MDR data is all quote updates and trade data captured by Cboe's internal data retrieval systems.
MDR data is offered in the following Cboe exclusive indices: ^VIX, ^SPX and ^OEX. The amount of history available of the data varies by symbol; ^SPX from January 1990, ^OEX-January 1990 and ^VIX-March 2006. The MDR data will be delivered by SFTP.
- RECORD_TYPE_CODE
- TRADE_DATE
- TRADE_TIME 1
- SEQ_NBR / TRADE_TIME_THOU 2
- MARKET_CONDITION_CODE 3
- CLASS_SYMBOL
- EXPIRATION_DATE
- PUT_CALL_CODE
- EXERCISE_PRICE
- BID_PRICE / TRADE_PRICE
- BID_SIZE / TRADE_SIZE
- ASK_PRICE
- ASK_SIZE
- UNDERLYING_INSTRUMENT_PRICE 4
- UNDERLYING_INSTRUMENT_SYMBOL
1 - Before 10/1/19 this column had time in CST, afterwords - milliseconds are added, in EST time zone. Example format with milliseconds: 93401984 = 09:34:01:984 AM US Eastern
2 - Before 10/1/19 this column had internal sequence number and milliseconds, afterwords - it's OPRA generated sequence number.
3 - Before 10/1/19 this column had condition name, afterwords - condition ID.
4 - Prior to 7/15/2021 there are instances of data points with more than two (2) decimals.
Cboe Open-Close Volume Summary
Detailed option trading data volume summary by capacity (Customer, Pro-Customer, Broker, Firm, MM) on Cboe exchanges (BZX, C1, C2, EDGX) available End-of-Day (EOD) and in 10-minute intervals
Enhanced US Options Trade-by-Trade Execution Detail
Trade-by-Trade (TBT) provides full transaction-level detail for every executed options trade, enabling granular market analysis and historical reconstruction.
Option EOD Summary
End-of-day snapshot and 3:45PM ET snapshot for quotes, OHLC prices, and volume summaries along with optional Calcs data (implied volatilities and Greeks)
CFE Futures Trades
Daily report of all futures trades done on the Cboe Futures Exchange (CFE) with insights into originating orders and side adding/taking liquidity
Option Quotes
1 minute or n-minute interval summaries including NBBO with size, OHLC prices, and trade volumes along with optional open interest and Calcs data (implied volatilities and Greeks)
Option Trades
Daily option trades with print details and contextual market information along with optional Calcs data (Implied Volatility & Delta)