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Historical Options Data

End-of-Day Option Quotes Data

Our end-of-day option quotes file actually provides two snapshots of market quote and size, one at 15:45, fifteen minutes before the market close, and another at 16:00, the official closing time of the market. Summary trading data is also included in the files. The first, last, lowest and highest trade in every series, as well as, the total volume, VWAP and open interest.

End-of-Day Option Quotes with Calcs

Our end-of-day option quotes with Calcs file provides all of the fields in the end-of-day Option quotes file plus market implied volatility for each option, as well as, the greeks (Delta, Gamma, Theta, Vega and Rho). Implied volatility and Greeks are calculated off of the 1545 timestamp, since it is considered a more accurate snapshot of market liquidity than the end of day market.

MDR

MDR data is quotes and trades captured by CBOE’s internal data retrieval systems. MDR data is offered in the following CBOE exclusive indicies: ^VIX, ^SPX and ^OEX. The amount history available of the data varies by symbol; ^SPX from January 1990, ^OEX-January 1990 and ^VIX-March 2006. The MDR can typically fit onto a few DVDs, therefore, no surcharge is needed for additional hardware.

Open-Close

Open-Close data is a volume summary file that summarizes the volume (contracts traded) by origin (customer and firm orders only), original order size and the opening or closing position of the order. The Open-Close volume is further broken into categories of buy/sell, open/close and order size "buckets". The data for all CBOE securities goes back to 1990 and contains all series in an underlying security's chain-if it has volume. The Open-Close data is available as a data download by individual underlying symbols, or as a daily update that includes all CBOE traded options for the previous trade day's data going forward, and as bulk data that includes all CBOE traded securities for the time frame chosen. Click here for Open-Close pricing.

OPRA Data (Bulk)

OPRA data is trades and quotes disseminated from all US options exchanges which are reported by OPRA (Options Price Reporting Authority). The OPRA data is only available as a bulk data purchase, the minimum purchase is one month which covers all Equities, Indexes, and ETFs with listed options. OPRA is an extremely large dataset, one month is typically between 800GB and 1TB and it will require hard drives to transfer the data onto. The amount of data and date ranges will determine the number of hard drives required for the order. Please note, the price of hardware is NOT included in the pricing list for the data, it is determined after the order is received by CBOE Livevol, LLC. There is an additional charge of $150.00 per hard drive required. The OPRA data comes as a gzipped.csv, each day will have 26 files and is sorted alphabetically by option class and time. Each trade and quote also has the underlying instrument’s price on it. The older OPRA data’s expiration date is recorded as the standard (3rd Friday of the month) expiration for all records. The historical OPRA data dates back to July 2004.

Option Quotes Intervals

Select your own custom interval from 1 minute to End-of-day, NBBO market quote and size are captured in every snapshot along with open, high, low, close and trading volume. In addition to NBBO markets, the BBO of each individual exchange is included in the data set. Underlying bid and ask prices are included at it interval for your reference.

Option Quotes Intervals with Calcs

Select your own custom interval from 1 minute to End-of-day, NBBO market quote and size are captured in every snapshot along with open, high, low, close and trading volume. The intervals with calcs data set includes midpoint implied volatility, Delta, Gamma, Theta, Vega and Rho at each interval. Underlying bid and ask prices are included at it interval for your reference.

Options Trade Data

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 depth, the underlying bid and ask, and each of the individual exchange markets.

Options Trade Data with Calcs

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 depth, the underlying bid and ask, and each of the individual exchange markets. With the addition of our Calcs data, you receive the implied volatility and the calculated delta of the trade.

Optsum

Optsum data is an end of day index option summary for CBOE traded options in ^SPX, ^OEX, and ^VIX with volume traded, open interest, open, high low and last sales prices for every series in chain. The Optsum data is available as far back as 1990 or based on the index option availability in ^SPX, ^OEX, and ^VIX. *For a similar product for all securities with equity and index options, please see the End-of-Day Option Quotes Data offering.