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Options, Equity & ETF - Tick & Trade Data – Cboe LiveVol Data Shop Log in Shopping Cart (0) You have no items in your shopping cart. Historical Data Options Futures Equities, ETFs, Indexes Currencies Cryptocurrencies Corporate Events Derived Data Data Subscriptions APIs Documentation Pricing Authentication Subscribe Platforms FAQs Contact Us Categories Historical Data Options Futures Equities, ETFs, Indexes Currencies Cryptocurrencies Corporate Events Derived Data Data Subscriptions APIs Documentation Pricing Authentication Subscribe Platforms Power Trading Strategies With Custom Historical Data Featured Data Sets End-of-Day Option Quotes with Calcs Our end-of-day option quotes with 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. 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 subscription data, please see: End-of-Day Option Quotes with Calcs – Subscription More info Option Intervals 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: Calcs: Midpoint Implied Volatility, Delta, Gamma, Theta, Rho* BBO of each individual exchange* Open Interest: Start-of-day Open Interest for each option (Optional) *Base order must include at least 1 selection between Calcs or BBO of Each Exchange. A separate subscription to nightly ongoing updates of this data-set is also available, please see: Option Quotes Intervals – Subscription Reference Files: Exchange ID Mapping: Exchange IDs More info Open-Close Cboe C1 exchange 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. For data prior to 2005, please contact sales@livevol.com. For pricing, please see “LiveVol Fees” in the Cboe Exchange Fee Schedule . For an ongoing subscription, please see: Open-Close C1 - Subscription Open-Close data is also available for BZX , C2 , and EDGX The downloadable sample contains 2 files: 1 sample of the EOD format, 1 of the 10-minute More info Options Trade Data with Calcs 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. 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. Reference Files: Exchange ID Mapping: Exchange IDs Trade Condition ID Mapping: Trade Condition IDs After the column with "number_of_exchanges", there are unlabeled columns representing individual exchange quotes. This repeatable sequence populates columns according to this pattern: Exchange ID (see Exchange mappingExchange IDs), Bid Size, Bid, Ask Size, Ask. More info Open-Close Cboe BZX exchange Open-Close data is a volume summary file for trading activity on the BZX 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 BZX. For pricing, please see “LiveVol Fees” in the Exchange Fee Schedule . For an ongoing subscription, please see: Open-Close BZX - Subscription Open-Close data is also available for C1 , C2 , and EDGX The downloadable sample contains 2 files: 1 sample of the EOD format, 1 of the 10-minute More info 13F Option Holders - Subscription 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 More info BROWSE ALL DATA and tags, as close as possible to the opening tag. Creation Date: 05/11/2016 -- Information Sitemap Privacy Statement About Us Contact Us FAQs Fee Schedule SIP Fees Data Policies Tools Search Release Notes My Account My Account Orders Addresses Shopping Cart Copyright © 2021 Cboe Exchange, Inc. All rights reserved. Options involve risk and are not suitable for all investors. Prior to buying or selling an option, a person must receive a copy of Characteristics and Risks of Standardized Options (ODD) . Copies of the ODD are available from your broker or from The Options Clearing Corporation, 125 S. Franklin Street, Suite 1200, Chicago, IL 60606. The information on this website is provided solely for general education and information purposes and therefore should not be considered complete, precise, or current. Many of the matters discussed are subject to detailed rules, regulations, and statutory provisions which should be referred to for additional detail and are subject to changes that may not be reflected in the website information. No statement within the website should be construed as a recommendation to buy or sell a security or to provide investment advice. The inclusion of non-Cboe advertisements on the website should not be construed as an endorsement or an indication of the value of any product, service, or website. The Terms and Conditions govern use of this website and use of this website will be deemed acceptance of those Terms and Conditions....