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Historical Data

CFE VIX Tick data includes trades and quotes of all VIX futures contracts (VX) from the Cboe Futures Exchange (CFE). The historical data is available back to April 2004. Timestamps prior to and including February 23, 2018 are stated in U.S. Central (CST) and in Greenwich Mean Time (GMT) afterwards.

* VIX TAS data is not included

Our end-of-day option quotes file actually provides two snapshots of market quote and size, one at 15:45 and another at the market close (market closing time is product dependent). Summary trading data is also included in the files. The first, last, lowest and highest trade in every series, as well as, the total volume, VWAP and open interest.
Our end-of-day option quotes with Calcs file provides all of the fields in the end-of-day Option quotes file plus market implied volatility for each option, as well as, the greeks (Delta, Gamma, Theta, Vega and Rho). Implied volatility and Greeks are calculated off of the 1545 timestamp, since it is considered a more accurate snapshot of market liquidity than the end of day market.
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.

Select your own custom interval from 1 minute to End-of-day, NBBO market quote and size are captured in every snapshot along with open, high, low, close and trading volume. In addition to NBBO markets, the BBO of each individual exchange is included in the data set. Underlying bid and ask prices are included at it interval for your reference.