Versions Compared

Old Version 2

changes.mady.by.user CME Group

Saved on

compared with

New Version Current

changes.mady.by.user CME Group

Saved on

Key

  • This line was added.
  • This line was removed.
  • Formatting was changed.

This page describes CVOL Intraday Values data available from CME DataMine.

The CVOL Intraday Values files contain the aggregated intraday tick-data for CVOL indices and are compiled on an end of day basis allowing users to consume and store the intra-day index levels of the Live Streaming CVOL.   

The Live Streaming CVOLs are derived from the world’s most actively traded options on futures contracts across major asset classes and are calculated every 15 seconds (during the calculation windows) for the respective Live Streaming CVOL together with the associated derivative indicators. The Live Streaming CVOLs deliver the first-ever cross-asset class family of implied volatility indexes based on simple variance. Using our proprietary simple variance methodology that assigns equal weighting to strikes across the entire implied volatility curve, the the Live Streaming CVOL produces a more representative measure of the market’s expectation of 30-day forward risk, calculated every 15 seconds.

Contents

Table of Contents
maxLevel4
excludeContents

Other Datasets

Child pages (Children Display)
pageCME DataMine Datasets

Resources

Products Available

The set of CVOL Live Streaming index products are:

CVOL IndexCVOL CodeAsset Class
G5 FX CVOL IndexFXVLFX
EUR/USD CVOL IndexEUVLFX
GBP/USD CVOL IndexGBVLFX
JPY/USD CVOL IndexJPVLFX
AUD/USD CVOL IndexADVLFX
CAD/USD CVOL IndexCAVLFX
Treasury Price CVOL IndexTPVLInterest Rate
Treasury Yield CVOL IndexTVLInterest Rate
2-Year Treasury CVOL Index (Price Volatility)TUVLInterest Rate
2-Year Treasury CVOL Index (Yield Volatility)TUVYInterest Rate
5-Year Treasury CVOL Index (Price Volatility)FVVLInterest Rate
5-Year Treasury CVOL Index (Yield Volatility)FVVYInterest Rate
10-Year T-Note Futures (Price Volatility)TYVLInterest Rate
10-Year T-Note Futures (Yield Volatility)TYVYInterest Rate

30-Year Treasury CVOL Index (Price Volatility)

USVLInterest Rate

30-Year Treasury CVOL Index (Yield Volatility)

USVYInterest Rate

Eurodollar CVOL Index

GEVLInterest Rate

Eurodollar 1Y Mid-Curve CVOL Index

G1VLInterest Rate

Eurodollar 2Y Mid-Curve CVOL Index

G2VLInterest Rate

SOFR CVOL Index

SRVLInterest Rate

SOFR 1Y Mid-Curve CVOL Index

S1VLInterest Rate

SOFR 2Y Mid-Curve CVOL Index

S2VLInterest Rate
Metals CVOL IndexMVLMetals

Silver CVOL Index

SIVLMetals

Gold CVOL Index

GCVLMetals

Copper CVOL Index

HGVLMetals

Aluminum CVOL Index

ALVLMetals

Platinum CVOL Index

POVLMetals

Energy CVOL Index

EVLEnergy

WTI Crude Oil CVOL Index

CLVLEnergy

Henry Hub Natural Gas CVOL Index

NGVLEnergy

RBOB Gasoline CVOL Index

RBVLEnergy

NY Harbor ULSD CVOL Index

HOVLEnergy

Agriculture CVOL Index

AVLAgs

Wheat CVOL Index

WVLAgs

Corn CVOL Index

CVLAgs

Soybean CVOL Index

SVLAgs

Soybean Oil CVOL Index

SOVLAgs

Soybean Meal CVOL Index

SMVLAgs

Lean Hogs CVOL Index

HEVLAgs

Live Cattle CVOL Index

LEVLAgs
Class III Milk CVOL IndexDCVLAgs
Feeder Cattle CVOL IndexGFVLAgs

Commodity CVOL Index

CMVLMetals, Energy, Ags

**CVOL indexes will also be coming soon for other CME Group benchmark products.

Dates Available

CVOL Intraday Values files start on August 8, 2022 until present day.

[Top]

Sample Files

DatasetSample File
CLVL (WTI)01/11/2023
TVL (Treasury Broad Based)01/11/2023

[Top]

Layout Guides

Expand
titleCVOL Intraday Values CSV file format
EXTRACT NAME DESCRIPTIONEXAMPLENOTES
Trade Date/Time (UTC)Time of the calculation03/01/23 07:05:00
Product SymbolCVOL SymbolCLVL
Value TypeSpecifies the calculation type usedRealTime = standard live streaming calculation
ReprintPrev = reprint of previous value
PrelimDaily = calculation based on preliminary settlements
FinalDaily = end of day CVOL value		 
Index ValueCVOL Level44.342
UpVarUpVar Value44.1608
DownVarDownVar Value44.5224
SkewSkew Value-0.3615
ATMAt the money Value42.7993
ConvexityConvexity Value1.036
Session HighIf the CVOL value for this timestamp is the current high for the day, the value will be printed here44.342
Session LowIf the CVOL value for this timestamp is the current low for the day, the value will be printed here44.342
Underlying ProductsTicker for futures used in the calculationCL
Index PctWeighting of the components of the CVOL (relevant for Broad Based)1Effective with files from Nov 4, 2024 and going forward, based on the order of the data in the Underlying Products cell, the data in this cell will reflect that same ordering. In the event a value is not present it will be represented as a null or non value by displaying back to back commas. For example - W,X,,Z
Front Options SeriesFront Options Contracts used in calculationLOG3Effective with files from Nov 4, 2024 and going forward, based on the order of the data in the Underlying Products cell, the data in this cell will reflect that same ordering. In the event a value is not present it will be represented as a null or non value by displaying back to back commas. For example - W,X,,Z
Back Options SeriesBack Options Contracts used in calculationLOH3Effective with files from Nov 4, 2024 and going forward, based on the order of the data in the Underlying Products cell, the data in this cell will reflect that same ordering. In the event a value is not present it will be represented as a null or non value by displaying back to back commas. For example - W,X,,Z
Target ExpiryTime Horizon for CVOL calculation. Determined by Tenor Selection Classification30Effective with files from Nov 4, 2024 and going forward, based on the order of the data in the Underlying Products cell, the data in this cell will reflect that same ordering. In the event a value is not present it will be represented as a null or non value by displaying back to back commas. For example - W,X,,Z

[Top]

FAQ

Expand
titleCVOL Intraday Values Format

How is data calculated?

Live Streaming CVOL is calculated every 15 seconds by Bantix Quikstrike in accordance with CBA’s Published Live Streaming Index Calculation Guide.

What format is the file delivered in?

Data is provided in .csv format.

Are files compressed?

No

Expand
titleCVOL Intraday Values Availability

How many files are available per day?

There are 44 total files available daily:

  • 10 x Ags
  • 5 x Energy
  • 6 x FX
  • 16 x Interest Rate
  • 6 x Metals
  • 1 x Commodity Volatility Index

How far back do you maintain these records?

The CVOL Intraday Value data offering goes back to August 8, 2022.

Are there any dates for which files cannot be produced?

N/A

Do you have sample files available?

Yes, see the Sample Files section above.

Expand
titleCVOL Intraday Values Delivery

When are these files delivered?

Files are available daily (1 file / day).

What time will the files be delivered (Daily, Monthly + Time of Day + Day of week)?

Approximately 8:00 PM (Central Time) each CME Group business day.

Expand
titleCVOL Intraday Values Interpretation

How large are the average daily files?

Daily files average 200KB – 600KB

Where can I find collateral on how to understand this data?

Live-streaming Index Calculation Guide

CME Group Volatility Index (CVOL)

Is there a certain process I must follow to be able to use the data?

Licensing process must be completed, and appropriate fees applied.

Expand
titleCVOL Intraday Values Support

CME Group provides a number of customer service teams to assist DataMine users, including Technical support.

[Top]