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  • Asset Type: Futures Remove
  • Asset Type: Equities, ETFs, Indexes Remove
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  • Data Type: Book Depth Remove
  • Data Type: Trades Remove
  • Data Type: Vix Spot Remove
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Historical Data

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.
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.
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.
Timestamped audit trail including analyst days dates and times.
10/2008 – present
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).