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Release Notes


We are please to announce the launch of 10-minute interval Open-Close summary data on Cboe's 4 option exchanges to compliment the EOD data.  Historical 10-minute intervals are available for C1 from October 2019, and on C2, BZX, EDGX from January 2020.  Subscriptions are also available.

Product Pages:

C1: Historical, Subscription

C2: Historical, Subscription

BZX: Historical, Subscription

EDGX:  Historical, Subscription

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. Underlying bid and ask prices are included at each interval for your reference. Covers U.S Stock, ETF, and Index securities with listed options. In addition to OHLC, Volume, and NBBO markets at each interval, you may select and include a combination of the following: Calcs, BBO of each Exchange, or Open Interest.
Borrow Intensity Indicators are files of Cboe Hanweck intraday data that describe constant maturity synthetic lending rates derived from real-time option analytics. Borrow Intensity is updated every 20 minutes and is available as live intraday. Borrow Intensity Indicators are a proprietary calculation based upon implied borrow at millisecond granularity and further transformed with machine learning using characteristics including relative liquidity and term in order to create constant maturities of 45, 60, 90, 180, and 360 days.

Product names:
Borrow Intensity Indicators
Borrow Intensity Indicators - Subscription
Over 60 fields have been added to custom scans to help you find trading opportunities in the market. Additionally the interface has been enhanced to allow easy field search as well as the ability to copy, import, and export scans. Navigate to Pro Scanner/Custom in LiveVol to check out the changes
LiveVol's SmartMarkets API is available as of March 30, 2020.
LiveVol's Trade Optimizer API is available as of March 6, 2020.
SIP (Security Information Processor) Fee breakdown has been added to API Products at the point of purchase in DataShop effective after the close February 14, 2020.
Trades from GTH will be included effective February 5, 2020 in Option Trade Data and Option Trade Data with Calcs data sets. The Excel file format will remain unchanged. GTH trades will be signified by a time stamp between 3:00 am ET and 9:15 am ET. Historical data set purchases in these products will also include GTH trades effective February 5, 2020.
Effective February 5, 2020 on half trading days, the value in the "1545" column in data sets End of Day Option Quotes, End Of Day Option Quotes with Calcs, and End Of Day Equity Quotes will be taken at 12:45 pm ET and the column name of 1545 will be unchanged.
LiveVol’s Earnings Analysis and Events Calendar are available through Events API