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A block trade is a privately negotiated futures, options, or combination transaction permitted to be executed apart from the public auction market. This dataset offers historical futures and options block trades for CME, CBOT, NYMEX, and COMEX products. CME ClearPort and Open Outcry block trades are also included in this dataset.

Historical Block Trade data consists of: 

  • The type of spread that has been executed
  • The second trade price and quantity (when applicable)
  • Detailed data for each leg of traded spreads
  • Execution and call times – all in an easy-to-use format

Dates Available

Blocks historical data is available in Comma Separated Value (CSV) file format from as early as 2008 as a one-time historical backfill or a daily service. The files are delivered by 1:00 a.m. CT on the next trade date.

By Exchange

 

Exchange

Open Date

Close Date

   CME (Pit)

1/26/2008

Present

   CBOT (Pit)

1/2/2008

Present

   NYMEX (Pit)

10/5/2009

Present

   COMEX (Pit)

5/30/2009

Present

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Sample Files

 

Blocks Reports

CME

CBOT

NYMEX

COMEX

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Layout Guide

 The following table shows the record layout for CME DataMine Blocks historical data.

Extract Name

Description

Expected Values/Format

Example: Outright Future

Example: Outright Option

Example: Spread Future

Example: Spread Option

Trade Date

Date the transaction was reported.

CCYYMMDD

20110630

20110629

20110523

20090117

Trade Time

Time the transaction was executed.

HH:MM:SS

10:37:21

11:27:45

3:45:08

7:30:00

Reported Time

Time the transaction was reported.

HH:MM

10:40

11:27

3:45

7:30

Contract Symbol

Trading symbol.

String

CLX1

LOQ1

EDZ2

ZEX9

Product Code

Product family.

String

CL

LO

ED

ZE

Asset Class

Highest level of grouping.

String

Energy

Energy

Interest Rates

Interest Rates

Market Sector

Market in which product trades.

String

Crude Oil

Crude Oil

 

 

Description

Textual description of the product.

String

Crude Oil Future

Crude Oil Options

Eurodollar Future

Eurodollar Options

Product Type

The type of product.

Future,

Option

Future

Option

Future

Option

Contract Year

Expiration year.

Number

2011

2011

2012

2010

Contract Month

Expiration month.

Number

12

8

12

12

Strike Price

Strike price, if option.

Number

 

79.00

 

98.25

Put/Call

Type of option.

Put,

Call,

Blank if Future

 

Put

 

Call

Exchange Code

The exchange that lists the product.

XNYM= New York Mercantile Exchange 

XCEC= Commodities Exchange Center 

XCME= Chicago Mercantile Exchange 

XCBT= Chicago Board Of Trade

XNYM

XNYM

XCME

XCME

Trade Price

The agreed upon price.

Number

100.75

10.00

-10.50

45.00

Trade Quantity 

The agreed upon quantity. This field reflects block trade quantity and not the total number of individual contracts traded.

Number

800

1000

8000

5000

Trade Source

The source of the trade.

Floor, 

ClearPort

ClearPort

Floor

Floor

Floor

Spread Type Code

Type of spread, if multiple legs.

BF

CF

DN

FB

FO

OB

OR

PB

PK

PS

SP

SR

Blank if not a spread

 

 

BF

SR

Spread Type Description

Description of the spread code.

Butterfly

Condor

Delta Neutral

Futures Bundle

Futures v. Options

Options Bundle

Risk-Reversal Bundle

Pack Butterfly

Pack

Pack v. Pack

Intra-commodity

Strip

Blank if not a spread.

 

 

Butterfly

Strip

2nd Leg (if applicable) 

 

 

 

 

 

 

Contract Symbol 2

Same as above, for second leg.

Same as above, for second leg.

 

 

EDZ3

ZEH0

Product Code 2

Same as above, for second leg.

Same as above, for second leg.

 

 

ED

ZE

Asset Class 2

Same as above, for second leg.

Same as above, for second leg.

 

 

 

 

Market Sector 2

Same as above, for second leg.

Same as above, for second leg.

 

 

 

 

Description 2

Same as above, for second leg.

Same as above, for second leg.

 

 

Eurodollar Future

Eurodollar Option

Product Type 2

Same as above, for second leg.

Same as above, for second leg.

 

 

Future

Option

Contract Year 2

Same as above, for second leg.

Same as above, for second leg.

 

 

2013

2010

Contract Month 2

Same as above, for second leg.

Same as above, for second leg.

 

 

12

3

Strike Price 2

Same as above, for second leg.

Same as above, for second leg.

 

 

 

98.25

Put/Call 2

Same as above, for second leg.

Same as above, for second leg.

 

 

 

Call

Exchange Code 2

Same as above, for second leg.

Same as above, for second leg.

 

 

XCME

XCME

Trade Price 2

ONLY available for spread type code DN and FO.

Same as above, for second leg.

 

 

-10.5

 

Trade Quantity 2

ONLY available for spread type code DN and FO.

Same as above, for second leg.

 

 

8000

 

3rd Leg (if applicable) 

 

 

 

 

 

 

Contract Symbol 3

Same as above, for third leg.

Same as above, for third leg.

 

 

EDZ4

ZEH0

Product Code 3

Same as above, for third leg.

Same as above, for third leg.

 

 

ED

ZE

Asset Class 3

Same as above, for third leg.

Same as above, for third leg.

 

 

Interest Rates

Interest Rates

Market Sector 3

Same as above, for new leg.

Same as above, for third leg.

 

 

 

 

Description 3

Same as above, for third leg.

Same as above, for third leg.

 

 

Eurodollar Future

Eurodollar Option

Product Type 3

Same as above, for third leg.

Same as above, for third leg.

 

 

Future

Option

Contract Year 3

Same as above, for third leg.

Same as above, for third leg.

 

 

2014

2010

Contract Month 3

Same as above, for third leg.

Same as above, for third leg.

 

 

12

3

Strike Price 3

Same as above, for third leg.

Same as above, for third leg.

 

 

 

98.25

Put/Call 3

Same as above, for third leg.

Same as above, for third leg.

 

 

 

Call

Exchange Code 3

Same as above, for third leg.

Same as above, for third leg.

 

 

XCME

XCME

4th Leg (if applicable) 

 

 

 

 

 

 

Contract Symbol 4

Same as above, for fourth leg.

Same as above, for fourth leg.

 

 

 

ZEU0

Product Code 4

Same as above, for fourth leg.

Same as above, for fourth leg.

 

 

 

ZE

Asset Class 4

Same as above, for fourth leg.

Same as above, for fourth leg.

 

 

 

 

Market Sector 4

Same as above, for fourth leg.

Same as above, for fourth leg.

 

 

 

 

Description 4

Same as above, for fourth leg.

Same as above, for fourth leg.

 

 

 

Eurodollar Option

Product Type 4

Same as above, for fourth leg.

Same as above, for fourth leg.

 

 

 

Option

Contract Year 4

Same as above, for fourth leg.

Same as above, for fourth leg.

 

 

 

2010

Contract Month 4

Same as above, for fourth leg.

Same as above, for fourth leg.

 

 

 

10

Strike Price 4

Same as above, for fourth leg.

Same as above, for fourth leg.

 

 

 

98.25

Put/Call 4

Same as above, for fourth leg.

Same as above, for fourth leg.

 

 

 

Call

Exchange Code 4

Same as above, for fourth leg.

Same as above, for fourth leg.

 

 

 

XCME


FAQ

What format is the file delivered in?

Block trade data is delivered in .CSV format.

When are these files delivered?

Daily updates are delivered at 1 a.m. CT.

Do you have sample files available?

Yes. View sample files.

What dates are available for Block Trade data?

CBOT (Pit): 26 January 2008– present

CME (Pit): 2 January 2008– present

COMEX (Pit): 5 October 2009– present

NYMEX (Pit): 30 May 2009– present

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