This data set facilitates order flow analysis including:
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:
Effective September 27, 2021, the Cboe Volatility Index (VIX) spot value dissemination end time will change.
If you are interested in specific details around the calculation methodology change, please review the Addendum 2 to the VIX White Paper linked below:
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.
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 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
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.
Event Free Realized Volatility
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.
Early Exercise Strike by Option Class