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  • Asset Type: Options Remove
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Data Subscriptions

Cboe Streaming Market Indices (CSMi) consists of over 200 index values offered by Standard and Poor’s and Cboe and many more firms. This offering contains all disseminated values for each index on a given day, it can vary from every 15 seconds during trading hours to once per day based on the index. Click here to view the current indexes on the CSMi feed.
Cboe LiveVol Implied Volatility Blends capture term structure and solve for expiration-specific and constant maturity implied volatilities encapsulated within the range of option expirations. Capturing the constant maturity volatilities helps traders visualize and track the behavior of volatility over time providing context to current market implied volatility. To build out our volatility blends we first solve for the at-the-money volatility of each expiration to capture the term-structure of the volatility. Next, using a cubic spline approach, we fit a curve to the term-structure. Using the fitted curve, we solve for the constant maturity (IV30, IV60, IV90, etc.) time periods offered in the file. *Constant maturity times that fall outside the range of expirations available for a particular symbol will be zero. This dataset is only available with end of day granularity.
Daily calculation inputs on select Cboe option strategy benchmarks and the monthly roll data.