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  • Asset Type: Options Remove
  • Data Type: Implied Volatility Blends Remove
  • Data Type: Constituents & Roll Remove
  • Data Type: Analytics and Greeks Remove
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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.

This report will provide the maximum theoretical call strike price that is financially beneficial for early exercise and the minimum theoretical put strike price that is financially beneficial for early exercise on the current trading day according to a proprietary theoretical valuation model.


This proprietary valuation model uses a business day calendar with intraday time decay along with discrete dividend estimates, proprietary implied borrow rates, and proprietary arbitrage-free smoothed volatility surfaces. Files are labeled with a date-time in Central time.


One file will be delivered at the end of the day, if End of Day interval is chosen. If 15 min interval is selected, files will be delivered every 15 minutes during the day with 15 minutes delayed data.

This report provides realized volatility for multiple tenors for optionable underlyers and excludes the variance associated with earnings announcements. The price variance associated with each earnings event that occurred in the respective lookback period of the calculated tenor is excluded from the realized volatility calculation. This proprietary valuation model uses a business day calendar with intraday time decay along with discrete dividend estimates, proprietary implied borrow rates, and proprietary arbitrage-free smoothed volatility surfaces. Files are labeled with a date-time in Central time.


One file will be delivered at the end of the day, if End of Day interval is chosen. If 15 min interval is selected, files will be delivered every 15 minutes during the day with 15 minutes delayed data.

This report provides parameters which define the volatility surface per optionclass calculated by a proprietary Volatility Surface Fitter. This proprietary valuation model uses a business day calendar with intraday time decay along with discrete dividend estimates, proprietary implied borrow rates, and a proprietary arbitrage-free smoothed volatility surfaces. Files are labeled with a date-time in Central time.

This report provides the implied price move associated with the upcoming earnings event using a proprietary methodology. In certain cases, market pricing may be such that an implied move cannot be calculated and a value of blank is acceptable. This proprietary valuation model uses a business day calendar with intraday time decay along with discrete dividend estimates, implied borrow rates, and proprietary arbitrage-free smoothed volatility surfaces. Files are labeled with a date-time in Central time.


One file will be delivered at the end of the day, if End of Day interval is chosen. If 15 min interval is selected, files will be delivered every 15 minutes during the day with 15 minutes delayed data.

This report provides the ratio of normal options trading activity currently taking place in an options class when normalizing for vega exposure, time of the day and typical volume distributions throughout the day. A ratio of 1.0 means that activity is exactly typical for the option class given the time of the day. Vega calculations come from a proprietary valuation model. This proprietary valuation model uses a business day calendar with intraday time decay along with discrete dividend estimates, proprietary implied borrow rates, and proprietary arbitrage-free smoothed volatility surfaces. Files are labeled with a date-time in Central time.


One file will be delivered at the end of the day, if End of Day interval is chosen. If 15 min interval is selected, files will be delivered every 15 minutes during the day with 15 minutes delayed data.

This report provides the implied borrow rate per option class as calculated by a proprietary Implied Borrow Solver. The implied borrow rate can reflect hard to borrow conditions in the underlyer, inconsistencies with expected dividends among market participants or other market conditions that might influence put and call pricing for a given strike. Files are labeled with a date-time in Central time.


One file will be delivered at the end of the day, if End of Day interval is chosen. If 15 min interval is selected, files will be delivered every 15 minutes during the day with 15 minutes delayed data.

This report is a superset of proprietary volatility analytics including implied volatilities per expiration and constant maturity, realized volatilities, Event free implied and realized volatilities, earnings information and much more. This proprietary valuation model uses a business day calendar with intraday time decay along with discrete dividend estimates, implied borrow rates, and proprietary arbitrage-free smoothed volatility surfaces. Files are labeled with a date-time in Central time.


One file will be delivered at the end of the day, if End of Day interval is chosen. If 15 min interval is selected, files will be delivered every 15 minutes during the day with 15 minutes delayed data.