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 FX Prints is a trades only file and reflects all trading activity for the currency pair on Cboe FX markets including transaction time, aggressor side, trade price and quantity. Available Currency Pairs.

CFE OHLC data is an end of day summary file that contains the volume traded, open interest, open, high, low and last sale price along with last bid and last ask of each VIX futures contract obtained from the Cboe Futures Exchange (CFE). The historical data is available by month back to April 2004.

Trades data on cryptocurrencies such as Bitcoin and Ethereum recorded by the Gemini Exchange. The offering is a sub-set of the Order Book product where a filter when the Event Type is a Fill has been applied. Auction data is not included. The currency pair symbols are formatted as CCY1CCY2 where prices are in CCY2 and quantities are in CCY1, the following pairs are supported:

Currency Pair	Quantity currency	Price currency
BTCUSD	BTC	USD
ETHUSD	ETH	USD
ETHBTC	ETH	BTC
ZECUSD	ZEC	USD
ZECBTC	ZEC	BTC
ZECETH	ZEC	ETH

Trades data on cryptocurrencies such as Bitcoin and Ethereum recorded by the Gemini Exchange. The offering is a sub-set of the Order Book product where a filter when the Event Type is a Fill has been applied. Auction data is not included. The currency pair symbols are formatted as CCY1CCY2 where prices are in CCY2 and quantities are in CCY1, the following pairs are supported:

Currency Pair	Quantity currency	Price currency
BTCUSD	BTC	USD
ETHUSD	ETH	USD
ETHBTC	ETH	BTC
ZECUSD	ZEC	USD
ZECBTC	ZEC	BTC
ZECETH	ZEC	ETH

Historical end of day quotes and trade summary for S&P 500 (SP) and e-mini futures (ES) from the Chicago Mercantile Exchange.