Cboe options and volatility data (licensed)

Licensed: not exercised here

Cboe market data is a paid licensed product (historical files are sold through Cboe DataShop; some headline index levels are free but the research data is not), so it carries no provenance badge: the access path below was not run in this session. The page documents the access route and the gotchas; treat it as unverified until someone exercises it through a licensed account. This is the honest grade under the institute’s Verified discipline.

Cboe Global Markets is the exchange operator behind index options (notably SPX options on the S&P 500) and the VIX volatility index. Its market data covers option quotes and trades on the Cboe exchanges, the VIX and a family of related volatility indices (VIX term structure, VVIX, SKEW, and similar), and end-of-day and intraday historical files sold through Cboe DataShop. It is distinct from OptionMetrics IvyDB, which is a research-oriented panel of computed implied vols and Greeks across all U.S. options; Cboe data is exchange-native and centered on Cboe-listed products. A paper we distill uses it: Siriwardane et al. on segmented arbitrage.

• Cost: the VIX and headline index levels are freely published, but the historical option-level and intraday data are licensed through Cboe DataShop; no free tier for the research-grade files.
• Vendor: Cboe Global Markets (Cboe DataShop for historical data; the LiveVol platform for analytics).
• Coverage: Cboe-listed index and equity options; the VIX index history runs from 1990 (with the current methodology from 2003 and a back-cast to 1990).

Access (when licensed)

• Cboe DataShop for historical files. Option quotes/trades, end-of-day summaries, and intraday data are purchased and downloaded from Cboe DataShop; the analytics/options-calculator data is the LiveVol product line. Index levels (VIX and family) are downloadable from Cboe’s site as time series.
• Keyed by option symbol and the OCC contract specification. An option record is identified by underlying, expiration, strike, and call/put (the OPRA / OCC contract spec), not by a single stable id; build the contract key yourself.
• Credentials and a purchase are required for the licensed files; keep any credentials in .env, never hard-coded.

Gotchas (the ones that bite pipelines)

These are the failure modes to expect; they are documented, not verified here.

• It is exchange data, not a computed panel. Cboe files give quotes and trades, not OptionMetrics-style fitted implied vols and Greeks. If you need a clean implied-vol surface you compute it yourself (with a dividend and rate assumption) or use OptionMetrics; do not expect the two to match contract-for-contract.
• VIX methodology and history caveats. The current VIX (model-free, SPX-based) dates from 2003; the pre-2003 series is the old VXO (OEX, Black-Scholes-based) and the 1990-2003 VIX is a back-cast. Do not treat the whole 1990-onward series as one consistent methodology.
• SPX versus SPXW (AM versus PM settlement). S&P 500 options come in monthly AM-settled (SPX) and weekly/end-of-month PM-settled (SPXW) variants with different settlement conventions and expiration handling; mixing them misaligns expirations and settlement prices. Separate the root symbols deliberately.
• Settlement and expiration prices are special. AM-settled index options settle on a Special Opening Quotation (SOQ), which is not the same as the opening trade print; using the wrong settlement value distorts payoffs near expiration.
• Quote timestamps and the close. Intraday data is large and the “closing” quote depends on which timestamp convention you take (last quote, 15:59, market close); be explicit, because option quotes can be stale or wide at the close.
• Corporate actions and underlying changes. Equity-option contracts adjust for splits and special dividends (adjusted/non-standard deliverables); the strike and multiplier on an adjusted contract are not the plain-vanilla values. Flag adjusted series rather than treating them as standard.
• Volume is Cboe-venue volume. Cboe data reflects activity on Cboe exchanges, not consolidated OPRA volume across all venues; do not read it as total market volume for a multiply-listed option.

Reference: Cboe data products

Product	What it is
DataShop end-of-day	daily option quotes/summaries and open interest
DataShop intraday	timestamped quotes and trades for Cboe-listed options
Volatility indices	VIX, VIX term structure, VVIX, SKEW and related index levels
LiveVol	analytics platform with computed implied vols and Greeks

Citation

Cite Cboe as the source and name the product, e.g.: Cboe Global Markets, via Cboe DataShop, accessed YYYY-MM-DD (or the relevant volatility-index series). State the products, root symbols (e.g. SPX versus SPXW), the date range, and the timestamp convention used so the sample is reproducible.