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Volatility & Options
Volatility and options data is the highest-leverage "signal" layer for our target futures. Every one of our equity-index contracts (ES/MES, NQ/MNQ, YM, RTY/M2K) has a directly corresponding Cboe volatility index (VIX, VXN, VXD, RVX) plus term-structure companions (VIX9D, VIX3M, VIX6M), vol-of-vol (VVIX), and tail-risk (SKEW) — all downloadable free as daily CSVs from Cboe's CDN. For the energy and metals legs (MCL/QM/BZ, 1OZ/QO, QI/SIC), Cboe publishes ETF-option-based proxies (OVX for crude via USO, GVZ for gold via GLD, VXSLV for silver via SLV), while CME's CVOL family (WTI = CLVL, Gold = GCVL, Silver = SIVL) measures implied volatility directly from options on the underlying futures — a cleaner read for futures traders than the ETF proxies.
The second pillar is options on futures themselves: ES/NQ options (including weeklies and end-of-month), Micro E-mini options (with new financially-settled Micro E-mini S&P 500 and Nasdaq-100 options announced June 2026), CL/MCL-adjacent WTI options, and GC/SI options. Chains, settlements, open interest, greeks, and IV surfaces from these markets feed regime detection, risk sizing, and signals like put/call ratios, skew, and dealer-positioning estimates. Raw chains come from CME feeds (Databento GLBX.MDP3, CME DataMine), while derived analytics come from CME's own Greeks & Implied Volatility service, QuikStrike (free), or third parties (SpiderRock, dxFeed, IVolatility, OptionMetrics IvyDB Futures).
Finally, listed equity-index options (SPX, VIX options) and VX futures are usable proxies and signal sources even though they trade on Cboe rather than CME: SPX options drive the VIX complex that leads ES volatility, VX term structure (free daily settlements from CFE back to 2004) is a classic risk-on/risk-off input, and Cboe's free daily put/call ratio statistics summarize positioning. Budget-tier vendors (ThetaData, Massive/ex-Polygon, Market Data App, optionsDX, HistoricalOptionData.com) make deep SPX/VIX/OPRA options history affordable, while institutional vendors (OptionMetrics, SpiderRock, Cboe DataShop/LiveVol, CME DataMine) cover audited surfaces and tick-level chains.
Free / official sources
Cboe Global Indices — free daily history CSVs (VIX family, RVX, VXN, VXD, OVX, GVZ, VXSLV, SKEW, VVIX)
| Field | Value |
|---|---|
| What it is | Free daily OHLC/close history CSVs for Cboe's volatility index family, downloadable without login from Cboe's CDN (index page) |
| Coverage | VIX (ES/MES proxy), VXN (NQ/MNQ), VXD (YM), RVX (RTY/M2K), VIX9D/VIX3M/VIX6M (term structure), VVIX (vol-of-vol), SKEW (tail risk), OVX (crude — proxy for MCL/QM/BZ via USO options), GVZ (gold — 1OZ/QO via GLD), VXSLV (silver — QI/SIC via SLV) |
| Granularity | Daily (OHLC for most; close-only for VVIX/SKEW/OVX/GVZ) |
| History depth | Verified live 2026-07-11 via CDN CSVs: VIX from 1990-01-02, SKEW from 1990-01-02, VXTLT from 2004, VVIX from 2006-03-06, VIX6M from 2008-01-02, VIX3M/OVX/GVZ from 2009-09-18, VXN from 2009-09-14, RVX from 2009-09-16, VIX9D from 2011-01-04, VXSLV from 2011-03-16 (pattern: https://cdn.cboe.com/api/global/us_indices/daily_prices/{SYMBOL}_History.csv, all returned HTTP 200) |
| Latency / updates | Updated daily after the close |
| Access method | Direct CSV download from CDN; e.g. VIX_History.csv; landing page here |
| Cost | Free (as of 2026-07-11) |
| Pricing page | https://www.cboe.com/tradable_products/vix/vix_historical_data/ |
| Licensing / redistribution | Personal/reference use; commercial redistribution and real-time values require a Cboe Global Indices license (DataShop notes CGI fees "start at $1k/month" — see Option EOD Summary page) |
| Reliability caveats | OVX/GVZ/VXSLV are computed from ETF options (USO/GLD/SLV), not futures options — beware roll/contango basis vs. futures vol; index methodologies revised over time (VIX 2003, 2014 changes) |
| Best for | Free backbone of the whole vol-signal layer: regime filters, term-structure slope, cross-asset vol features for every target market |
Cboe delayed quotes + option chain JSON API (undocumented CDN endpoints)
| Field | Value |
|---|---|
| What it is | Free, no-auth delayed JSON quote and full option-chain endpoints on Cboe's CDN used by cboe.com's own quote pages |
| Coverage | Cboe-listed indices and options: _VIX, _SPX etc.; VIX option chains with greeks; US equities/ETF options |
| Granularity | Snapshot quotes; full chain per underlying with bid/ask, IV, OI, volume, delta/gamma/vega/theta/rho, theo |
| History depth | None (current snapshot only) |
| Latency / updates | Delayed (15-min class); verified live 2026-07-11: quotes/_VIX.json returned live VIX level incl. iv30; options/_VIX.json returned full VIX chain with greeks (both HTTP 200) |
| Access method | REST (unauthenticated GET), JSON |
| Cost | Free (as of 2026-07-11) |
| Pricing page | https://cdn.cboe.com/api/global/delayed_quotes/quotes/_VIX.json |
| Licensing / redistribution | Undocumented/unofficial — no SLA, no license granted; do not redistribute |
| Reliability caveats | Unofficial endpoint; schema/paths can change without notice; delayed only; no historical retention (you must capture snapshots yourself) |
| Best for | Free intraday-ish VIX/SPX chain snapshots and greeks for prototyping signal pipelines before paying for OPRA data |
Cboe daily market statistics (put/call ratios)
| Field | Value |
|---|---|
| What it is | Cboe's free daily market statistics page: total/index/equity/ETP/VIX/SPX+SPXW put/call ratios plus volume and OI breakdowns (page) |
| Coverage | Cboe options markets — SPX/SPXW and VIX options stats are direct sentiment inputs for ES/NQ trading |
| Granularity | Daily summary |
| History depth | Archive selectable by date on page; full downloadable archive depth Unknown — verify |
| Latency / updates | EOD, published after each session |
| Access method | Web page (date-parameterized); scraping possible |
| Cost | Free (as of 2026-07-11) |
| Pricing page | https://www.cboe.com/us/options/market_statistics/daily/ |
| Licensing / redistribution | Reference use; redistribution rights Unknown — verify |
| Reliability caveats | Cboe-exchanges-only volume (not full OPRA consolidated); ratio definitions changed historically when weeklies grew |
| Best for | Free daily sentiment features (put/call family) without buying options data |
Cboe Futures Exchange (CFE) free VX historical data
| Field | Value |
|---|---|
| What it is | Free CFE market statistics: daily settlements, volume and open interest for VIX futures (historical data page) |
| Coverage | VX (VIX futures) and other CFE products — VX term structure is a core risk filter for ES/MES/NQ |
| Granularity | Daily (settlement, volume, OI per contract) |
| History depth | Back to 2004 per the page ("CFE Daily Volume and Open Interest by Product" dating to 2004, CSV) |
| Latency / updates | EOD |
| Access method | CSV downloads from cboe.com |
| Cost | Free (as of 2026-07-11); intraday/tick VX history is paid via Cboe DataShop |
| Pricing page | https://www.cboe.com/us/futures/market_statistics/historical_data/ |
| Licensing / redistribution | Reference use; redistribution Unknown — verify |
| Reliability caveats | Settlement-only granularity; contract symbology changes across years; roll logic left to the user |
| Best for | Free VX term-structure (contango/backwardation) features back to 2004 |
FRED (St. Louis Fed) volatility series
| Field | Value |
|---|---|
| What it is | Federal Reserve-hosted mirrors of Cboe daily vol indices with a clean, stable API (VIXCLS) |
| Coverage | VIXCLS (VIX), VXVCLS (VIX3M), OVXCLS (crude), GVZCLS (gold), VXNCLS (Nasdaq-100) — confirmed listed on the VIXCLS page/related series |
| Granularity | Daily close |
| History depth | Verified via fredgraph.csv as of 2026-07-11: VIXCLS from 1990-01-02 (matches Cboe source), VXNCLS from 2001-02-02, OVXCLS from 2007-05-10, VXVCLS from 2007-12-04, GVZCLS from 2008-06-03 — note OVX/GVZ/VIX3M go back further on FRED than Cboe's own CDN CSVs (which start 2009-09-18) |
| Latency / updates | Updated daily |
| Access method | Web, CSV download, free REST API (FRED API key) |
| Cost | Free (as of 2026-07-11) |
| Pricing page | https://fred.stlouisfed.org/series/VIXCLS |
| Licensing / redistribution | Cboe copyright — "Reprinted with permission"; redistribution restricted |
| Reliability caveats | Close-only (no OHLC); occasional missing days vs. Cboe source; discontinued series remain frozen |
| Best for | Programmatic daily vol-index pulls with a stable API instead of scraping Cboe |
CME Group CVOL Indexes (free visualizer; licensed data)
| Field | Value |
|---|---|
| What it is | CME's cross-asset implied-volatility index family computed from options on CME futures (product page, FAQ) |
| Coverage | 32 individual + 6 aggregate indices across Rates, FX, Agriculture, Energy, Metals per FAQ; WTI Crude = CLVL, Gold = GCVL, Silver = SIVL per CME client wiki; no equity-index CVOL listed on the wiki (ES vol coverage gap — verify) |
| Granularity | EOD benchmark + live streaming values every 15 seconds |
| History depth | "Up to nine years of history" per index via CME DataMine (per client wiki) |
| Latency / updates | Live streaming (15s) via MDP/GCP; EOD benchmark daily |
| Access method | Free view-only CVOL visualizer on cmegroup.com; CME DataMine downloads (registered users); REST/JSON EOD API; MDP feed; CME Direct |
| Cost | Visualizer free for view-only referential use (as of 2026-07-11); data licensing: Contact sales (CMEDataSales@cmegroup.com); DataMine EOD file cost Unknown — verify |
| Pricing page | https://www.cmegroup.com/market-data/cme-group-benchmark-administration/cme-group-volatility-indexes-faq.html |
| Licensing / redistribution | FAQ: visualizer "not for commercial purposes"; direct licensing options via CME Data Sales; vendor redistribution (Bloomberg/Refinitiv) still rolling out |
| Reliability caveats | Young benchmark (methodology from 2020s); ~9y max history; equity-index CVOL availability unclear — the wiki lists none, so ES vol must come from VIX instead |
| Best for | Futures-native implied vol for WTI (MCL/QM), Gold (1OZ/QO) and Silver (QI/SIC) — cleaner than ETF-based OVX/GVZ/VXSLV |
CME QuikStrike (free options analytics)
| Field | Value |
|---|---|
| What it is | Free web-based options analytics for CME markets: vol term structure, open-interest heatmaps, most-active strikes, strategy simulator, CoT views (tools page) |
| Coverage | All CME Group options: ES/NQ/YM/RTY options, WTI (LO), Brent, Gold (OG), Silver (SO), including weeklies/EOM |
| Granularity | Interactive analytics (settlement-based vol surfaces, intraday tools) |
| History depth | Varies by tool; not a bulk-download service |
| Latency / updates | Daily settlement-based plus some intraday tools |
| Access method | Web tools; free registration ("QuikStrike Essentials") |
| Cost | Free with registration (as of 2026-07-11) |
| Pricing page | https://www.cmegroup.com/tools-information/quikstrike.html |
| Licensing / redistribution | View/analysis only; no bulk export or redistribution |
| Reliability caveats | No API for systematic extraction; tool-by-tool coverage differences |
| Best for | Eyeballing CME options vol surfaces, skew, and OI positioning on exactly our target markets at zero cost |
CME Group website — settlements, volume/OI and options chains
| Field | Value |
|---|---|
| What it is | cmegroup.com product pages publish daily settlements, volume/open interest and options chain views for each contract (e.g. E-mini S&P 500) |
| Coverage | All target symbols: ES, MES, NQ, MNQ, YM, RTY, M2K, MCL, QM, BZ, 1OZ, QO, QI, SIC and their listed options |
| Granularity | Daily settlements; delayed quotes |
| History depth | Rolling recent window on-site; deeper history requires DataMine |
| Latency / updates | Settlements published daily; quotes 10-min delayed |
| Access method | Web pages; some views require free registration — verify per page |
| Cost | Free (as of 2026-07-11) |
| Pricing page | https://www.cmegroup.com/markets/equities/sp/e-mini-sandp500.html |
| Licensing / redistribution | Website terms of use; no redistribution |
| Reliability caveats | Scraping is brittle (page redesigns, bot blocking — cmegroup.com rejects plain curl); limited lookback |
| Best for | Manual verification of options settlements/OI; not a pipeline source |
Barchart.com free futures-options volatility & greeks pages
| Field | Value |
|---|---|
| What it is | Free web pages showing IV, IV skew and greeks for futures options, e.g. ES volatility & greeks |
| Coverage | CME futures options incl. ES, NQ (NQ page), CL, GC; note Barchart's former $VOLQ index history download pages return HTTP 404 as of 2026-07-11 (VOLQ index was terminated by Nasdaq 2023-09-29) |
| Granularity | Per-strike greeks/IV tables, contract-level IV |
| History depth | Page shows current values; historical downloads limited/metered by free account |
| Latency / updates | Futures data 10–15 min delayed per site footer |
| Access method | Web; free account for downloads; Barchart OnDemand APIs are a separate commercial product (Contact sales) |
| Cost | Free (delayed web views, as of 2026-07-11); Barchart Premier for bulk downloads: price Unknown — verify |
| Pricing page | https://www.barchart.com/futures/quotes/ES*0/volatility-greeks |
| Licensing / redistribution | Personal use; no redistribution |
| Reliability caveats | Barchart-computed greeks (methodology not fully documented); delayed; scraping against ToS |
| Best for | Free sanity-check of futures-options IV/skew on our exact CME symbols |
VIX Central (vixcentral.com)
| Field | Value |
|---|---|
| What it is | Free VX futures term-structure visualizer (current + historical curve by date; up to 20 dates overlaid) (site) |
| Coverage | VIX futures (VX) term structure |
| Granularity | Daily curves; intraday current curve |
| History depth | Historical curve lookup by date — depth Unknown — verify |
| Latency / updates | Intraday for current curve |
| Access method | Web only; no documented API |
| Cost | Free (as of 2026-07-11) |
| Pricing page | https://vixcentral.com/ |
| Licensing / redistribution | Hobby site; no license/redistribution rights |
| Reliability caveats | Single-maintainer site (fetched page presented as "VolChart.io" branding — verify continuity); no SLA; not a data feed |
| Best for | Quick visual read of VX contango/backwardation without building a pipeline |
Nasdaq VOLQ (Nasdaq-100 Volatility Index) — DISCONTINUED
| Field | Value |
|---|---|
| What it is | Nasdaq's 30-day implied-vol index for the Nasdaq-100, computed from at-the-money NDX options (Nasdaq page). Nasdaq terminated VOLQ (and its settlement companion VOLS), ceasing calculation and dissemination after the close of business on 2023-09-29 per Nasdaq Trader Financial Products News #2023-30 (verified as of 2026-07-11) |
| Coverage | Was Nasdaq-100 (NQ/MNQ signal); no values published since 2023-09-29 |
| Granularity | Frozen historical daily series only — no live or intraday values |
| History depth | Nasdaq historical page currently displays "Data is currently not available"; Nasdaq's own quote API is frozen at Oct 5, 2023; Yahoo ^VOLQ history page returns HTTP 404 (chart API frozen at Sep 2023); Barchart $VOLQ pages return HTTP 404 — all checked as of 2026-07-11 |
| Latency / updates | None — index terminated 2023-09-29 |
| Access method | N/A — legacy history only, if obtainable from Nasdaq Global Index Data Service |
| Cost | N/A — index discontinued (as of 2026-07-11) |
| Pricing page | https://www.nasdaq.com/market-activity/index/volq |
| Licensing / redistribution | Nasdaq index license (moot for live use) |
| Reliability caveats | Do not build on VOLQ: terminated 2023-09-29; ATM-only methodology also differed from VXN's full-curve variance approach — don't mix in one time series; use Cboe VXN for NQ/MNQ vol |
| Best for | Nothing going forward — at most historical NQ-vol studies through Sep 2023; use VXN instead |
Tradier brokerage API (ORATS-powered greeks, free with account)
| Field | Value |
|---|---|
| What it is | Brokerage REST API whose market-data endpoints include option chains with greeks/IV "courtesy of the ORATS APIs" (docs) |
| Coverage | US equity/ETF/index options (SPX, VIX options as ES/NQ proxies); no futures options |
| Granularity | Real-time quotes/chains; greeks updated hourly per docs |
| History depth | Limited historical endpoints (daily bars); not a bulk history source |
| Latency / updates | Real-time for brokerage account holders |
| Access method | REST API + streaming; sandbox has no greeks |
| Cost | Free with a Tradier Brokerage account (as of 2026-07-11); non-account holders get no real-time solution per docs |
| Pricing page | https://docs.tradier.com/docs/market-data |
| Licensing / redistribution | Personal account use; no redistribution |
| Reliability caveats | Greeks hourly (stale intra-hour); equity/index options only |
| Best for | Zero-cost live SPX/VIX chain + greeks feed if you open a brokerage account |
Commercial sources
Cboe DataShop (historical options & CFE files)
| Field | Value |
|---|---|
| What it is | Cboe's self-serve store for historical files: Option Trades, Option Quotes, Option EOD Summary, Open-Close volume, CFE Futures Trades (storefront) |
| Coverage | All OPRA-disseminated US options (SPX, VIX options key for us) + CFE futures (VX); not CME futures options |
| Granularity | Tick (trades/quotes), EOD summary with NBBO/OHLC/volume/VWAP/OI; optional "Calcs" add-on gives greeks + IV at 15:45 ET snapshot |
| History depth | Option EOD Summary from January 2012 to present (per product page) |
| Latency / updates | Daily file delivery for subscriptions; one-time historical orders |
| Access method | CSV via download/SFTP; cart-based ordering |
| Cost | Cart-priced per symbol/date-range — subtotal computed at checkout, no flat price list (re-fetched and re-verified as of 2026-07-11); index underlying bid/ask requires Cboe Global Indices license, "fees start at $1k/month" per product page |
| Pricing page | https://datashop.cboe.com/option-eod-summary |
| Licensing / redistribution | Internal use; redistribution licensed separately via DataShop terms |
| Reliability caveats | OPRA universe only; Calcs greeks are single daily snapshot (15:45 ET); costs balloon for full-universe tick orders |
| Best for | Authoritative SPX/VIX options history and VX tick data, purchased precisely for the symbols/dates needed |
Cboe All Access APIs (LiveVol APIs)
| Field | Value |
|---|---|
| What it is | Cboe's REST API suite (formerly LiveVol) for real-time + historical options data and analytics (product page) |
| Coverage | US options (OPRA), equities, index values; option midpoints/implied underlyings included; live OPRA/CTA/UTP/CSMi prices need SIP add-on subscriptions |
| Granularity | Quotes, trades, chains, greeks/IV calcs, intraday and historical endpoints |
| History depth | Historical option prices included; depth per endpoint Unknown — verify |
| Latency / updates | Real-time (with SIP subscriptions) or delayed |
| Access method | REST API, point-metered |
| Cost | Re-fetched and re-verified as of 2026-07-11 (live page): Free Trial 500 points/day ($0, 14 days, card required); Tier 3 $2,499/mo for 1.25M points (+$0.004/pt overage); Tier 4 $4,599/mo for 4M points (+$0.0025/pt); Tier 1/2 prices not shown on page |
| Pricing page | https://datashop.cboe.com/cboe-all-access-api |
| Licensing / redistribution | Redistribution license available for non-SIP data; SIP redistribution licensed from SIP providers separately |
| Reliability caveats | Point-metering makes heavy backtest pulls expensive; SIP fees stack on top of base price |
| Best for | Institutional-grade programmatic SPX/VIX options access straight from the exchange operator |
Cboe LiveVol Pro / LiveVol Core (platforms)
| Field | Value |
|---|---|
| What it is | Cboe's options analytics front-ends (charts, scans, vol surfaces, historical patterns) (pricing page) |
| Coverage | US options markets; index options incl. SPX/VIX |
| Granularity | Interactive analytics; not bulk data |
| History depth | Multi-year in-platform history; exact depth Unknown — verify |
| Latency / updates | Real-time (with data surcharges) |
| Access method | Web platform |
| Cost | Re-fetched and re-verified as of 2026-07-11 (live page): LiveVol Pro $420/mo per user month-to-month ($350/mo annual) for 1–4 users, sliding to $170/mo at 126+ users; LiveVol Core $105/mo or $1,050/yr; surcharges: Cboe Global Indices feed $14.95/mo live ($4.85 delayed), CME Data Package $130.10/mo |
| Pricing page | https://datashop.cboe.com/livevol-pro |
| Licensing / redistribution | Per-user platform license; display only |
| Reliability caveats | Analyst tool, not an API; CME data is an add-on surcharge |
| Best for | Discretionary vol analysis on SPX/VIX complex; the $130.10 CME add-on brings futures options into view |
CME DataMine (historical data store)
| Field | Value |
|---|---|
| What it is | CME's self-service historical data platform — settlements, MBO, PCAP, plus CVOL EOD benchmark files (product page) |
| Coverage | All CME/CBOT/NYMEX/COMEX futures and options on futures — every target symbol's options (ES/NQ weekly & EOM, LO, OG, SO) |
| Granularity | From daily settlements up to full MBO/packet captures |
| History depth | Varies by dataset; CVOL EOD up to ~9 years per client wiki |
| Latency / updates | T+1 file delivery |
| Access method | Data API, SFTP, S3, file browser |
| Cost | Contact sales / priced per dataset in platform (no public price list on page, as of 2026-07-11); contact CMEDataSales@cmegroup.com |
| Pricing page | https://www.cmegroup.com/market-data/datamine-historical-data.html |
| Licensing / redistribution | CME Information License Agreement; internal use; redistribution licensed separately |
| Reliability caveats | Per-dataset pricing opaque until you're in the platform; large raw files require your own parsing (MDP3/FIX) |
| Best for | Authoritative CME options-on-futures history (settlements, chains, OI) and licensed CVOL history |
CME Group Greeks and Implied Volatility service
| Field | Value |
|---|---|
| What it is | CME's own strike-level options analytics: delta/gamma/theta/vega/rho, IV, moneyness, DTE, computed on liquidity-filtered two-sided markets (product page) |
| Coverage | Options on "top 40 futures contracts" across 7 asset classes incl. Equities, Energy, Metals — expected to include ES/NQ/CL/GC options but per-product list not shown on page (verify) |
| Granularity | 5-minute snapshots (real-time REST) |
| History depth | 5 years historical via DataMine (CSV) per product page |
| Latency / updates | 5-min snapshot REST API (JSON); daily files via SFTP/S3/email |
| Access method | REST API, CME DataMine, CME Direct |
| Cost | Contact sales — pricing guide referenced on page but not public (as of 2026-07-11) |
| Pricing page | https://www.cmegroup.com/market-data/greeks-and-implied-volatility-data.html |
| Licensing / redistribution | CME market data license; internal use |
| Reliability caveats | Two-sided-market filter means sparse strikes drop out; only 5 years of history |
| Best for | Exchange-computed greeks/IV surfaces directly on our target futures options — no in-house vol model needed |
Databento (GLBX.MDP3 — CME futures & options)
| Field | Value |
|---|---|
| What it is | Usage-based market data API redistributing the full CME Globex MDP 3.0 feed, futures and options on futures (dataset page) |
| Coverage | All CME/CBOT/NYMEX/COMEX — ES/NQ/YM/RTY options, LO/OG/SO options, and all target futures; e.g. NQ options catalog entry |
| Granularity | MBO, MBP-1/10, TBBO, trades, OHLCV (1s–1d), definition, statistics (settlements, OI) — schema list verified in dataset page JSON-LD 2026-07-11 |
| History depth | 2010-06-06 to present (temporalCoverage in dataset page metadata, verified 2026-07-11) |
| Latency / updates | Real-time live gateway + historical API |
| Access method | Python/C++/Rust clients, REST, raw DBN files |
| Cost | As of 2026-07-11 (pricing page): pay-as-you-go per-GB historical; subscriptions Standard $179/mo, Plus $1,500/mo, Unlimited $4,000/mo; $125 free credit for new accounts (6-month validity) |
| Pricing page | https://databento.com/pricing |
| Licensing / redistribution | CME license fees passed through per plan; internal use; no greeks/IV (raw data only) |
| Reliability caveats | No derived analytics — you compute IV/greeks yourself; options MBO data volumes (and thus per-GB cost) are large for full chains |
| Best for | The cleanest raw source for CME options-on-futures chains, settlements and OI in one API alongside the futures themselves |
OptionMetrics IvyDB (US + Futures)
| Field | Value |
|---|---|
| What it is | Research-grade historical options database: prices, IVs, greeks, standardized/constant-maturity vol surfaces (data products) |
| Coverage | IvyDB US: all US equity & index options from January 1996; IvyDB Futures: US and EU futures options (prices, IV, greeks) — covers our CME options; also Europe/Asia/Canada |
| Granularity | Daily EOD |
| History depth | US from 1996; Futures product depth Unknown — verify |
| Latency / updates | Daily updates (institutional delivery) |
| Access method | Bulk files; academic access via WRDS |
| Cost | Contact sales (no public pricing, as of 2026-07-11); academic via institutional WRDS subscription |
| Pricing page | https://optionmetrics.com/data-products/ |
| Licensing / redistribution | Institutional license; no redistribution; survivorship-bias-free per vendor |
| Reliability caveats | EOD only; expensive for individuals; futures-options product less documented publicly than IvyDB US |
| Best for | Academic-quality IV surface history for backtests — the standard in published vol research |
ORATS (Option Research & Technology Services)
| Field | Value |
|---|---|
| What it is | Options data + analytics API: chains, 500+ indicators, smoothed IV surfaces (skew/kurtosis parameterization), earnings-aware vol metrics (Data API page) |
| Coverage | "All US equity options including stocks, ETFs, and indexes" (SPX/VIX options as ES/NQ proxies); no futures options |
| Granularity | EOD history + live/intraday chains depending on tier; one-minute snapshot products |
| History depth | 15+ years, back to 2007 (per Data API page) |
| Latency / updates | Delayed, live, or intraday by tier |
| Access method | REST API; flat-file history purchases |
| Cost | As of 2026-07-11 (live page): Delayed Data API $99/mo (20k req/mo); Live Data API $199/mo (100k req/mo); Live Intraday API $399/mo (1M req/mo); historical one-time bundles reported ~$2,000 for 2-min snapshots since 2015 (unverified — the cited third-party review no longer contains this figure as of 2026-07-11; it cites only $99–$299/mo subscription pricing) |
| Pricing page | https://orats.com/data-api |
| Licensing / redistribution | Single-user API license; no redistribution |
| Reliability caveats | No CME futures options; smoothed surface is proprietary (not raw NBBO IV) |
| Best for | Best-value parameterized IV surfaces and vol indicators on SPX/VIX/equity-index proxies |
IVolatility
| Field | Value |
|---|---|
| What it is | Long-running derivatives data vendor: EOD/intraday options data, IV surfaces, IV indexes, futures options (data download, Data Cloud API) |
| Coverage | US/global equity + index options and futures options (options prices NBBO and Raw IV for futures per download page) — covers CME targets |
| Granularity | EOD standard; intraday products available |
| History depth | EOD back to 2005, varying by market/region (per download page) |
| Latency / updates | Daily; API for live/analytics |
| Access method | Pay-per-use web download; REST API (quote-based) |
| Cost | As of 2026-07-11 (live page): retail pay-per-use per ticker·day — $0.20 underlying prices, $0.40 option prices (NBBO)/historical vol, $0.60 Raw IV / IV surface by moneyness / IV index (~70% below standard rates); API: Contact sales (custom quote); 7-day free trial on retail tariffs (unverified — no trial mention found on the live download page as of 2026-07-11) |
| Pricing page | https://www.ivolatility.com/data-download-intro/ |
| Licensing / redistribution | Internal use; institutional licensing for redistribution |
| Reliability caveats | Pay-per-use adds up quickly for wide universes; futures-options dataset granularity/history varies — verify per symbol |
| Best for | Cheapest à-la-carte futures-options IV history for a handful of CME symbols |
ThetaData
| Field | Value |
|---|---|
| What it is | Budget options/indices tick-data API aimed at retail quants (site, pricing) |
| Coverage | US options (OPRA), US stocks, indices ("SPX, VIX, RUT and over 1000 other indices"), interest rates; no CME futures options |
| Granularity | 1-min intervals (Value) to full tick/every NBBO quote (Standard/Pro); chain snapshots; trade streams |
| History depth | Options: 4 years (Value), 8 years (Standard), 12 years (Pro) per pricing page |
| Latency / updates | Real-time streaming + historical API |
| Access method | Local terminal (Java) + REST/WebSocket; Python client |
| Cost | As of 2026-07-11 (live page): Options Value $40/mo, Options Standard $80/mo, Options Pro $160/mo; free tier exists ("start with our free tier", homepage); Indices/Stocks tier prices are JS-rendered on the page — Unknown — verify |
| Pricing page | https://www.thetadata.net/pricing |
| Licensing / redistribution | Personal/non-pro terms on retail tiers; commercial licensing separate |
| Reliability caveats | Retail-oriented infra (terminal process); indices tier pricing not visible server-side; greeks computed client-side in some endpoints |
| Best for | Cheapest deep tick history for SPX/VIX options and index values for signal research |
Massive (formerly Polygon.io)
| Field | Value |
|---|---|
| What it is | Developer-first market data API; polygon.io now 301-redirects to massive.com (verified 2026-07-11); options, indices, futures products (pricing) |
| Coverage | US options (OPRA), indices (incl. VIX per indices product), stocks, currencies; futures API (CME) in beta — verify symbol coverage for our targets |
| Granularity | Trades/quotes/aggregates; chain snapshots with greeks + IV; websocket streaming on paid tiers |
| History depth | Options: ~5y (Starter), 10y (Developer), 20+y (Advanced) — from search summaries, verify on page (page is JS-rendered) |
| Latency / updates | 15-min delayed (Starter) to real-time (Advanced) |
| Access method | REST + WebSocket, client libraries |
| Cost | As of 2026-07-11 (extracted from live pricing-page payload): Options Basic $0, Starter $29/mo, Developer $79/mo, Advanced $199/mo; Indices Basic $0, Starter $49/mo, Advanced $99/mo; Futures Basic $0, Starter $29/mo, Developer $79/mo, Advanced $199/mo |
| Pricing page | https://massive.com/pricing |
| Licensing / redistribution | Individual license on self-serve plans; business licensing separate (business options) |
| Reliability caveats | Rebrand in progress (docs/URLs shifting); free tier rate-limited (5 calls/min per third-party summaries — verify); greeks only in snapshot endpoints |
| Best for | Cheap programmatic OPRA options + VIX-family index values with modern DX; futures beta worth watching |
Market Data App (marketdata.app)
| Field | Value |
|---|---|
| What it is | Low-cost REST/Sheets API for US stocks, options (chains, greeks, IV) and indices (pricing) |
| Coverage | US options (OPRA) with bid/ask, volume, OI, IV, full greeks; indices; no futures options |
| Granularity | Quotes, chains, candles; historical chains |
| History depth | Free: 1 year; Starter: 5 years; Trader and above: unlimited (per pricing page) |
| Latency / updates | Free: 24h delayed; Starter: 15-min delayed options; Trader+: real-time (non-pro) |
| Access method | REST API, Google Sheets add-on |
| Cost | As of 2026-07-11 (live page): Free Forever $0 (100 credits/day); Starter $12/mo annual ($30 monthly); Trader $30/mo annual ($75 monthly); Quant $125/mo; Prime $250/mo; Commercial custom (redistribution permitted) |
| Pricing page | https://www.marketdata.app/pricing/ |
| Licensing / redistribution | Redistribution only on Commercial plan |
| Reliability caveats | Credit metering (1 chain call can consume many credits); smaller vendor, verify data lineage |
| Best for | The cheapest real-time-ish SPX/VIX option chain + greeks API for prototyping |
HistoricalOptionData.com
| Field | Value |
|---|---|
| What it is | Flat-file EOD US options history store (site) |
| Coverage | US equity/ETF/index options (~5,840 underlyings); "ALL SPX since 1990" standalone product mentioned on site |
| Granularity | EOD (Level 1: prices/volume/OI; Level 2: + greeks & IV; Level 3: + IV surface/skew columns); separate 15-min intraday product |
| History depth | 2002–present (24-year packages) |
| Latency / updates | One-time downloads or annual subscription with daily updates |
| Access method | Bulk CSV download |
| Cost | As of 2026-07-11 (verified on live page): 24-yr full history L1 $1,150 / L2 $1,495 / L3 $2,035; 5-yr $615/$945/$1,415; 1-yr $230/$315; annual subscriptions $585/$615/$865 per year; intraday 15-min $1,815/yr |
| Pricing page | https://historicaloptiondata.com/ |
| Licensing / redistribution | Single-user; no redistribution |
| Reliability caveats | EOD snapshots only; vendor-computed greeks; symbol-mapping across 24 years left to buyer |
| Best for | One-time purchase of deep SPX/VIX/ETF options history for offline backtesting |
optionsDX
| Field | Value |
|---|---|
| What it is | Budget shop selling per-underlying historical option-chain files with greeks/IV (shop) |
| Coverage | SPX, VIX, SPY, QQQ, UVXY, SLV (silver proxy), single names, BTC (Deribit) |
| Granularity | Intraday snapshots "up to minutely intervals" plus EOD |
| History depth | Varies by product/variant — Unknown — verify per product page |
| Latency / updates | Historical packages; no live feed |
| Access method | File downloads (per-product purchase) |
| Cost | As of 2026-07-11 (live shop page): SPX chains $0.00–$50.00; VIX chains $0.00–$20.00; SPY $0.00–$50.00; QQQ/SLV/others $0.00–$20.00 ($0 variants = free samples/quarters) |
| Pricing page | https://www.optionsdx.com/shop/ |
| Licensing / redistribution | Personal use |
| Reliability caveats | Small vendor; QA/survivorship undocumented; per-variant contents differ |
| Best for | Nearly-free SPX/VIX/SLV chain history to bootstrap research before committing to a vendor |
SpiderRock Data & Analytics
| Field | Value |
|---|---|
| What it is | Institutional real-time and historical options analytics: NBBO implied-vol quotes, no-arbitrage fitted vol surfaces, greeks, marked-up prints — for US equities and options on futures (options analytics, historical surfaces) |
| Coverage | All US-listed options + CME futures options (normalized OPRA and CME per site) — covers ES/NQ/CL/GC options |
| Granularity | Live streaming analytics; archived surfaces at regular intervals; historical greeks/prices datasets |
| History depth | Unknown — verify (archives referenced, depth not stated publicly) |
| Latency / updates | Low-latency real-time feed (SpiderStream) |
| Access method | Streaming feed, API, historical file delivery |
| Cost | Contact sales (no public pricing, as of 2026-07-11) |
| Pricing page | https://spiderrock.net/data/options-analytics/ |
| Licensing / redistribution | Institutional license |
| Reliability caveats | Proprietary surface-fitting models; institutional pricing likely out of retail budget (unofficial) |
| Best for | Production-grade live futures-options vol surfaces if/when the project scales to institutional budget |
dxFeed (Devexperts)
| Field | Value |
|---|---|
| What it is | Market-data vendor with an options analytics engine (dxPrice): theoretical prices, greeks, IV, P/C ratios on real-time and historical feeds (options analytics, greeks & IV) |
| Coverage | OPRA + CME/CBOT/NYMEX/COMEX futures and futures options (CME feed page) — full target coverage (unverified — dxfeed.com returned HTTP 403 to all automated fetch attempts on 2026-07-11) |
| Granularity | Tick-level feeds; greeks/TheoPrice delivered real-time; historical APIs for raw data |
| History depth | Unknown — verify (tick history offered, depth per venue not public) |
| Latency / updates | Real-time, delayed, and on-demand historical |
| Access method | dxLink/streaming APIs, REST on-demand history |
| Cost | Contact sales (no public pricing, as of 2026-07-11); retail access resold via brokers/platforms (e.g. Optimus Futures) |
| Pricing page | https://dxfeed.com/data-analytics/options-analytics/ |
| Licensing / redistribution | Vendor agreement + exchange fees; redistribution negotiable |
| Reliability caveats | Greeks real-time only (no historical greeks archive unless contracted); sales-gated everything |
| Best for | One-vendor real-time greeks/IV across both OPRA and CME futures options |
CQG Data Factory
| Field | Value |
|---|---|
| What it is | Historical futures & futures-options data store from CQG (site, pricing model) |
| Coverage | Global futures incl. CME/NYMEX/COMEX; options data availability per commodity — verify per symbol |
| Granularity | EOD and intraday time & sales / bars (CQG page) |
| History depth | The live CQG page states only "decades of daily data and many years of intraday data, including tick and best bid/ask" (as of 2026-07-11); previously cited "20+ years EOD / 7+ years intraday" figures are not on the live page |
| Latency / updates | Historical orders; optional monthly update subscriptions |
| Access method | Web store, file delivery |
| Cost | Priced "per commodity, per calendar month" in store (per pricing page); totals computed in cart — no flat list (as of 2026-07-11) |
| Pricing page | https://www.cqgdatafactory.com/?page=pricing |
| Licensing / redistribution | Single-user historical license |
| Reliability caveats | Legacy storefront; options depth/coverage per market unclear until you're in the cart |
| Best for | Filling gaps in older futures-options settlement history for specific CME commodities |
Interactive Brokers market data subscriptions (cheap live access route)
| Field | Value |
|---|---|
| What it is | Brokerage market-data subscriptions usable through the TWS/Web API — real-time CME futures + options and OPRA at retail prices (pricing page) |
| Coverage | CME/CBOT/NYMEX/COMEX L1/L2 (all target futures + their options); OPRA (SPX/VIX options); CFE (VX futures); Cboe indices |
| Granularity | Real-time top-of-book/depth snapshots via API; IBKR computes option greeks/IV in TWS API |
| History depth | API historical bars limited (pacing rules); not a bulk history source |
| Latency / updates | Real-time streaming (subscription-gated) |
| Access method | TWS API / Client Portal API with funded brokerage account |
| Cost | As of 2026-07-11 (live page, non-pro monthly): CME Real-Time L1 $1.55 (each of CME/CBOT/NYMEX/COMEX L1 $1.55), L2 $12.10; pro bundle L1+L2 $145.00; CFE Enhanced L1 $4.50 (pro $12.00); OPRA Top of Book $1.50 (pro $20.00); Cboe Streaming Market Indexes $3.50 |
| Pricing page | https://www.interactivebrokers.com/en/pricing/market-data-pricing.php |
| Licensing / redistribution | Display/personal trading use only; storing/redistributing feed data violates subscriber agreement |
| Reliability caveats | Pacing limits and snapshot throttles; greeks are model outputs, not exchange values; requires brokerage account |
| Best for | ~$10/mo total for live VIX, VX, CME futures-options quotes while developing — unbeatable price for live coverage |
SpotGamma (dealer-positioning analytics — adjacent signal source)
| Field | Value |
|---|---|
| What it is | Options-positioning analytics service: SPX/ES gamma exposure levels, HIRO real-time hedging-flow indicator, vol dashboards (plans) |
| Coverage | SPX/SPY/ES complex, QQQ/NDX, 3,000+ tickers on higher tiers — signals map directly onto ES/NQ trading |
| Granularity | Daily levels + real-time HIRO stream |
| History depth | In-platform; bulk history not sold — Unknown — verify |
| Latency / updates | Real-time (HIRO) and daily notes |
| Access method | Web dashboards; HIRO API access reported on Alpha tier (unofficial, per support center) |
| Cost | As of 2026-07-11 (live page): Standard $89/mo ($67/mo annual); Essential $99/mo ($74/mo annual); Alpha $299/mo ($224/mo annual, $2,691/yr); Institutional from $1,999/mo |
| Pricing page | https://spotgamma.com/subscribe-to-spotgamma/ |
| Licensing / redistribution | Personal subscription; no redistribution |
| Reliability caveats | Model-based estimates of dealer positioning (assumptions contested); not raw data |
| Best for | Ready-made gamma/positioning features for ES/NQ without building an options pipeline first |
Nasdaq Data Link "OptionWorks" futures-options IV (OWF) — status check
| Field | Value |
|---|---|
| What it is | Formerly a Nasdaq Data Link (Quandl) database of futures-options implied-vol surfaces (ATM IV, risk reversals) for CME products, cited in academic work (example use) |
| Coverage | Historically CL, GC, ES and other CME options IV curves |
| Granularity | Daily IV curve parameters |
| History depth | Unknown — verify |
| Latency / updates | Appears discontinued: https://data.nasdaq.com/databases/OWF returned HTTP 404 on 2026-07-11 (checked via curl) |
| Access method | Was Nasdaq Data Link API — currently unavailable |
| Cost | N/A — page 404s (as of 2026-07-11) |
| Pricing page | https://data.nasdaq.com/databases/OWF |
| Licensing / redistribution | N/A |
| Reliability caveats | Listed here to save future researchers the dead end; the eSignal OptionWorks dashboard still documents the methodology |
| Best for | Nothing currently — historical citations only; verify whether the dataset resurfaced under another Nasdaq Data Link code |
Summary table
| Source | Free tier? | Entry cost | Best for |
|---|---|---|---|
| Cboe index history CSVs | Yes (fully free) | $0 | Daily VIX/VXN/RVX/VXD/OVX/GVZ/VXSLV history to 1990 |
| Cboe delayed-quote JSON | Yes (unofficial) | $0 | Free delayed VIX/SPX chains with greeks |
| Cboe daily P/C statistics | Yes | $0 | Put/call ratio sentiment features |
| CFE VX historical data | Yes | $0 | VX term structure back to 2004 |
| FRED vol series | Yes | $0 | API-stable daily vol index pulls |
| CME CVOL | View-only free | Contact sales for data | Futures-native WTI/gold/silver IV (CLVL/GCVL/SIVL) |
| CME QuikStrike | Yes (registration) | $0 | Free CME options vol/OI analytics |
| CME website settlements | Yes | $0 | Manual settlements/OI checks |
| Barchart vol & greeks pages | Yes (delayed) | $0 | Free ES/NQ/CL/GC options IV sanity checks |
| VIX Central | Yes | $0 | Visual VX curve monitoring |
| Nasdaq VOLQ | N/A — index terminated 2023-09-29 | N/A | Dead end — use Cboe VXN for NQ vol instead |
| Tradier API | With brokerage acct | $0 | Live SPX/VIX chains + ORATS greeks |
| Cboe DataShop files | No | Cart-priced per symbol/date | Authoritative SPX/VIX options + VX tick history |
| Cboe All Access API | 14-day trial (500 pts/day) | $2,499/mo (Tier 3) | Exchange-direct options API at scale |
| LiveVol Pro / Core | No | Core $105/mo; Pro $420/mo | Discretionary vol platform |
| CME DataMine | No | Per-dataset / contact sales | CME options-on-futures history, CVOL files |
| CME Greeks & IV service | No | Contact sales | Exchange-computed greeks/IV on target options |
| Databento GLBX.MDP3 | $125 intro credit | Usage-based; $179/mo Standard | Raw CME futures+options tick data since 2010 |
| OptionMetrics IvyDB | No (academic via WRDS) | Contact sales | Research-grade IV surfaces (US 1996+, futures product) |
| ORATS | No | $99/mo delayed API | Parameterized IV surfaces + 500 indicators (2007+) |
| IVolatility | 7-day trial (unverified) | Pay-per-use from $0.20/ticker·day | À-la-carte futures-options IV history |
| ThetaData | Yes | $40/mo options Value | Cheap deep tick history for SPX/VIX options |
| Massive (ex-Polygon) | Yes | $29/mo options Starter | Modern OPRA + indices + futures-beta API |
| Market Data App | Yes (100 credits/day) | $12/mo (annual Starter) | Cheapest chains+greeks REST API |
| HistoricalOptionData.com | No | $230 (1-yr L1) | One-time bulk EOD options history 2002+ |
| optionsDX | Free samples | $0–$50 per package | Nearly-free SPX/VIX chain files |
| SpiderRock | No | Contact sales | Institutional live futures-options surfaces |
| dxFeed | No | Contact sales | Real-time greeks across OPRA + CME |
| CQG Data Factory | No | Per commodity-month | Legacy futures-options settlement history |
| IBKR data subscriptions | No | ~$1.55–$12.10/mo per feed | Cheapest live CME/OPRA/CFE quotes for development |
| SpotGamma | No | $89/mo (Standard) | Ready-made ES/NQ gamma-positioning signals |
| Nasdaq Data Link OWF | N/A | N/A (404) | Dead end — do not budget for it |