Raw End-of-Day Option Quotes
Our Tier-0 option data offers two choices of filters. The Full data set (on-going daily subscriptions only) is simply the entirety of exchange-traded contracts. The Partial data set (offered on an on-going and historical basis – see product catalog for details on inception dates) offers a truncated pull of only the most actively traded index and ETF symbols. Files are available via credentials to an FTP server.
Implied Volatility Surfaces
Our Tier-1 data utilizes traded index options and our proprietary process for constructing European ETF option chains to offer simplified implied volatility surfaces over concise ranges of tenors and moneyness. Historical data and on-going daily subscriptions available.
ETF Option Data with European Equivalent Quotes
Our Tier-2, Tier-3, and Tier-4 ETF option data includes a hypothetical mid-quote for an equivalent European-style option for each contract in the option chain. Tier-3 data includes all Tier-2 fields plus implied volatilities, along with greeks and rate assumptions based on the smoothed European mid-quotes. Tier-4 data includes all Tier-2 and Tier-3 fields plus greeks for the traded (American-style) mid-quotes. Historical data and on-going daily subscriptions available.
Crypto-Currency Option Data with Hypothetical End-of-Day Marks
Our crypto option data includes a hypothetical mid-quote for an end-of-day mark for each contract in the option chain as of last trade on the Deribit and Delta exchanges. Data includes implied volatilities (also on an end-of-day basis, smoothed and unsmoothed), along with greeks and implied financing rates based on the smoothed hypothetical end-of-day quotes. Currently available currencies include Bitcoin (BTC) and Ether (ETH). Historical data and on-going daily subscriptions available.
Crypto-Currency Implied Volatility Surfaces
Our crypto-currency implied volatility surface data utilizes our proprietary process for constructing hypothetical end-of-day crypto option chains to offer simplified implied volatility surfaces over concise ranges of tenors and moneyness. Currently available currencies include Bitcoin (BTC) and Ether (ETH), with tenors out to 1 year. Historical data and on-going daily subscriptions available.
Crypto-Currency Volatility Indexes (End-of-Day)
Our crypto-currency volatility indexes utilize our proprietary process for constructing hypothetical end-of-day crypto option chains to construct VIX-style indexes (defined as the square-root of the fair strike in a variance swap) with the traditional 1 month constant tenor. Currently available currencies include Bitcoin (BTC) and Ether (ETH). To deal with the relatively lower alt-coin liquidity, an additional hypothetical currency, Ether+ (ETH+) utilizes both its own coin and Bitcoin to infer a smoother index. Historical data and on-going daily subscriptions available. For intraday indices on BTC and ETH, see our new C-VIX indices below.
C-VIX Intraday Crypto Volatility Indexes
We’ve leveraged our proprietary process for constructing hypothetical crypto option chains to construct VIX-style indexes (defined as the square-root of the fair strike in a variance swap with the traditional 1 month constant tenor as with the end-of-day product) with 10-minute granularity during NYSE-based trading hours. Currently available currencies include Bitcoin (BTC), and Ether (ETH). Historical data and on-going daily subscriptions available. Additionally, you may view real-time OHLC quotes in the C-VIX dashboard throughout the trading day.