Historical Data

Cboe Hanweck Borrow Intensity Indicators describe constant maturity synthetic lending rates derived from real-time option analytics. Borrow Intensity Indicators are a proprietary calculation based upon implied borrow, enhanced with machine learning using characteristics including relative liquidity and term in order to create constant maturities of 45, 60, 90, 180, and 360 days.

Borrow Intensity Indicators may enhance:

• Equity trading strategies
• Higher frequency and timeliness than equity risk model short interest factors
• Securities lending price discovery
  • Informs on levels and trends in overnight stock-borrow loan rates, highlighting rising shorts or other conditions in the collateral market such as persistent mildly hard-to-borrow securities

Borrow Intensity Indicator Attributes:

• Includes:
  • Securities underlying US listed options (approximately 4,000 symbols)
  • Raw and smoothed form
  • Confidence measures supporting interpretation for every observation
• Availability:
  • Current: 20 minute intervals, intraday (Subscription)
  • Historical: Back to 2010
• Granularity:
  • Milliseconds
• Format:
  • CSV Files
• Delivery Method:
  • SFTP

For the file specifications, please click here
For the methodology overview, please click here

If you would like subscribe to ongoing updates of this data-set, please order the Subscription product here: Borrow Intensity Indicators - Subscription

Cboe Streaming Market Indices (CSMi) consists of over 200 index values offered by Standard and Poor’s and Cboe and many more firms. This offering provides a summary of the opening, highest, lowest, and closing index value disseminated for each index on a given day. For most indexes which update every 15 seconds during trading hours, the summary will cover the whole day, for indexes which update once per day, the Open, High, Low, and Close will be equal. Click here to view the current indexes on the CSMi feed.

The equity quotes end-of-day files, recap the day’s trading activity in the underlying security. Open, high, low, close, trading volume and VWAP are included with two NBBO snapshots, one at 15:45 and another at the market close (market closing time is product dependent). Effective February 5, 2020 on half trading days, the value in the "1545" column will be taken at 12:45 pm ET and the column name of 1545 will be unchanged.

Cboe LiveVol Implied Volatility Blends capture term structure and solve for expiration-specific and constant maturity implied volatilities encapsulated within the range of option expirations. Capturing the constant maturity volatilities helps traders visualize and track the behavior of volatility over time providing context to current market implied volatility. To build out our volatility blends we first solve for the at-the-money volatility of each expiration to capture the term-structure of the volatility. Next, using a cubic spline approach, we fit a curve to the term-structure. Using the fitted curve, we solve for the constant maturity (IV30, IV60, IV90, etc.) time periods offered in the file. *Constant maturity times that fall outside the range of expirations available for a particular symbol will be zero. This dataset is only available with end of day granularity.

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. Effective February 5, 2020 on half trading days, the value in the "1545" column will be taken at 12:45 pm ET and the column name of 1545 will be unchanged.

File Layout: End-of-Day Option Quotes Layout.

For an ongoing subscription, please order End-of-Day Option Quotes Data – Subscription

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. Effective February 5, 2020 on half trading days, the value in the "1545" column will be taken at 12:45 pm ET and the column name of 1545 will be unchanged.

File Layout: End-of-Day Option Quotes With Calcs Layout.

To purchase subscription data, please see: End-of-Day Option Quotes with Calcs – Subscription