholes unless there is a negative rate, then Bjerksund-Stensland
- What interest rate do you use? Can I see the rate used in the pricing model as a field in the file?
- Interest rates are obtained from the U.S. Department of the Treasury website. The actual rate used in the calculation is not available as a filed in the file.
- Are dividends accounted for in calculations?
- Yes, please see the question on option pricing models to learn about which models are used given a certain condition.
- What is the option price used in the calculations?
- The mid-point of the bid and ask price of the option is utilized.