Futures Options History
Secure Your Competitive Edge With Access to Extensive Historical Futures Options Data. Delivered over API or through file services.
Exclusive Data
Options on futures data includes EOD prices and Greeks, plus aggregate stats at the underlying options expiration level, implied volatility indices and aggregate stats at the root level.
Reliable
Barchart’s historical data is created from our real-time data feeds, ensuring users that our data meets the highest standards of accuracy.
Flexible Delivery
Historical Futures Options Data is available through multiple delivery methods, including API or file-based delivery.
Extensive Coverage
Coverage extends back to the early 2000s for futures options history data from CME Group, ICE, Euronext, Eurex and other futures exchanges.
Futures Options History
Access options on futures data via API or through file services. Historical futures options data provides portfolio managers, research analysts, risk managers, institutional investors, and academic researchers with the data they need to evaluate risk and enhance their research, trading, and analysis capabilities.
| Parameter | Description | Data Type | Data Level |
|---|---|---|---|
| root | Option root symbol | string | Options Data/Aggregate Stats |
| date | Data as of date | date | Options Data/Aggregate Stats |
| lastupdate | Last update timestamp for the data | datetime | Options Data/Aggregate Stats |
| underlyingFuture | Underlying futures contract symbol | string | Options Data/Aggregate Stats |
| expirationDate | Option expiration date | date | Options Data/Aggregate Stats |
| optionType | Option type (monthly, weekly, etc.) | string | Options Data/Aggregate Stats |
| symbol | Barchart option contract symbol | string | Options Data |
| strike | Option strike price | float | Options Data |
| type | Option type (Calls or Puts) | string | Options Data |
| open | Opening price for the option | float | Options Data |
| high | Highest price for the option | float | Options Data |
| low | Lowest price for the option | float | Options Data |
| settle | Settlement price for the option | float | Options Data |
| volume | Trading volume for the option | integer | Options Data |
| oi | Open interest for the option | integer | Options Data |
| volatility | Implied volatility for the option | float | Options Data |
| theoretical | Theoretical option price | float | Options Data |
| delta | Option delta | float | Options Data |
| gamma | Option gamma | float | Options Data |
| theta | Option theta | float | Options Data |
| vega | Option vega | float | Options Data |
| rho | Option rho | float | Options Data |
| underlying | Underlying asset price | float | Options Data |
| rates | Interest rates | float | Options Data |
| daystoexp | Days to expiration | integer | Options Data |
| callsVolume | Total trading volume of call options | integer | Aggregate Stats |
| callsOpenInterest | Total open interest of call options | integer | Aggregate Stats |
| callsWeightedImpVol | Weighted implied volatility calculated using Near-The-Money call options | float | Aggregate Stats |
| putsVolume | Total trading volume of put options | integer | Aggregate Stats |
| putsOpenInterest | Total open interest of put options | integer | Aggregate Stats |
| putsWeightedImpVol | Weighted implied volatility calculated using Near-The-Money put options | float | Aggregate Stats |
| weightedImpVol | Weighted implied volatility calculated using Near-The-Money put and call options | float | Aggregate Stats |
| 7DayImpVol | Composite implied volatility index for Near-The-Money options expiring at 7-day maturity | float | Aggregate Stats |
| 14DayImpVol | Composite implied volatility index for Near-The-Money options expiring at 14-day maturity | float | Aggregate Stats |
| 30DayImpVol | Composite implied volatility index for Near-The-Money options expiring at 30-day maturity | float | Aggregate Stats |
| 60DayImpVol | Composite implied volatility index for Near-The-Money options expiring at 60-day maturity | float | Aggregate Stats |
| 90DayImpVol | Composite implied volatility index for Near-The-Money options expiring at 90-day maturity | float | Aggregate Stats |
| 180DayImpVol | Composite implied volatility index for Near-The-Money options expiring at 180-day maturity | float | Aggregate Stats |
| 360DayImpVol | Composite implied volatility index for Near-The-Money options expiring at 360-day maturity | float | Aggregate Stats |
Make Better Decisions With Better Historical Data
- Estimate potential returns on investments and trading strategies
- Make more informed decisions about when to enter and exit positions
- Gain insight into the forces driving the financial markets
- Speculate on market direction and hedge against price fluctuations
Futures Options History FAQ
Options on futures are contracts that gives the holder the right, but not the obligation, to buy or sell a particular underlying futures contract at a predetermined (strike) price on or before their expiration.
We have global coverage from most global futures exchanges. Check out our options data catalog for more details.
We employ the Black 76 model for calculating all option types except for spread options, for spread options we utilize the Bachelier model. Regarding the risk-free rate, we refer to the US Treasuries Yield and the Canada Bank Rate. Our process involves using the settlement prices of options and their corresponding underlying futures, combined with the aforementioned models and rates, to determine the implied volatility and the greeks.
End-of-day (EOD) data provides complete market information including price, OIV, greeks, volatility, and metadata to users. Full data provides EOD data plus aggregate stats at the underlying options expiration level, implied volatility indices and aggregate stats at the root level. Check out the sample data.
In addition to the EOD prices and greeks at options instrument level we provide aggregate stats at the underlying options expiration level and implied volatility indices and aggregate stats at the root level. Check out the full sample data file to learn more.
In both cases, the weights are determined by considering the relative distance of the underlying security price from the two nearest strike prices, ensuring that the weighted average reflects the influence of both options. Aggregated stats are also calculated at the root level. Similarly, cvol, coi, cwiv, pvol, poi, pwiv, wiv are calculated by aggregating all option expirations.
IV Index is a measure of future root's implied volatility levels of “virtual” options expiring at constant maturities(7, 14, 30, 60, 90, 180, and 360 days). We calculate three sets of IV Indexes: IV Index, IV Call Index, and IV Put Index.
Simply speaking, IV Index is composite volatility for a root by aggregating option implied volatilities. It is a weighted average of the implied volatilities of Near-The-Money options (includes both calls and puts ) that straddle constant maturities(30, 60,… days). For example, IV30, IV60, …
The IV index calculation for Futures Options is linear weighted by distance of the two nearest active expirations from the constant maturity.
For example, for 30 days IV index, we choose the furthest active expiration that is prior to 30 days, and the closest active expiration that is after 30 days. Then we implement linear weight on the wiv(weighted ATM IV) of those two active expirations to calculate the IV30 index.
We have deep historical coverage with the earliest data available from the 2000s. The extent of historical data availability varies based on the exchange. Learn more about the historical coverage here.
Settlement prices are released at 4:30 pm CST for markets below:
- European and Asian Futures Options
- North American Agriculture Futures Options
Settlement prices are released at 7:00 pm CST for markets below:
- North American Energy, Financials, Metals and Equities Futures Options
Final update for the trading date is released 8:30 pm CST for all exchanges except EUREX and 10:30 pm CST for EUREX.
Data can be accessed via API or delivered as flat files. Checkout the API details to learn more.
Yes, sample data or a trial can be made available for qualified users. Please reach out to solutions@barchart.com to learn more.
Simply reach out to us at solutions@barchart.com. We would love to understand your use case and find the perfect solution to benefit your business. We're always ready to assist you!
