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  • Asset Type: Options Remove
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Historical Data

Our end-of-day option quotes with Calcs file provides all of the fields in the end-of-day Option quotes file plus market implied volatility for each option, as well as, the greeks (Delta, Gamma, Theta, Vega and Rho). Implied volatility and Greeks are calculated off of the 1545 timestamp, since it is considered a more accurate snapshot of market liquidity than the end of day market. Effective February 5, 2020 on half trading days, the value in the "1545" column will be taken at 12:45 pm ET and the column name of 1545 will be unchanged.


File Layout: End-of-Day Option Quotes With Calcs Layout.


To purchase subscription data, please see: End-of-Day Option Quotes with Calcs – Subscription
MDR data is all quote updates and trade data captured by Cboe’s internal data retrieval systems. MDR data is offered in the following Cboe exclusive indices: ^VIX, ^SPX and ^OEX. The amount of history available of the data varies by symbol; ^SPX from January 1990, ^OEX-January 1990 and ^VIX-March 2006. The MDR data will either delivered by SFTP.
Historical S&P 500 (SP) and e-mini futures (ES) trades from the Chicago Mercantile Exchange.

Select your own custom interval from 1 minute to End-of-day, NBBO market quote and size are captured in every snapshot along with open, high, low, close and trading volume. Underlying bid and ask prices are included at each interval for your reference. Covers U.S Stock, ETF, and Index securities with listed options.


In addition to OHLC, Volume, and NBBO markets at each interval, you may select and include the following:

  • Calcs: Midpoint Implied Volatility, Delta, Gamma, Theta, Rho*
  • BBO of each individual exchange*
  • Open Interest: Start-of-day Open Interest for each option (Optional)
*Base order must include at least 1 selection between Calcs or BBO of Each Exchange.


A separate subscription to nightly ongoing updates of this data-set is also available, please see: Option Quotes Intervals – Subscription


Reference Files:
Exchange ID Mapping: Exchange IDs
Order Book data on cryptocurrencies such as Bitcoin and Ethereum recorded by Gemini, a digital asset exchange. The offering shows open orders at the beginning of the day, orders placed, filled, and canceled during the day and are distinguished by the Event Type field. A filter to only receive the Fill events is also available. Auction data is not included. The currency pair symbols are formatted as CCY1CCY2 where prices are in CCY2 and quantities are in CCY1, the following pairs are supported:

Currency Pair Quantity currency Price currency
BTCUSD BTC USD
ETHUSD ETH USD
ETHBTC ETH BTC
ZECUSD ZEC USD
ZECBTC ZEC BTC
ZECETH ZEC ETH