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.

Products Available

The set of CVOL Live Streaming index products are:

CVOL Index	CVOL Code	Asset Class

CVOL Index	CVOL Code	Asset Class
G5 FX CVOL Index	FXVL	FX
EUR/USD CVOL Index	EUVL	FX
GBP/USD CVOL Index	GBVL	FX
JPY/USD CVOL Index	JPVL	FX
AUD/USD CVOL Index	ADVL	FX
CAD/USD CVOL Index	CAVL	FX
Treasury Price CVOL Index	TPVL	Interest Rate
Treasury Yield CVOL Index	TVL	Interest Rate
2-Year Treasury CVOL Index (Price Volatility)	TUVL	Interest Rate
2-Year Treasury CVOL Index (Yield Volatility)	TUVY	Interest Rate
5-Year Treasury CVOL Index (Price Volatility)	FVVL	Interest Rate
5-Year Treasury CVOL Index (Yield Volatility)	FVVY	Interest Rate
10-Year T-Note Futures (Price Volatility)	TYVL	Interest Rate
10-Year T-Note Futures (Yield Volatility)	TYVY	Interest Rate
30-Year Treasury CVOL Index (Price Volatility)	USVL	Interest Rate
30-Year Treasury CVOL Index (Yield Volatility)	USVY	Interest Rate
Eurodollar CVOL Index	GEVL	Interest Rate
Eurodollar 1Y Mid-Curve CVOL Index	G1VL	Interest Rate
Eurodollar 2Y Mid-Curve CVOL Index	G2VL	Interest Rate
SOFR CVOL Index	SRVL	Interest Rate
SOFR 1Y Mid-Curve CVOL Index	S1VL	Interest Rate
SOFR 2Y Mid-Curve CVOL Index	S2VL	Interest Rate
Metals CVOL Index	MVL	Metals
Silver CVOL Index	SIVL	Metals
Gold CVOL Index	GCVL	Metals
Copper CVOL Index	HGVL	Metals
Aluminum CVOL Index	ALVL	Metals
Platinum CVOL Index	POVL	Metals
Energy CVOL Index	EVL	Energy
WTI Crude Oil CVOL Index	CLVL	Energy
Henry Hub Natural Gas CVOL Index	NGVL	Energy
RBOB Gasoline CVOL Index	RBVL	Energy
NY Harbor ULSD CVOL Index	HOVL	Energy
Agriculture CVOL Index	AVL	Ags
Wheat CVOL Index	WVL	Ags
Corn CVOL Index	CVL	Ags
Soybean CVOL Index	SVL	Ags
Soybean Oil CVOL Index	SOVL	Ags
Soybean Meal CVOL Index	SMVL	Ags
Lean Hogs CVOL Index	HEVL	Ags
Live Cattle CVOL Index	LEVL	Ags
Class III Milk CVOL Index	DCVL	Ags
Feeder Cattle CVOL Index	GFVL	Ags
Commodity CVOL Index	CMVL	Metals, 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.

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Sample Files

Dataset	Sample File

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

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Layout Guides

EXTRACT NAME	DESCRIPTION	EXAMPLE	NOTES

EXTRACT NAME	DESCRIPTION	EXAMPLE	NOTES
Trade Date/Time (UTC)	Time of the calculation	03/01/23 07:05:00
Product Symbol	CVOL Symbol	CLVL
Value Type	Specifies the calculation type used	RealTime = standard live streaming calculation ReprintPrev = reprint of previous value PrelimDaily = calculation based on preliminary settlements FinalDaily = end of day CVOL value
Index Value	CVOL Level	44.342
UpVar	UpVar Value	44.1608
DownVar	DownVar Value	44.5224
Skew	Skew Value	-0.3615
ATM	At the money Value	42.7993
Convexity	Convexity Value	1.036
Session High	If the CVOL value for this timestamp is the current high for the day, the value will be printed here	44.342
Session Low	If the CVOL value for this timestamp is the current low for the day, the value will be printed here	44.342
Underlying Products	Ticker for futures used in the calculation	CL
Index Pct	Weighting of the components of the CVOL (relevant for Broad Based)	1	Effective 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 Series	Front Options Contracts used in calculation	LOG3	Effective 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 Series	Back Options Contracts used in calculation	LOH3	Effective 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 Expiry	Time Horizon for CVOL calculation. Determined by Tenor Selection Classification	30	Effective 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

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FAQ

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

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.

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.

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.

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CME Group Client Systems Wiki

CVOL Intraday Values

Contents

Products Available

Dates Available

Sample Files

Layout Guides

FAQ