Our end-of-day option quotes file actually provides two snapshots of market quote and size, one at 15:45 and another at the market close (market closing time is product dependent). Summary trading data is also included in the files. The first, last, lowest and highest trade in every series, as well as, the total volume, VWAP and open interest. Sign up for a one month or one year subscription and receive a daily delivery of your files via our FTP site. Effective February 5, 2020 on half trading days, the value in the "1545" column will be taken at 12:45 pm ET and the column name of 1545 will be unchanged.
File Layout: End-of-Day Option Quotes Layout.To purchase historical data, please see: End-of-Day Option Quotes Historical
Our end-of-day option quotes witch Calcs file provides all of the fields in the end-of-day Option quotes file plus market implied volatility for each option, as well as, the greeks (Delta, Gamma, Theta, Vega and Rho). Implied volatility and Greeks are calculated off of the 1545 timestamp, since it is considered a more accurate snapshot of market liquidity than the end of day market. Sign up for a one month or one year subscription and receive a daily delivery of your files via our FTP site. Effective February 5, 2020 on half trading days, the value in the "1545" column will be taken at 12:45 pm ET and the column name of 1545 will be unchanged.
File Layout: End-of-Day Option Quotes With Calcs Layout.To purchase historical data, please see: End-of-Day Option Quotes with Calcs
Select your own custom interval from 1 minute to End-of-day, NBBO market quote and size are captured in every snapshot along with open, high, low, close and trading volume. Underlying bid and ask prices are included at each interval for your reference. Covers U.S Stock, ETF, and Index securities with listed options.
In addition to OHLC, Volume, and NBBO markets at each interval, you may select and include the following:
* Delivery Time: “Intraday” deliveries are posted to the FTP account approximately 15 minute after a given snapshot is recorded (Example: A 9:45AM snapshot will be posted to FTP at around 10:00 AM). Nightly deliveries are posted to the FTP account overnight.
Historical data back to 2004 may be purchased separately: Options Intervals
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
The downloadable sample contains 2 files: 1 sample of the EOD format, 1 of the 10-minute
Cboe Hanweck Borrow Intensity Indicators describe constant maturity synthetic lending rates derived from real-time option analytics. Borrow Intensity Indicators are a proprietary calculation based upon implied borrow, enhanced with machine learning using characteristics including relative liquidity and term in order to create constant maturities of 45, 60, 90, 180, and 360 days.
Borrow Intensity Indicators may enhance:
Borrow Intensity Indicator Attributes: