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  • Asset Type: Options Remove
  • Asset Type: Currencies Remove
  • Data Type: Book Depth Remove
  • Data Type: Implied Volatility Blends Remove
  • Data Type: Vix Spot Remove
  • Data Type: Dividends Remove
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  • 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.
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.
Cboe FX Order Book (Order Event History) replicates ITCH data feed and contains every market event. This is the most complete data format but requires assembly. Available Currency Pairs.