Historical Data

Open-Close data is a volume summary file for trading activity on the C2 exchange. Available in 10-minute summary intervals or as an end-of-day summary, it aggregates and buckets the volume by origin (customer, professional customer, broker-dealer, and market maker), buying/selling, and opening/closing criteria. The customer and professional customer volume are further broken down into trade size buckets (fewer than 100 contracts, 100-199 contracts, greater than 199 contracts). Fields 10-17 will only be available in the end-of-day files and will not be populated in the 10-minute intervals. It contains all series in an underlying security's chain-if it has volume on C2. For pricing, please see “LiveVol Fees” in the Exchange Fee Schedule.

For an ongoing subscription, please see: Open-Close C2 - Subscription

Open-Close data is also available for BZX, C1, and EDGX

The downloadable sample contains 2 files: 1 sample of the EOD format, 1 of the 10-minute

Open-Close data is a volume summary file for trading activity on the EDGX exchange. Available in 10-minute summary intervals or as an end-of-day summary, it aggregates and buckets the volume by origin (customer, professional customer, broker-dealer, and market maker), buying/selling, and opening/closing criteria. The customer and professional customer volume are further broken down into trade size buckets (fewer than 100 contracts, 100-199 contracts, greater than 199 contracts). Fields 10-17 will only be available in the end-of-day files and will not be populated in the 10-minute intervals. It contains all series in an underlying security's chain-if it has volume on EDGX. For pricing, please see “LiveVol Fees” in the Exchange Fee Schedule.

For an ongoing subscription, please see: Open-Close EDGX - Subscription

Open-Close data is also available for BZX, C1, and C2

The downloadable sample contains 2 files: 1 sample of the EOD format, 1 of the 10-minute

Optsum data is an end of day index option summary for CBOE traded options in ^SPX, ^OEX, and ^VIX with volume traded, open interest, open, high, low and last sales prices for every series in chain. The Optsum data is available from 2005 through 9/30/2019, or based on the index option availability in ^SPX, ^OEX, and ^VIX. For data prior to 2005, please contact sales@livevol.com.

* If you are interested in ^SPX, ^VIX, or ^OEX option quotes data for dates after 9/30/2019, please go to the End of Day Option Quotes (https://datashop.cboe.com/option-quotes) or End of Day Option Quotes with Calcs (https://datashop.cboe.com/option-quotes-end-of-day-with-calcs) pages for similar datasets. Both EOD Option Quotes datasets provide data beginning in 2004 for all equity and index options.

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