Welcome to our product catalog. Sample files are available to download within each product’s information section. ETF option data (all tiers, historical and daily) represents end-of-day figures. Crypto-currency option data (historical and daily) represents modeled/hypothetical end-of-day figures. We are continually building our suite of offerings, so be sure to check back or sign up for our product update email alerts to stay up to date with additions to our product catalog. If you would like to like to inquire about any product customizations or special offerings, please follow the link at the bottom of this page to contact us.
Note about ETF All-Weather subscriptions: Tickers include SPY, TLT, and GLD. In most circumstances no modifications to this structure (i.e. swapping of tickers) is allowed. However, please contact us if an alternative grouping better suits your needs, such as exchanging a ticker for another available underlying of the same asset class.
Tier-0 Option Data (Raw End-of-Day Quotes)
Historical Data** – $1.99/Mo per ticker (partial months not pro-rated) capped at $199 for any ticker and $495 for any order of multiple tickers.
Daily Subscriptions
Full Data Set – $199.99/Yr
Partial Data Set* – $149.99/Yr
Our Tier-0 option data offers a snapshot of all on-exchange contracts as of market close. A partial data set is available which limits the tickers pulled to the most actively traded indexes and ETFs.
* The partial data set includes SPX, OEX, NDX, RUT, DJX, SPY, QQQ, IWM, EFA, EEM, TLT, HYG, LQD, IEF, VNQ, GDX, XOP, XLF, XLE, XLP, XLV, XLY, XLI, XLB, XLU, XLK, XLC, AGG, FXI, EWZ, GLD, USO, SLV, EMB, TIP, VNQI, AMLP, IGOV, GSG, DBC, PFF, CWB, BITO.
** Minimum order of $50 for historical data. Historical data only available for partial data set tickers, with inception dates of SPX (1/3/2005), OEX (7/3/2007), NDX (1/3/2005), RUT (1/3/2005), DJX (1/3/2005), SPY (1/7/2005), QQQ (1/2/2009), IWM (1/3/2005), EFA (1/3/2005), EEM (3/9/2006), TLT (1/3/2005), HYG (4/11/2007), LQD (1/3/2005), IEF (1/3/2005), VNQ (9/6/2005), GDX (5/22/2006), XOP (6/22/2006), XLF (1/3/2005), XLE (1/3/2005), XLP (1/3/2005), XLV (1/3/2005), XLY (1/3/2005), XLI (1/3/2005), XLB (1/3/2005), XLU (1/3/2005), XLK (1/3/2005), XLC (6/22/2018), AGG (1/3/2005), FXI (1/3/2005), EWZ (5/25/2006), GLD (6/3/2008), USO (5/9/2007), SLV (12/8/2008), EMB (1/19/2021), TIP (1/19/2021), VNQI (1/19/2021), AMLP (1/19/2021), IGOV (1/19/2021), GSG (1/19/2021), DBC (1/19/2021), PFF (1/19/2021), CWB (1/19/2021), BITO (10/28/2021).
Tier-1 Option Data
(Implied Vol Surfaces)
Historical Data – $2.50/Mo per ticker (partial months not pro-rated) capped at $250 for any ticker and $695 for any order of multiple tickers.
Daily Subscriptions
Any 1 Ticker – $19.99/Mo
Any 3 Tickers – $29.99/Mo
Any 4+ Tickers – $39.99/Mo
All-Weather Tickers – $24.99/Mo
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 out to 3 years. ETF Implied volatilities are based on the smoothed European equivalent quotes of our Tier-3 data.
Available Tickers and Inception Dates*
SPX – 1/3/2005; NDX – 5/10/2010; RUT– 1/4/2010; SPY – 2/5/2008; QQQ – 3/23/2011; IWM – 1/25/2008; TLT – 1/3/2005; GLD – 6/3/2008; EFA – 4/22/2009; EEM – 7/25/2008; HYG – 1/6/2009; VNQ – 9/18/2009; LQD – 1/4/2016
* Minimum order of $50 for historical data. Due to modeling requirements related to market liquidity and depth, our inception dates may not coincide with the historical start date for any available contract/underlying. Additionally, our historical data may not include quotes for every historical trading day since the inception date for the same reason. Typically such gaps represent less than 1% of since-inception trading days for any available underlying. DFR does not guarantee the accuracy of any data.
Tier-2 ETF Option Data
Historical Data – $4.99/Mo per ticker (partial months not pro-rated) capped at $495 for any ticker and $1,395 for any order of multiple tickers.
Daily Subscriptions
Any 1 Ticker – $24.99/Mo
Any 3 Tickers – $59.99/Mo
Any 4+ Tickers – $64.99/Mo
All-Weather Tickers – $54.99/Mo
Our Tier-2 ETF option data includes a hypothetical mid-quote for an equivalent European-style option based on a proprietary procedure used to strip away the early-exercise value from exchange-traded American-style quotes. Smoothed prices ensure put-call parity given the assumptions used.*
Available Tickers and Inception Dates**
SPY – 2/5/2008; QQQ – 3/23/2011; IWM – 1/25/2008; TLT – 1/3/2005; GLD – 6/3/2008; EFA – 4/22/2009; EEM – 7/25/2008; HYG – 1/6/2009; VNQ – 9/18/2009; LQD – 1/4/2016
* Minimum order of $100 for historical data. All modelling of market quotes uses the true expected cash flow stream of the contract’s underlying security. For ETF options, this is typically in the form of discrete dividends at monthly, quarterly, semi-annual, or annual intervals. DFR has a proprietary process for constructing discrete dividend estimates on a daily basis. Removal of the early exercise value of American options allows for subsequent arbitrage-free smoothing of the implied volatility surface and a repricing at each strike. Please refer to our Tier-3 and Tier 4 products if you wish to obtain additional data pertaining to our modeling assumptions. DFR does not guarantee the accuracy of any data.
** Due to modeling requirements related to market liquidity and depth, our inception dates may not coincide with the historical start date for any available contract/underlying. Additionally, our historical data may not include quotes for every historical trading day since the inception date for the same reason. Typically such gaps represent less than 1% of since-inception trading days for any available underlying.
Tier-3 ETF Option Data
Historical Data – $6.99/Mo per ticker (partial months not pro-rated) capped at $695 for any ticker and $1,995 for any order of multiple tickers.
Daily Subscriptions
Any 1 Ticker – $29.99/Mo
Any 3 Tickers – $69.99/Mo
Any 4+ Tickers – $74.99/Mo
All-Weather Tickers – $64.99/Mo
Our Tier-3 ETF option data includes a hypothetical mid-quote for an equivalent European-style option based on a proprietary procedure used to strip away the early-exercise value from exchange-traded American-style quotes. Smoothed variables ensure put-call parity. Tier-3 data includes implied volatility (for both the smoothed and unsmoothed European quotes), as well as greeks and rate assumptions based on the smoothed European mid-quotes*.
Available Tickers and Inception Dates**
SPY – 2/5/2008; QQQ – 3/23/2011; IWM – 1/25/2008; TLT – 1/3/2005; GLD – 6/3/2008; EFA – 4/22/2009; EEM – 7/25/2008; HYG – 1/6/2009; VNQ – 9/18/2009; LQD – 1/4/2016
* Minimum order of $100 for historical data. All modelling of market quotes uses the true expected cash flow stream of the contract’s underlying security. For ETF options, this is typically in the form of discrete dividends at monthly, quarterly, semi-annual, or annual intervals. DFR has a proprietary process for constructing discrete dividend estimates on a daily basis. Smoothed European quotes allow for inferring a proportional yield term structure, which is subsequently used to model the European greeks. Occasionally plug numbers are used for variables that both present modeling difficulties and nominal effects on outcomes (for example implied volatilities for extremely short-dated, deeply in or out-of-the-money options). DFR does not guarantee the accuracy of any data.
** Due to modeling requirements related to market liquidity and depth, our inception dates may not coincide with the historical start date for any available contract/underlying. Additionally, our historical data may not include quotes for every historical trading day since the inception date for the same reason. Typically such gaps represent less than 1% of since-inception trading days for any available underlying.
Tier-4 ETF Option Data
Historical Data – $9.99/Mo per ticker (partial months not pro-rated) capped at $995 for any ticker and $2,250 for any order of multiple tickers.
Daily Subscriptions
Any 1 Ticker – $44.99/Mo
Any 3 Tickers – $99.99/Mo
Any 4+ Tickers – $124.99/Mo
All-Weather Tickers – $94.99/Mo
Our Tier-4 ETF option data includes a hypothetical mid-quote for an equivalent European-style option based on a proprietary procedure used to strip away the early-exercise value from exchange-traded American-style quotes. Smoothed variables ensure put-call parity. Tier-4 data includes implied volatility (for both the smoothed and unsmoothed European quotes), greeks (for both the American/market quotes and their modeled European equivalents), and rate assumptions based on the smoothed European mid-quotes*.
Available Tickers and Inception Dates**
SPY – 2/5/2008; QQQ – 3/23/2011; IWM – 1/25/2008; TLT – 1/3/2005; GLD – 6/3/2008; EFA – 4/22/2009; EEM – 7/25/2008; HYG – 1/6/2009; VNQ – 9/18/2009; LQD – 1/4/2016
* Minimum order of $100 for historical data. All modeling of market quotes (including the associated greek sensitivities) uses the true expected cash flow stream of the contract’s underlying security. For ETF options, this is typically in the form of discrete dividends at monthly, quarterly, semi-annual, or annual intervals. DFR has a proprietary process for constructing discrete dividend estimates on a daily basis. Smoothed European quotes allow for inferring a proportional yield term structure, which is subsequently used to model the European greeks. Occasionally plug numbers are used for variables that both present modeling difficulties and nominal effects on outcomes (for example implied volatilities for extremely short-dated, deeply in or out-of-the-money options). DFR does not guarantee the accuracy of any data.
** Due to modeling requirements related to market liquidity and depth, our inception dates may not coincide with the historical start date for any available contract/underlying. Additionally, our historical data may not include quotes for every historical trading day since the inception date for the same reason. Typically such gaps represent less than 1% of since-inception trading days for any available underlying.
Crypto-Currency Option Data
Historical Data – $6.99/Mo per ticker (partial months not pro-rated) capped at $695 for any ticker and $1,995 for any order of multiple tickers.
Daily Subscriptions
Any 1 Ticker – $29.99/Mo
BTC & ETH – $49.99/Mo
“Digital Age” All-Weather Tickers – $64.99/Mo*
Our crypto-currency 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 (on a smoothed and unsmoothed basis, as of end-of-day), along with greeks and implied financing rates based on the smoothed hypothetical end-of-day quotes. Currently available crypto-currencies include Bitcoin (BTC) and Ether (ETH).*
Available Tickers and Inception Dates**
BTC – 5/25/2021; ETH – 6/29/2021; QQQ – 3/23/2011; TLT – 1/3/2005
* Minimum order of $100 for historical data. “Digital-Age” All-Weather data includes all BTC fields as well as the Tier-3 product fields for QQQ and TLT. Please see above for details about the Tier-3 ETF product line, including the important disclaimers related to modeling assumptions. The <UnderlyingMark> field in the crypto-currency data does not represent the actual closing price of the associated underlying futures contract, but rather the hypothetical end-of-day mark used in the modeling process. The <UsedRate> field in the data represents the first-pass number used to facilitate the delta-based adjusting of last traded prices to a hypothetical end-of-day mark, typically a spread to some other known implied financing rate. The <ImpliedRate> field represents the implied financing rate extracted from the smoothed hypothetical end-of-day quotes when all other modeling is completed. DFR does not guarantee the accuracy of any data.
** QQQ and TLT are only available as part of the “Digital Age” All-Weather product. Please see our other ETF option data products if you wish to purchase only these tickers. Due to modeling requirements related to market liquidity and depth, our inception dates may not coincide with the historical start date for any available contract/underlying. Additionally, our historical data may not include quotes for every historical trading day since the inception date for the same reason. Typically such gaps represent less than 1% of since-inception trading days for any available underlying.
Crypto-Currency
Implied Vol Surfaces
Historical Data – $2.50/Mo per ticker (partial months not pro-rated) capped at $250 for any ticker and $695 for any order of multiple tickers.
Daily Subscriptions
Any 1 Ticker – $19.99/Mo
BTC & ETH – $29.99/Mo
“Digital Age” All-Weather Tickers – $34.99/Mo*
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 . Implied volatilities are based on the smoothed end-of-day hypothetical quotes of our crypto-currency option data. Currently available crypto-currencies include Bitcoin (BTC) and Ether (ETH). Due to current liquidity and contract availability considerations, the maximum surface tenor is 1 year for crypto-currencies.*
Available Tickers and Inception Dates*
BTC – 5/25/2021; ETH – 6/29/2021; QQQ – 3/23/2011; TLT – 1/3/2005
* Minimum order of $100 for historical data. QQQ and TLT are only available as part of the “Digital Age” All-Weather product. Please see our ETF vol surface product if you wish to purchase only these tickers. ETF implied vol surfaces have a maximum tenor of 3 years, versus a 1 year maximum tenor for crypto-currency surfaces. Due to modeling requirements related to market liquidity and depth, our inception dates may not coincide with the historical start date for any available contract/underlying. Additionally, our historical data may not include quotes for every historical trading day since the inception date for the same reason. Typically such gaps represent less than 1% of since-inception trading days for any available underlying. DFR does not guarantee the accuracy of any data.
Crypto-Currency
Volatility Indexes
Historical Data – $6.99/Mo per ticker (partial months not pro-rated) capped at $695 for any ticker and $1995 for any order of multiple tickers.
Daily Subscriptions
Any 1 Ticker – $19.99/Mo
Any 2 Tickers – $29.99/Mo
All Tickers – $34.99/Mo
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.*
Available Tickers and Inception Dates*
BTC – 5/25/2021; ETH – 6/29/2021; ETH+ – 6/29/2021
* Minimum order of $100 for historical data. Due to modeling requirements related to market liquidity and depth, our inception dates may not coincide with the historical start date for any available contract/underlying. Additionally, our historical data may not include quotes for every historical trading day since the inception date for the same reason. Typically such gaps represent less than 1% of since-inception trading days for any available underlying. DFR does not guarantee the accuracy of any data.
C-VIX Intraday Crypto
Volatility Indexes
Historical Data – $9.99/Mo per ticker (partial months not pro-rated) capped at $995 for any order.
Daily Subscriptions
Any 1 Ticker – $19.99/Mo
All Tickers – $29.99/Mo
Our C-VIX intraday crypto volatility indexes utilize 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. Currently available currencies include Bitcoin (BTC) and Ether (ETH). Indices are quoted with (approximately) 10-minute granularity during NYSE-based trading hours.* Additionally, you may get a real-time view of current OHLC quotes in the C-VIX dashboard.
Available Tickers and Inception Dates*
BTC – 9/26/2022; ETH – 9/26/2022
* Minimum order of $100 for historical data. Due to modeling requirements related to market liquidity and depth, our inception dates may not coincide with the historical start date for any available contract/underlying. The granularity may at times exceed the stated rate due to market noise precluding the calculation of new quotes. DFR does not guarantee the accuracy of any data.
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