Start-of-day (9:40 E.T.) and end-of-day (15:45ET, 16:00ET, 16:15ET*) snapshots of price- and delta-relative volatility surfaces powered off of the proprietary Cboe Hanweck Volera® engine, a high-performance, hardware-accelerated system capable of performing millions of option valuations per second. Volatility surfaces are generated off of the highest quality inputs which evolve to react to changing financial markets conditions.
Snapshots of price- and delta-relative volatility surfaces are available at standard constant maturity tenors or listed option expiries.
- Constant Maturity Delta Relative: An interpolated implied volatility surface referenced by delta at various constant maturities or expiries (e.g., IBM 0.25 delta 3-month implied volatility)
- Constant Maturity Price Relative: An interpolated implied volatility surface referenced by percentage of the current underlying price at various constant maturities or expiries (e.g., IBM 110% 3-month implied volatility)
- Expiration Specific Delta Relative: An interpolated implied volatility surface referenced by delta for each of the actual listed expiries (e.g., IBM 0.25 delta Oct10 implied volatility)
- Expiration Specific Price Relative: An interpolated implied volatility surface referenced by percentage of the current underlying price for each of the actual listed expiries (e.g., IBM 110% Oct10 implied volatility)
*16:15ET snapshot will only be available for indices which trade until 16:15ET during regular trading hours.
Subscriptions
Single zipped CSV containing four files (Constant Maturity Delta Relative, Constant Maturity Price Relative, Expiration Specific Delta Relative, Expiration Specific Price Relative) delivered daily end-of-day.
Historical
Single zipped CSV containing four files (Constant Maturity Delta Relative, Constant Maturity Price Relative, Expiration Specific Delta Relative, Expiration Specific Price Relative) for each trading day. Historical data available from August 2011.
Reference
Cboe Open-Close Volume Summary
Detailed option trading data volume summary by capacity (Customer, Pro-Customer, Broker, Firm, MM) on Cboe exchanges (BZX, C1, C2, EDGX) available End-of-Day (EOD) and in 10-minute intervals
Enhanced US Options Trade-by-Trade Execution Detail
Trade-by-Trade (TBT) provides full transaction-level detail for every executed options trade, enabling granular market analysis and historical reconstruction.
Option EOD Summary
End-of-day snapshot and 3:45PM ET snapshot for quotes, OHLC prices, and volume summaries along with optional Calcs data (implied volatilities and Greeks)
CFE Futures Trades
Daily report of all futures trades done on the Cboe Futures Exchange (CFE) with insights into originating orders and side adding/taking liquidity
Option Quotes
1 minute or n-minute interval summaries including NBBO with size, OHLC prices, and trade volumes along with optional open interest and Calcs data (implied volatilities and Greeks)
Option Trades
Daily option trades with print details and contextual market information along with optional Calcs data (Implied Volatility & Delta)