CVOL Intraday Values

Owned by
CME Group
Apr 26, 2024
3 min read

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

EXTRACT NAME

 DESCRIPTION

EXAMPLE

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

Front Options Series

Front Options Contracts used in calculation

LOG3

Back Options Series

Back Options Contracts used in calculation

LOH3

Target Expiry

Time Horizon for CVOL calculation. Determined by Tenor Selection Classification

30

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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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