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.
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
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
- 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:
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:
- 1
- 2
