• Twitter YouTube Facebook LinkedIn Apps RSS Feed
BROWSE or REFINE

Historical Data

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.
Earnings conference call dates and times.
1/1/2006 – present
Revisions to earnings announcement dates and/or status, for example status change from “tentative” to “verified”. Also alerts when the earnings announcement date crosses before or after the weekly or monthly option contract expiration.
1/1/2006 – present
Snapshot once per day of the next earnings date (6,500 World Wide companies calendar data). Note this is a history only file (no forward-looking feed).
1/2/2006 – present
EPS dates and dollar amounts with timestamps.
1/1/2006 – present