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Historical Data

Cboe Hanweck Borrow Intensity Indicators describe constant maturity synthetic lending rates derived from real-time option analytics. Borrow Intensity Indicators are a proprietary calculation based upon implied borrow, enhanced with machine learning using characteristics including relative liquidity and term in order to create constant maturities of 45, 60, 90, 180, and 360 days.


Borrow Intensity Indicators may enhance:

  • Equity trading strategies
    • Higher frequency and timeliness than equity risk model short interest factors
  • Securities lending price discovery
    • Informs on levels and trends in overnight stock-borrow loan rates, highlighting rising shorts or other conditions in the collateral market such as persistent mildly hard-to-borrow securities

Borrow Intensity Indicator Attributes:

  • Includes:
    • Securities underlying US listed options (approximately 4,000 symbols)
    • Raw and smoothed form
    • Confidence measures supporting interpretation for every observation
  • Availability:
    • Current: 20 minute intervals, intraday (Subscription)
    • Historical: Back to 2010
  • Granularity:
    • Milliseconds
  • Format:
    • CSV Files
  • Delivery Method:
    • SFTP

For the file specifications, please click here
For the methodology overview, please click here

If you would like subscribe to ongoing updates of this data-set, please order the Subscription product here: Borrow Intensity Indicators - Subscription
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 contains all disseminated values for each index on a given day, it can vary from every 15 seconds during trading hours to once per day based on the index. Click here to view the current indexes on the CSMi feed.
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
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.

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/

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.