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  • Asset Type: Options Remove
  • Data Type: Implied Volatility Blends Remove
  • Data Type: Trades Remove
  • Data Type: Volume Summary Remove
  • Purchase Type: Annual Subscription Remove

Data Subscriptions

Our option trades files have the supporting information needed to provide context to trading activity. Included with each trade is the trade price and size, the exchange where the trade printed, the NBBO quote and depth, the underlying bid and ask, and each of the individual exchange markets. Sign up for a one month or one year subscription and receive a daily delivery of your files via our FTP site. Trades from Global Trading Hours (GTH) will be included effective February 5, 2020. GTH trades will be signified by a time stamp between 3:00 am ET and 9:15 am ET. At this time only ^SPX and ^VIX trade during GTH.
Our option trades files have the supporting information needed to provide context to trading activity. Included with each trade is the trade price and size, the exchange where the trade printed, the NBBO quote and depth, the underlying bid and ask, and each of the individual exchange markets. With the addition of our Calcs data, you receive the implied volatility and the calculated delta of the trade. Sign up for a one month or one year subscription and receive a daily delivery of your files via our FTP site. Trades from Global Trading Hours (GTH) will be included effective February 5, 2020. GTH trades will be signified by a time stamp between 3:00 am ET and 9:15 am ET. At this time only ^SPX and ^VIX trade during GTH.

Open-Close data is a volume summary file for trading activity on the C1 exchange. Available in 10-minute summary intervals or as an end-of-day summary, it aggregates and buckets the volume by origin (customer, professional customer, broker-dealer, and market maker), buying/selling, and opening/closing criteria. The customer and professional customer volume are further broken down into trade size buckets (fewer than 100 contracts, 100-199 contracts, greater than 199 contracts). Fields 10-17 will only be available in the end-of-day files and will not be populated in the 10-minute intervals. It contains all series in an underlying security's chain-if it has volume on C1. End-of-day data is delivered overnight after midnight U.S. Eastern, 10-minute files are delivered intraday a few minutes after each interval closes. For pricing, please see “LiveVol Fees” in the Cboe Exchange Fee Schedule.


To purchase historical data, please see Open-Close C1 Historical


Open-Close subscriptions are also available for: BZX, C2, and EDGX


The downloadable sample contains 2 files: 1 sample of the EOD format, 1 of the 10-minute

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.