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Historical Data

Volatility skew data allows users to analyze relative option pricing levels over time series by comparing “virtual” option strikes with identical time to maturity and levels relative to spot. Our Volatility Skew files show the implied volatility levels of virtual options expiring at constant maturities, with option strikes defined by either moneyness (% from spot) or by option delta. These files allow for more appropriate comparison of implied volatility levels over time. LiveVol volatility skew data is provided with either moneyness increments (5% steps from spot from 0-60%, with additional values at 2.5% from spot) or delta increments (5 delta increments for both calls and puts). Standard maturity periods range from 30 to 360 calendar days. An auxiliary set of skew index data will be provided with each purchase. Skew indexes represent a measure of option skew by symbol and maturity for a particular day. Delta skew data is used to generate the skew index metrics: for example, SKEW90 represents the (IV of 25 delta put – IV of 25 delta call)/(50 delta call IV) for virtual options expiring in 90 days.
See every underlying trade in an underlying security. Trade price, trade size, trade condition, the trading venue and national best bid and offer are included in each record.

Reference Files:
Exchange ID Mapping: Exchange IDs
Trade Condition ID Mapping: Trade Condition IDs

Product File Change Notice:

On Aug 2, 2021 product file changes will go into effect. Please see the change doc and new sample set for detailed information. All customers have access to this new format ahead of the transition. New subscribers do not need to use the old format.


Daily calculation inputs on select Cboe option strategy benchmarks and the monthly roll data.


Please refer to more index information on:
https://www.cboe.com/us/indices/benchmark_indices/
https://www.cboe.com/us/indices/benchmark_roll_information/

Buy three years history of full market Options Trade or full Option Intervals data and get your first year of updates free! Offer expires June 30th. Contact sales@livevol.com for details.


Our option trades files have the supporting information needed to provide context to trading activity. Included with each trade is the trade price and size, the exchange where the trade printed, the NBBO quote and depth, the underlying bid and ask, and each of the individual exchange markets. Trades from Global Trading Hours (GTH) will be included effective February 5, 2020. GTH trades will be signified by a time stamp between 3:00 am ET and 9:15 am ET. At this time only ^SPX and ^VIX trade during GTH.


Reference Files:
Exchange ID Mapping: Exchange IDs
Trade Condition ID Mapping: Trade Condition IDs

After the column with "number_of_exchanges", there are unlabeled columns representing individual exchange quotes. This repeatable sequence populates columns according to this pattern: Exchange ID (see Exchange mapping Exchange IDs), Bid Size, Bid, Ask Size, Ask.

Buy three years history of full market Options Trade or full Option Intervals data and get your first year of updates free! Offer expires June 30th. Contact sales@livevol.com for details.


Our option trades files have the supporting information needed to provide context to trading activity. Included with each trade is the trade price and size, the exchange where the trade printed, the NBBO quote and depth, the underlying bid and ask, and each of the individual exchange markets. With the addition of our Calcs data, you receive the implied volatility and the calculated delta of the trade. Trades from Global Trading Hours (GTH) will be included effective February 5, 2020. GTH trades will be signified by a time stamp between 3:00 am ET and 9:15 am ET. At this time only ^SPX and ^VIX trade during GTH.


Reference Files:
Exchange ID Mapping: Exchange IDs
Trade Condition ID Mapping: Trade Condition IDs

After the column with "number_of_exchanges", there are unlabeled columns representing individual exchange quotes. This repeatable sequence populates columns according to this pattern: Exchange ID (see Exchange mapping Exchange IDs), Bid Size, Bid, Ask Size, Ask.
Multicast PITCH provides a history of real-time depth of book quotations and execution information with nearly half the latency of TCP PITCH and 20% fewer PITCH events. This is achieved by using binary messages (PITCH 2.0).