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Historical Data

MDR data is all quote updates and trade data captured by Cboe’s internal data retrieval systems. MDR data is offered in the following Cboe exclusive indices: ^VIX, ^SPX and ^OEX. The amount of history available of the data varies by symbol; ^SPX from January 1990, ^OEX-January 1990 and ^VIX-March 2006. The MDR data will either be delivered to FTP or via a separate Hard Drive.
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.
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. The intervals with calcs data set includes midpoint implied volatility, Delta, Gamma, Theta, Vega and Rho at each interval. Underlying bid and ask prices are included at it interval for your reference.
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.
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. With the addition of our Calcs data, you receive the implied volatility and the calculated delta of the trade. 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.
Timestamped audit trail including analyst days dates and times.
10/2008 – present