1 minute or n-minute interval summaries. National Best Bid and Offer (NBBO) market quote and size are captured in every snapshot along with open, high, low, close and trading volume. Select a larger interval to target a specific snapshot time (ex: 390 minutes for 4PM Eastern snapshot).
As an additional purchase option, we provide calculations at interval times for Implied Volatility and Greeks.
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.
Subscription:
Intraday deliveries are posted on the customer SFTP site approximately 15 minutes after a given snapshot is recorded (Example: 9:45AM snapshot will be delivered around 10:00AM).
Daily files are delivered late night/early morning.
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.)
Customers that do not have a CGI license can subscribe to Index Quotes for desired symbols and receive values T+1.
If you are looking for real-time data, contact RMA-Sales@cboe.com for more information.
Historical Data:
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.
Underlying index values will only be included for ^SPX and ^OEX. Customers may obtain other optionable index values through Index Quotes or EOD Index Quotes
If you are looking for historical tick-level data, contact RMA-Sales@cboe.com for more information.
Reference:
Fields:
- Underlying Symbol
- Quote Datetime
- Root
- Expiration
- Strike
- Option Type
- Open
- High
- Low
- Close
- Trade Volume
- Bid Size
- Bid
- Ask Size
- Ask
- Underlying Bid
- Underlying Ask
If Include Calcs selected:
- Active Underlying Price
- Implied Volatility
- Delta
- Gamma
- Theta
- Vega
- Rho
If Include Open-Interest selected:
- Open Interest
File Size Estimates:
| Selection | Annual Disk Space (GB) | |||
| Symbols | Calcs | Interval (minutes) | Compressed | Uncompressed |
| * | Included | 1 | 2,300 | 16,300 |
| * | Not Included | 1 | 1,200 | 11,100 |
| * | Included | 15 | 155 | 1,100 |
| * | Included | 60 | 40 | 285 |
| ^SPX | Included | 1 | 45 | 315 |
| ^VIX | Included | 1 | 5 | 25 |
| SPY | Included | 1 | 20 | 145 |
