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Release Notes

Historical data and daily file subscriptions offering on volume summary for trading activity on a single exchange bucketing volume by origin (customer, professional customer, broker-dealer, and market maker), buying/selling, and opening/closing criteria.

Open-Close Cboe BZX exchange
Open-Close Cboe BZX exchange – Subscription
Open-Close Cboe C2 exchange
Open-Close Cboe C2 exchange – Subscription
Open-Close Cboe EDGX exchange
Open-Close Cboe EDGX exchange – Subscription
OPRA Data (Bulk) Discontinued
Tuesday October 1, 2019

The OPRA Data (Bulk) product has been discontinued and removed from the DataShop product catalog
We have updated the implied underlying price calculation, which is used as an input for volatility calculations for index products and included as a field in the data files listed below. The code change addressed situations where expirations with wider quotes resulted in no implied underlying being calculated and where there wasn’t agreement on the forward price within an expiration. We relaxed certain quote width requirements to better generate implied underlying values for those situations.

  • Option Quotes Intervals with Calcs
  • End-of-Day Option Quotes with Calcs
Greeks and Volatility Calculations Update -Tuesday, August 20, 2019
Several enhancements to Greeks and volatility calculations were made and an issue with implied underlying price calculation was addressed.
NBBO and Level 2 Calculation Updates -Tuesday, July 30, 2019
In reviewing our data processing methodology, we have identified and resolved issues with our (N)BBO and Level 2 (Top of Book) calculations, which, in certain circumstances, may have potentially impacted the data sets listed below. Our analysis shows the issues may have resulted in certain quote conditions being excluded from the calculations in certain cases.

  • Equity & ETF Quotes Intervals
  • End-of-Day Equity Quotes
  • Option Quotes Intervals
  • Option Quotes Intervals with Calcs
  • End-of-Day Option Quotes Data
  • End-of-Day Option Quotes with Calcs
  • Options Trade Data
  • Options Trade Data with Calcs