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  • Asset Type: Options Remove
  • Asset Type: Futures Remove
  • Asset Type: Equities, ETFs, Indexes Remove
  • Data Type: Implied Volatility Blends Remove
  • Data Type: Quotes Remove
  • Data Type: Skew Remove
  • Data Type: Vix Spot Remove
  • Data Type: Constituents & Roll Remove
  • Data Type: Earnings Remove

Historical Data

Cboe Streaming Market Indices (CSMi) consists of over 200 index values offered by Standard and Poor’s and Cboe and many more firms. This offering provides a summary of the opening, highest, lowest, and closing index value disseminated for each index on a given day. For most indexes which update every 15 seconds during trading hours, the summary will cover the whole day, for indexes which update once per day, the Open, High, Low, and Close will be equal. Click here to view the current indexes on the CSMi feed.
The equity quotes end-of-day files, recap the day’s trading activity in the underlying security. Open, high, low, close, trading volume and VWAP are included with two NBBO snapshots, one at 15:45 and another at the market close (market closing time is product dependent).
Cboe LiveVol Implied Volatility Blends capture term structure and solve for expiration-specific and constant maturity implied volatilities encapsulated within the range of option expirations. Capturing the constant maturity volatilities helps traders visualize and track the behavior of volatility over time providing context to current market implied volatility. To build out our volatility blends we first solve for the at-the-money volatility of each expiration to capture the term-structure of the volatility. Next, using a cubic spline approach, we fit a curve to the term-structure. Using the fitted curve, we solve for the constant maturity (IV30, IV60, IV90, etc.) time periods offered in the file. *Constant maturity times that fall outside the range of expirations available for a particular symbol will be zero. This dataset is only available with end of day granularity.
Our end-of-day option quotes file actually provides two snapshots of market quote and size, one at 15:45 and another at the market close (market closing time is product dependent). Summary trading data is also included in the files. The first, last, lowest and highest trade in every series, as well as, the total volume, VWAP and open interest.
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.
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.