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  • Asset Type: Options Remove
  • Asset Type: Equities, ETFs, Indexes Remove
  • Asset Type: Derived Data Remove
  • Data Type: Skew Remove
  • Data Type: Trades Remove
  • Data Type: Vix Spot Remove
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  • Data Type: Borrow Intensity Remove

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