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  • Data Type: Book Depth Remove
  • Data Type: Quotes Remove
  • Data Type: Skew Remove
  • Data Type: Tick Remove
  • Data Type: Vix Spot Remove
  • Data Type: Volume Summary Remove
  • Data Type: Constituents & Roll Remove

Historical Data

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.
Daily calculation inputs on select Cboe option strategy benchmarks and the monthly roll data.
Optsum data is an end of day index option summary for CBOE traded options in ^SPX, ^OEX, and ^VIX with volume traded, open interest, open, high low and last sales prices for every series in chain. The Optsum data is available as far back as 1990 or based on the index option availability in ^SPX, ^OEX, and ^VIX. *For a similar product for all securities with equity and index options, please see the End-of-Day Option Quotes Data offering.
Historical S&P 500 (SP) and e-mini futures (ES) trades from the Chicago Mercantile Exchange.
VIX index (spot) values are the intraday values of the index only. This data is available starting from January, 1992. The frequency of the VIX index values is every minute for data prior to 2004 and every 15 seconds, including milliseconds, from 2004 and after.
Multicast PITCH provides a history of real-time depth of book quotations and execution information with nearly half the latency of TCP PITCH and 20% fewer PITCH events. This is achieved by using binary messages (PITCH 2.0).