Our daily summary contains two market snapshots, one at 15:45 U.S. Eastern and another at end-of-day (market closing time is product dependent). Each snapshot contains the best bid and ask (NBBO) for every option series along with size. The end-of-day (EOD) snapshot has open, high, low, and closing prices (OHLC), trade volume, VWAP, and open interest.
As an additional purchase option, we provide calculations at the 15:45 snapshot for Implied Volatility and Greeks. This time is used for analytics as it is considered a more accurate representation of market liquidity compared to end-of-day.
This data set covers listed Options on U.S. Stocks, ETFs, and Indices disseminated over the Options Price Reporting Authority (OPRA) market data feed. Options on Futures & non-U.S. markets are *not* supported.
Daily file delivery
Underlying bid and ask prices are included for Stocks and ETFs, but *not* for Indices by default.
Customers with an active Cboe Global Indices (CGI) license (fees start at $1k/month) will receive values for indices that disseminate a distinct Bid/Ask (currently only ^SPX and ^OEX). License holders can contact us to receive a free supplementary file with index values for those without a published Bid/Ask (^VIX, ^XSP, etc.)
Available from January 2012 to present
One file per day or month depending on your file grouping selection. Monthly grouping may not be available for orders with a large number of symbols.
*Field available with addition of Calcs data