Our option trades files have the supporting information needed to provide context to trading activity. Included with each trade is the trade price and size, the exchange where the trade printed, the NBBO quote and size, and the underlying Stock or ETF bid-ask. With the addition of our Calcs data, you receive the implied volatility and the calculated delta of the trade.
Global Trading Hours (GTH) are included between 03:00am-09:25am (U.S. Eastern), and the 16:15pm-17:00pm (U.S. Eastern) Curb session.
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:
Daily file delivery
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.)
If you are looking for intraday delivery of Option Trades 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.
Reference:
File specification
Exchange ID Mappings
Trade Condition ID Mappings
File Size Estimates:
All symbols, annual disk space ~250GB (compressed)
Fields:
- Underlying Symbol
- Quote Datetime
- Sequence Number
- Root
- Expiration
- Strike
- Option Type
- Exchange Id
- Trade Size
- Trade Price
- Trade Condition Id
- Canceled Trade Condition Id
- Best Bid
- Best Ask
- Trade Iv*
- Trade Delta*
- Underlying Bid
- Underlying Ask
*Field available with addition of Calcs data
