• Twitter YouTube Facebook LinkedIn Apps RSS Feed
BROWSE or REFINE
  • Currently shopping by:
  • Asset Type: Options Remove
  • Asset Type: Equities, ETFs, Indexes Remove
  • Data Type: Book Depth Remove
  • Data Type: Tick Remove
  • Data Type: Vix Spot Remove
  • Data Type: Constituents & Roll Remove
  • Purchase Type: Monthly Subscription Remove
  • Purchase Type: Historical Remove

Historical Data

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.
MDR data is quotes and trades captured by Cboe’s internal data retrieval systems. MDR data is offered in the following Cboe exclusive indicies: ^VIX, ^SPX and ^OEX. The amount history available of the data varies by symbol; ^SPX from January 1990, ^OEX-January 1990 and ^VIX-March 2006. The MDR can typically fit onto a few DVDs, therefore, no surcharge is needed for additional hardware.
OPRA data is trades and quotes disseminated from all US options exchanges which are reported by OPRA (Options Price Reporting Authority). The OPRA data is only available as a bulk data purchase, the minimum purchase is one month which covers all Equities, Indexes, and ETFs with listed options. OPRA is an extremely large dataset, one month is typically between 800GB and 1TB and it will require hard drives to transfer the data onto. The amount of data and date ranges will determine the number of hard drives required for the order. Please note, the price of hardware is NOT included in the pricing list for the data, it is determined after the order is received by Cboe LiveVol, LLC. There is an additional charge of $150.00 per hard drive required. The OPRA data comes as a gzipped.csv, each day will have 26 files and is sorted alphabetically by option class and time. Each trade and quote also has the underlying instrument’s price on it. The older OPRA data’s expiration date is recorded as the standard (3rd Friday of the month) expiration for all records. The historical OPRA data dates back to July 2004.

* Please note, this product offering will be discontinued on September 30, 2019. Please contact sales@livevol.com if you have interest in an alternative data offering.

Daily calculation inputs on select Cboe option strategy benchmarks and the monthly roll data.
VIX index (spot) values are the intraday values of the index only. This data is available starting from January, 1992. The frequency of the VIX index values is every minute for data prior to 2004 and every 15 seconds, including milliseconds, from 2004 and after.
Multicast PITCH provides a history of real-time depth of book quotations and execution information with nearly half the latency of TCP PITCH and 20% fewer PITCH events. This is achieved by using binary messages (PITCH 2.0).