FAQ

Getting Started

How can I get a sample of data and/or a file layout?
I'd like a trial subscription to make sure the data works for me?
How do I purchase data?
How do I register on the Market Data Express site?
How do I log on to the Market Data Express site?
How do I select a data set?
How do I access the data file after paying on-line?
The file I have purchased is listed on the My Account | Recent Orders page, but appears with an hour-glass icon. What should I do?
How do I purchase data covering all securities?
How do I obtain data on a DVD?
How can I download data automatically on a daily basis covering all securities?

Price, Payments and Billing

What are the costs for purchasing CBOE options data?
What payment methods are available?
Do you provide discounts for small investors or academics?
I don't want to pay with a credit card. Is there any other way to pay?

My Account

I have forgotten my username and password. What do I do?
I lost my data purchase. How do I access the data I already paid for?

Data and Data Products

How far back is market data available for CBOE contracts?
What format are the data files in?
Where can I find a list of significant dates in the CBOE history, such as market closures due tospecial circumstances?
Why do Weekly Expiring options not have an expiration date for the actual week they expire?
What are Weeklies, and do all options have them?
What if I sign up for the daily update service and forget to download my data one day?
I subscribed to the Daily Updates, how soon would the data be available each day?
What happens if an underlying symbol is re-used over history?
Data is missing on June 11, 2004 but that was not a holiday or weekend. Why?
I'm only interested in Equity options. Can I get a download by product type?
Does this data include put/call ratios or implied volatility?
How do the categories of your open/close data differ from the study referenced in the NY Times on August 13, 2006?
On my Open/Close daily updates, why do I see dates from a previous day?
When I add up the volumes on the Open/Close file, why don't they match the total options volume for a given security?
I downloaded my data, and don't understand the headings.
Will you ever make this data available intra-day?
Can I get my Historical data via ftp rather than DVD?
When I look at the overview page, there are only 4 columns of customer business, but the file layout shows 12. Why is this?
When I look at the overview page, the closing price is included, but it is not on the file layout. Why is this?
Could you please explain why in certain circumstances, the Open Interest (OIT) number changes from day to day despite the fact that the volume does not?
Why for some classes does the volume on the OptSum file not always add up to what is published by the OCC (Options Clearing Corp)?
How can I calculate the closing price from the OptSum data?
I need a better understanding of options and have questions regarding put/call ratios and calculating the volatility of an option, etc.

Contact Us

Who can I contact about billing questions?
Who can I contact about any other questions, such as the data?

How can I get a sample of data and/or a file layout?

One-day sample of data and a file layout are available by selecting the “View Sample Data”, link, located in the Quick Links section on the bottom right hand corner of the Home page.

I'd like a trial subscription to make sure the data works for me?

Unfortunately, we do not offer trial subscriptions at this time.

How do I purchase data?

In order to purchase data you must be registered (see Register link at the top right corner of every page). Once you are logged on, select the desired data set (underlying instrument, data type and time period) and then provide on-line payment information using a credit card. You can also subscribe to a daily file service, providing you with access to the latest optsum and/or open-close data for all securities from an FTP server. Click on the Daily Updates tab to subscribe.

How do I register on the Market Data Express site?

Click here or on the Register link at the top right corner of every page.

How do I log on to the Market Data Express site?

Click here or on the Login link at the top right corner of every page.

How do I select a data set?

Go to the Data tab to search for the underlying instrument you are interested in. Select one or more underlying instruments from the search results via the check boxes on the right. Then select the desired data type (e.g. optsum) from the drop-down box below the search results. Click on the Overview button to see a one day data sample or click on the Download button to access the Download form. Important: You must be logged in to access the Download form.On the Download form select the time period for which you wish to receive data and the file format (comma or tab separated file). The purchase price for the selected data is displayed at the bottom of the Download form together with the Download button. Click on the Download button to proceed with the purchase. You will prompted to enter your credit card details. Once the transaction has been successfully completed, the data file will be generated off-line. This may take approximately an hour. A link to the file will appear on the My Account | Orders page.

How do I access the data file after paying on-line?

Once the transaction has been successfully completed, the data file will be generated off-line. This may take approximately an hour. When the data is available for access a link to the file will appear on the My Account | Recent Orders page.

The file I have purchased is listed on the My Account | Recent Orders page, but appears with an hour-glass icon. What should I do?

The hour glass icon means the file is being prepared off line, but is not yet ready yet for download. Once it is available for download, the hour glass will be replaced with a file link. The file generation may take approximately an hour, depending on how much data you've requested.

How do I purchase data covering all securities?

You can either (1) purchase historical data files on DVD or (2) subscribe to the Daily Update service which gives you access to one file per day covering all securities. Prices are shown on the Price List.

How do I obtain data on a DVD?

To request a DVD with historical data files covering all securities please go to the Data tab | Order DVD link, select the type of data and the years you are interested in and then click on the "Send Request" button. This will generate an automatic e-mail to Market Data Express with your request and user details. Important: You must be logged on in order for the DVD request e-mail to be generated. The Market Data Express team will send you the data DVDs and an invoice.

How can I download data automatically on a daily basis covering all securities?

The Daily Update service gives you access to a daily file (optsum or open-close) from an FTP server.To subscribe to this service please click on the Daily Updates tab. On the Daily Update page, select the type of data and number of months for which you wish to subscribe as well as the start date (e.g. the next day). Then click on the Subscribe button to provide on-line payment information by credit card. At the end of the process you will receive an e-mail confirming your subscription to the Daily Update service.

What are the costs for purchasing CBOE options data?

For price information click on Price List.

What payment methods are available?

Payment is usually undertaken on-line via credit card (Visa, MasterCard, Amex). In the case of historical DVDs payment is currently by invoice only.

Do you provide discounts for small investors or academics?

No, unfortunately we are only providing bulk purchase discounts.

I don't want to pay with a credit card. Is there any other way to pay?

Yes. Please send a request for invoice to Billing@MarketDataExpress.com. We will generate an invoice and our Accounting department will work with you regarding payment options, such as wire transfer, check, etc.

I have forgotten my username and password. What do I do?

Click here or on the Login link at the top right corner of every page. On the Login page click on the link next to "Forgot username or password". You will be prompted to enter your e-mail address. Please enter the e-mail address you provided at registration. You will receive an email with your username and password.

I lost my data purchase. How do I access the data I already paid for?

After the successful completion of the credit card transaction, the data file will be generated off-line. This may take approximately an hour. A link to the file will then appear on the My Account | Recent Orders page. If your order is not listed on the Recent Orders page it is likely that the credit card transaction was not completed successfully.If your order is listed on the Recent Order page but appears with an hour glass icon, then your file is in preparation and will be available soon.

How far back is market data available for CBOE contracts?

Market Data Express currently provides access to optsum and open-close data from 1990 onwards.

What format are the data files in?

The data files downloaded via the website are either in comma-separate csv files or tab separated text files. The Daily Update data files (covering all securities) and the historical files on DVDs are comma-separated csv files.For a list of fields and field names, click on Features or on File Formats.

Where can I find a list of significant dates in the CBOE history, such as market closures due tospecial circumstances?

Click here to view a list of significant CBOE dates. This page is also accessible from the Download form pages.

Why do Weekly Expiring options not have an expiration date for the actual week they expire?

The source database at the CBOE does not contain an explicit expiration date for weekly options. Instead, each weekly series will carry the standard expiration date for the given month.

What are Weeklies, and do all options have them?

Weekly’s were created by CBOE to provide investors with an efficient means to trade options around specific time periods or certain news or events -- such as economic data announcements. CBOE's one-week options are listed on a Friday and expire the following Friday, as opposed to traditional options which have a life of months or years. In October 2006, CBOE began trading weekly options on OEX & SPX, and on March 24th, 2006, CBOE began trading weekly options on XSP and XEO. In general, Weekly’s have the same contract specifications as standard options, except for the time to expiration, and offer the same continuous, two-sided quotes as standard options. SPX and XSP Weekly’s are European-style exercise with Friday A.M. settlement (last day of trading is Thursday). OEX and XEO Weekly’s are American-style exercise and European-style exercise, respectively, with Friday P.M. settlement (last day of trading is Friday).

What if I sign up for the daily update service and forget to download my data one day?

Daily updates typically remain on the server for approximately 30 days. If during that time and before your subscription period ends, you need to re-download the data, you are free to do so.

I subscribed to the Daily Updates, how soon would the data be available each day?

The data is typically available between 3:00 a.m. – 9:00 a.m. CST the day following trading. Best efforts are made to assure that these targets are met, but occasionally delays in clearing or processing the source files may delay processing past the 9:00 a.m. target.

What happens if an underlying symbol is re-used over history?

When you purchase the DVD’s or Daily Updates you will receive the underlying symbol as it was represented on the day traded. However, when you purchase data via the search feature of the website, it is possible you will get additional data related to a previously used symbol.

Data is missing on June 11, 2004 but that was not a holiday or weekend. Why?

June 11, 2004 was a day that the US stock and options exchanges did not trade due to President Reagan’s Funeral. This and other events with potential effect on trading can be found by clicking here or going to the “Event Dates”, on the download page.

I'm only interested in Equity options. Can I get a download by product type?

No, currently you can either select specific options via the download page or all CBOE options. However, when you receive, it is identified as either Equity or Index to aid in your processing.

Does this data include put/call ratios or implied volatility?

Not specifically, however these values can be calculated from the data.

How do the categories of your open/close data differ from the study referenced in the NY Times on August 13, 2006?

When CBOE originally provided data for the study you are referencing, it was broken into volume buckets of open-buy, open-sells, closing-buys, closing-sells, and then as you reference further subdivided by investor classes, such as institutional, retail, etc. To make this distinction, several assumptions where made. First, as there is not a way to definitively classify a firm’s business mix, they made a decision that firm #1 was an Institutional firm, and firm #2 was a Retail firm etc. These classifications were applied to the entire history of data, even if the business of the firm was mixed or changed over time. When the study was originally published a couple of years ago, we began to look for ways to provide this data that was more objective. Internally, we had begun to identify business by the original size of the order and the trade origin code. So for example, we typically consider Firm origin trades regardless of the order size as Institutional. Customer Origin trades with order sizes greater than 200 are commonly recognized also as institutional trades. Customer Origin trades with orders sizes of 1-100 are considered Retail. The 101-200 grouping of Customer trades are considered retail by some and institutional by others. For this reason the data available on Market Data Express is broken into the same open-buy, open-sell, closed-buy, closed-sell but is then subdivided by Customer <100, Customer 101-200, Customer >200 and Firm Orders.

On my Open/Close daily updates, why do I see dates from a previous day?

The Open/Close data is based on "Cleared" options volume rather than "Reported". The primary difference is that although the majority of trades clear (go thru a matching and validation process at the Options Clearing Corp - OCC) on the same day they trade, a small percentage of trades don't clear for several days and show up after the trade date being processed. We refer to these trades as "as-of trades". Each day a date range is selected to include all as-of trades. Then when the data is summarized on our end by trade date, the most recent occurrence will always have the correct volume, which would include these as-of trades. This method would be the easiest for a subscriber to daily updates who is utilizing database technology. They would be able to take in the feed every day, and in their database overwrite any duplicate entries with the newest most updated record. This method produces a larger file since all the records are duplicated, but it assures that all as-of volume is counted correctly

When I add up the volumes on the Open/Close file, why don't they match the total options volume for a given security?

The volume included in the Open/Close file does not include Market Maker trades, and is restricted to those records that have been tagged as an opening or closing position trade.

I downloaded my data, and don't understand the headings.

Click here to see the file format for your file that describes each heading.

Will you ever make this data available intra-day?

As this data is cleared data, it will not be available intra-day.

Can I get my Historical data via ftp rather than DVD?

For small orders this may be possible. Please contact Support@MarketDataExpress.com to initiate this request.

When I look at the overview page, there are only 4 columns of customer business, but the file layout shows 12. Why is this?

The overview page was designed just to give you an idea of the data included and does not include all columns provided. Please refer to the sample data to see all columns provided.

When I look at the overview page, the closing price is included, but it is not on the file layout. Why is this?

The closing price is provided to help you determine that you have selected the correct security. However, it can be calculated yourself from the OptSum data purchased.

Could you please explain why in certain circumstances, the Open Interest (OIT) number changes from day to day despite the fact that the volume does not?

The Open Interest reported in the Option Summary data is the Open Interest for the series calculated by OCC and includes all changes to Open Interest due to trading on all Options exchanges, not just CBOE. In addition, this number also includes changes in Open Interest due to exercised options.

Why for some classes does the volume on the OptSum file not always add up to what is published by the OCC (Options Clearing Corp)?

The data published by the OCC is cleared volume and also includes volume from other options exchanges. The OptSum data is reported rather than cleared volume and is restricted to CBOE volume at this time.

How can I calculate the closing price from the OptSum data?

The formula for calculating the close uses the last sale price as well as the last bid and ask price. Please send an email to Support@marketdataexpress.com for a more detailed description of this calculation.

I need a better understanding of options and have questions regarding put/call ratios and calculating the volatility of an option, etc.

Two valuable sources for general option information are the 1-800-OPTIONS hotline or read http://www.cboe.com/LearnCenter/pdf/understanding.pdf

Who can I contact about billing questions?

If you have questions about pricing, payment methods or any other questions about billing, please contact billing@marketdataexpress.com

Who can I contact about any other questions, such as the data?

If you have questions about the data or any other part of the Market Data Express services, please contact mailto:support@marketdataexpress.com