Option Trades Data with Calcs

Option Trades - Subscription

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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 for ^SPX and ^VIX between 3:00 AM and 9:15 AM Eastern (GTH trades outside of this time range will not be included).

Subscription:

Daily file delivery

Historical Data:

Historical data can be found here

Reference:
File specification
Exchange ID Mappings
Trade Condition ID Mappings

Fields:

Underlying Symbol
Quote Datetime
Sequence Number
Root
Expiration
Strike
Option Type
Exchange Id
Trade Size
Trade Price
Trade Condition Id
Canceled Trade Condition Id
Best Bid
Best Ask
Trade Iv*
Trade Delta*
Underlying Bid
Underlying Ask
Number Of Exchanges

*Field available with addition of Calcs data

After the last field listed above, there are a series of unnamed fields with per-exchange top of book quotes. This repeatable sequence populates columns according the pattern:

Exchange Id
Bid Size
Bid
Ask Size
Ask

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Monthly
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Calcs *

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Cboe Global Index (CGI) Data * Customers are not required to hold a CGIF license for real-time or delayed data to subscribe to this product; however, please see product description for details on how license status affects reporting of index values. Please select "Licensed" only if your organization holds an active CGIF license for real-time or delayed data to the MAIN channel, or has submitted an application pending approval.