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Release Notes

This data set facilitates order flow analysis including:

  • Unusual option activity
  • Directional bias
  • Retail interest
  • Stock-loan considerations, and more…

Available for historical purchase https://datashop.cboe.com/high-level-option-sentiment  and daily file subscription https://datashop.cboe.com/high-level-option-sentiment-subscription

Please be advised that due to the Cboe VIX spot calculation methodology change announced 9/22/2021 we will start including VIX data through 16:16:00 ET in the following DataShop products effective 9/27/2021:

  • Equity, ETF & Index Quotes
  • Equity, ETF & Index Trades
  • Equity EOD Summary
  • CSMI Index Quotes
  • CSMI EOD Quotes
  • VIX Index Values

    Overview

    Effective September 27, 2021, the Cboe Volatility Index (VIX) spot value dissemination end time will change.

  • Symbol - VIX; Channel - CSMI Main Channel
  • Current Dissemination End Time - 16:15:00 ET
  • New Dissemination End Time - 16:15:15 ET
  • Effective 9/27/2021

    If you are interested in specific details around the calculation methodology change, please review the Addendum 2 to the VIX White Paper linked below:

  • Check it out here.
  • Please contact Support@LiveVol.com with any questions.

Cboe DataShop Website Redesign 8/27/2021 -Thursday, August 26, 2021

The Cboe DataShop website has been redesigned with improvements for better user experience. This is a website-only update and delivery of historical data and subscription files for customers is unaffected.

  • Like products have been consolidated for more convenient purchase options and concise search results
  • Product categories have been simplified for better discoverability when browsing and searching
  • The checkout process has been streamlined for a more consistent and faster experience
  • Easy access to all of our data sets, platforms, and API offerings
CSMI Fee Increase Effective 8/1/2021 -Friday, June 25, 2021

Effective August 1, 2021, the CSMI pass-through market data fees on your invoices will be adjusted to reflect the recent changes.

Significant improvement on the CSMI market data are:

  • The CCCY channel will include exclusive CoinRoutes RealPrice data, which is a real-time price for cryptocurrencies, based on the fee-sensitive, consolidated order books from all accessible exchanges
  • MSCI channel will be available to LiveVol customers

The current monthly fees are Live data $3.80 and Delayed data $1.22, and the new monthly fees effective 8/1/2021 are $10.65 and $3.45 respectively

Same day API access (exclusive of data to SIP provider(s), if applicable) has been enabled for API subscribers.
  • Trade Optimizer has now been migrated to All Access APIs. Check it out here.
  • To help subscribers better plan their usage, paying subscribers will now be notified via email once they reach 80%, 90%, 100%, 125%, 150% of their monthly points allowance.
  • Daily points allowance for Free Tier has increased from 100 to 500.

DataShop is pleased to announce four new Cboe exclusive data sets: Event Free Realized Volatility, Fit Parameters, Implied Earnings Move, and Traded Vega Ratio. These products are calculated using a proprietary valuation model and represent the latest additions to the suite of value-added file offerings from DataShop.

Product Pages:

Event Free Realized Volatility

Fit Parameters

Implied Earnings Move

Traded Vega Ratio

Cboe has added endpoints to the following All Access API categories: Trade Review, Events, Custom Scanner, Market At A Glance, and Time and Sales.

All Access APIs allows customers to access multiple endpoints with a single subscription. In addition, subscription to the Securities Information Processers (SIPs) will be optional, with the API offering midpoint prices, implied calculations, and historical data. Tiered pricing plans include a set number of points per month, with points varying by endpoint and request type . Customers will have the option to enroll in the Free Tier, a 14-day subscription with access to non-SIP data across all APIs.

All Access API Page: https://datashop.cboe.com/all-access-api

API Reference: https://api.livevol.com/v1/docs/Help?apiGroupName=allaccess

DataShop is pleased to announce three new Cboe exclusive data sets: Early Exercise Strike by Option Class, Master Vol By Underlyer, and Implied Borrow. These products are calculated using a proprietary valuation model and represent the latest additions to the suite of value-added file offerings from DataShop.

Product Pages:

Early Exercise Strike by Option Class

Master Vol By Underlyer

Implied Borrow

Effective 2/5/2021, the optional add-on LiveVol Excel Basic subscription is now available to accompany LiveVol Core subscriptions for an additional $100 per month.
Contact Us
For technical support or to discuss how DataShop can help your business:
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Phone
+1 800 307-8979 U.S.
+1 312 786-7400 Global

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