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  • Asset Type: Options Remove
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  • Data Type: Skew Remove
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Historical Data

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.

Open-Close data is a volume summary file for trading activity on the BZX exchange. Available in 10-minute summary intervals or as an end-of-day summary, it aggregates and buckets the volume by origin (customer, professional customer, broker-dealer, and market maker), buying/selling, and opening/closing criteria. The customer and professional customer volume are further broken down into trade size buckets (fewer than 100 contracts, 100-199 contracts, greater than 199 contracts). Fields 10-17 will only be available in the end-of-day files and will not be populated in the 10-minute intervals. It contains all series in an underlying security's chain-if it has volume on BZX. For pricing, please see “LiveVol Fees” in the Exchange Fee Schedule.


For an ongoing subscription, please see: Open-Close BZX - Subscription


Open-Close data is also available for C1, C2, and EDGX


The downloadable sample contains 2 files: 1 sample of the EOD format, 1 of the 10-minute

Open-Close data is a volume summary file for trading activity on the C1 exchange. Available in 10-minute summary intervals or as an end-of-day summary, it aggregates and buckets the volume by origin (customer, professional customer, broker-dealer, and market maker), buying/selling, and opening/closing criteria. The customer and professional customer volume are further broken down into trade size buckets (fewer than 100 contracts, 100-199 contracts, greater than 199 contracts). Fields 10-17 will only be available in the end-of-day files and will not be populated in the 10-minute intervals. It contains all series in an underlying security's chain-if it has volume on C1. For data prior to 2005, please contact sales@livevol.com. For pricing, please see “LiveVol Fees” in the Cboe Exchange Fee Schedule.


For an ongoing subscription, please see: Open-Close C1 - Subscription


Open-Close data is also available for BZX, C2, and EDGX


The downloadable sample contains 2 files: 1 sample of the EOD format, 1 of the 10-minute

Open-Close data is a volume summary file for trading activity on the C2 exchange. Available in 10-minute summary intervals or as an end-of-day summary, it aggregates and buckets the volume by origin (customer, professional customer, broker-dealer, and market maker), buying/selling, and opening/closing criteria. The customer and professional customer volume are further broken down into trade size buckets (fewer than 100 contracts, 100-199 contracts, greater than 199 contracts). Fields 10-17 will only be available in the end-of-day files and will not be populated in the 10-minute intervals. It contains all series in an underlying security's chain-if it has volume on C2. For pricing, please see “LiveVol Fees” in the Exchange Fee Schedule.


For an ongoing subscription, please see: Open-Close C2 - Subscription


Open-Close data is also available for BZX, C1, and EDGX


The downloadable sample contains 2 files: 1 sample of the EOD format, 1 of the 10-minute

Open-Close data is a volume summary file for trading activity on the EDGX exchange. Available in 10-minute summary intervals or as an end-of-day summary, it aggregates and buckets the volume by origin (customer, professional customer, broker-dealer, and market maker), buying/selling, and opening/closing criteria. The customer and professional customer volume are further broken down into trade size buckets (fewer than 100 contracts, 100-199 contracts, greater than 199 contracts). Fields 10-17 will only be available in the end-of-day files and will not be populated in the 10-minute intervals. It contains all series in an underlying security's chain-if it has volume on EDGX. For pricing, please see “LiveVol Fees” in the Exchange Fee Schedule.


For an ongoing subscription, please see: Open-Close EDGX - Subscription


Open-Close data is also available for BZX, C1, and C2


The downloadable sample contains 2 files: 1 sample of the EOD format, 1 of the 10-minute

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