End of Market Summary - Standard

Fields with an * in the “Field Availability” column are only available post-November 1st, 2010.

Does End-of-Day include both floor and CME Globex prices?

Yes, both venues are included in the dataset. They cannot be delivered separately.

Do you have a list of End-of-Day product availability?

Yes. View product availability.

Do you have sample files available?

Sample files can be found here.

What is the historical product availability for implied volatility data?

CME Products - February 1987

CBOT Products - July 2008

NYMEX Products - November 2009

COMEX Products - November 2009

Why are some expiries and/or strikes missing settlements?

We do not currently provide settlements for expiries or option strikes that have not traded that day and do not have open interest.

What format is the file delivered in?

End–of-day is delivered in .CSV format.

What should I expect for the file name?

EOD files delivered via subscription service adhere to the following naming convention:

[DATA TYPE]_[TRADE DATE]_[SUFFIX]. Example: EOD_20120921_P.zip

• Data Type:
• Data Type will be EOD if your product set does not include all products on the exchange level.
• Data type will be EODE if your product set includes all products for an exchange.
• Trade Date:
• The date in the file name matches the trade date associated with the data in the file.
• The date in the file name is in YYYYMMDD format.
• Suffix:
• E is associated with the earliest file that is sent. This file contains settlement data only.
• P is associated with the preliminary file that is sent at the end of the trade date.
• F is associated with the final file sent the morning of the next trade date.

What time are these files delivered?

E-files will arrive at approximately 5:30 p.m. CT. P files will arrive at approximately 9:30 p.m. CT. F files will arrive at approximately 9:30 a.m. CT the next trade date.

How are these files delivered?

EOD files are delivered via API transfer.

How many files will I receive for a given trade date?

You can receive one to three files for a given trade date.

Why do you deliver all of the products again, and not just those with adjusted open interest?

After the process to update open interest, all of the values can be considered final. By delivering all of the information in a single file, the user can decide whether to take the P file and then update it if an F file is received, or to only consume the P file.

What are E, P, and F files?

E files are the earliest file  sent. This file contains settlement data only. P files are the preliminary file that is sent at the end of the trade date. F files are the final file sent the morning of the next trade date.

Will I always get a P file?

You will always receive a P File for subscription files. One-time orders will only receive the F file, not a P file.

Why did I only receive a P file?

If none of the contracts in your product set had adjusted open interest, then you will only receive a P file. However, in the case where a product has no adjusted open interest, only an E file will be delivered rather than a P file.

Why do I receive F files some days, but not others?

You will only receive an F file if a contract in your product set had adjusted open interest.

Will I always get an F file?

No. F files are only delivered if the open interest of one or more contracts in your product set was adjusted. If no adjustment was made, only a P file will be delivered.

If the open interest can be adjusted, can any of the other values be adjusted as well?

No. All values in the P file with the exception of open interest are final for that trade date. Only the open interest could be updated the next morning.

How do I know if there was adjusted open interest?

Adjusted open interest will be indicated by the presence of a file with an F in the naming convention. When there is no adjustment to open interest, there will be no F file.

What are all these new volumes?

Further definition can be found in the CME Glossary.

Why is underlying product code populated with 0s?

This is a known issue that the team is working to resolve.

Is the volatility calculated by yield or price?

Price

What is the interest rate used in the calculation?

Zero interest rate, but TIPS is looking to change that.

How does SPAN work in relation to implied volatility?

SPAN uses them for Risk Array and composite delta calculations

Is the implied volatility calculated from the intra-day price movement or the settlement price?

Volatility is based on the preliminary settlement price.

Are the implied volatility numbers fractional or percentages? (i.e. 0.4792 or 47.92%)

Fractional

Which volatility models are used and do they differ by product and/or asset class?

Black-Scholes and Bachelier. All of our settlements and volatilities come from the Goblin system to TIPS which is done using the Whaley model. However, the actual theoretical pricing and greek calculations are done using the Black-Scholes and Bachelier models.

Are zero values possible or valid depending on the model used?

They are not valid or possible. Any zero value in the data would be missing due to legacy data issues.

How is the time to maturity input computed for the Black-Scholes implied volatility calculations?

Time to maturity is the time between current date and last trade date of an option.

What are the formulas for the Implied Volatility calculations?

CME Group will not release formulas as they view that information as proprietary.