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  • Asset Type: Options Remove
  • Asset Type: Futures Remove
  • Asset Type: Currencies Remove
  • Data Type: Book Depth Remove
  • Data Type: Implied Volatility Blends Remove
  • Data Type: Quotes Remove
  • Data Type: Volume Summary Remove
  • Purchase Type: Historical Remove

Historical Data

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.
CFE OHLC data is an end of day summary file that contains the volume traded, open interest, open, high, low and last sale price along with last bid and last ask of each VIX futures contract obtained from the Cboe Futures Exchange (CFE). The historical data is available by month back to April 2004.
Historical end of day quotes and trade summary for S&P 500 (SP) and e-mini futures (ES) from the Chicago Mercantile Exchange.
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.