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.
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 Equities and ETFs but not for Indices by default.
- Customers with an active Cboe Global Indices Feed (CGIF) license (fees start at $1k/month) will receive underlying values for ^SPX and ^OEX (indices that disseminate a bid/ask). 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 CGIF 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 Janurary 2012 to present.
Historical purchases for all symbols will not include underlying bid and ask on indices (including ^SPX and ^OEX). Customers may obtain index values through Index Quotes.
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 |
Early Market Close:
Please note that, on early close trading days (Independence Day Early Close, Thanksgiving Early Close, Christmas Early Close - Cboe Hours & Holidays), the 390 and 405 interval subscriptions will continue to be delivered at 4 p.m. and 4:15 p.m. but will reflect the closing quote at either 1 p.m. or 1:15 p.m, depending on symbol.
