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Data Subscriptions

Our 13F subscription tracks quarterly position disclosures made by institutional investors as required by the SEC. The file contains the most recent disclosures made by each filer, whether it be from the last quarter or the quarter prior (as filers have a 45 day deadline after quarter end).


We curate our file daily, applying SEC updates and market data corrections. We also enhance the data with secondary calculations including percent of open interest by filer along with changes in positions quarter to quarter.


Subscription Delivery: Daily files Monday – Sunday (including U.S. Holidays) around 10pm U.S. Eastern


Data includes optionable symbols from https://www.sec.gov/divisions/investment/13flists.htm


Filers are not required to disclose positions on indexes, but ETFs are included (ex: SPY positions are reported, but not ^SPX)


See https://www.sec.gov/divisions/investment/13ffaq.htm for more detailed 13F information


File Layout: Specifications

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.

Please refer to more index information on:
https://www.cboe.com/us/indices/benchmark_indices/
https://www.cboe.com/us/indices/benchmark_roll_information/