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Historical Data

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.
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.
Select your own custom interval from 1 minute to end-of-day. Open, high, low, close, trading volume, VWAP, and underlying market (bid and ask) are included in each interval calculation.
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.
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.