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Historical Data

Cboe FX Prints is a trades only file and reflects all trading activity for the currency pair on Cboe FX markets including transaction time, aggressor side, trade price and quantity. Available Currency Pairs.
Full depth of book data on Cboe FX markets. Available Currency Pairs.
Cboe FX Top provides the top of book data on the currency pair. The data set contains the quote time, bid price, bid quantity, offer price and offered quantity. Available Currency Pairs.
This product contains trades and quotes, including book depth, on CFE VIX Futures. CFE Book Depth data is comprised of three components, quotes, simple orders, and complex orders. When putting the three components together, one may reconstruct the CFE Book depth.
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.
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.