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End-of-Day files contain all of the official closing information for CME Group futures and options contracts. This dataset includes the open, high, low, close, open interest, total volume, volume breakdown by venue, settlement, delta, and implied volatilities. Delivered in an easy-to-use CSV format, End-of-Day preliminary settlements are available at 6:00 p.m. Central Time.


Dates Available

End of Day data is available on four exchanges in CSV format from as early as 1972.

By Exchange

 

Exchange

Open Date

Close Date

CME

Electronic

Pit

 

1/4/1993

1/4/1982

 

Present

Present

CBOT

Electronic

Pit

 

8/28/2000

1/3/1972

 

Present

Present

NYMEX

Electronic

Pit

 

6/25/1993

7/1/1986

 

Present

Present

COMEX

Electronic

Pit

 

7/2/1993

1/1/1975

 

Present

Present

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By Product

Filter EOD data availability by product here.


Layout Guides

 End of Day CSV format files

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

Field Name
Excel Column
Example Value
Supported Values
Description
Field Availability
Trade DateA20120801YYYYMMDDThe trade date in YYYYMMDD format. 
Exchange CodeBXCMEXCME, XCBT, XNYM, XCECThe exchange where the product is traded.  
Asset ClassCEQUITY INDEXAGRICULTURE, ENERGY, EQUITY INDEX, INTEREST RATES, FX, METALSIdentifies an entire suite of products.*
Product CodeDEZStringThe code assigned to a particular product. 
Clearing CodeEEZStringIdentifies a contract as it is known to CME Clearing.*
Product DescriptionFE-MINI S&P 500 OPTIONSStringThe textual description of a product.  
Product TypeGOF, ODesignates whether the contract is a Future (F) or Option (O). 
Underlying Product CodeH0StringIf an option, the Product Code assigned to the underlying future.*
Put/CallICP, CDesignates whether the contract is a Put (P) or Call (C). 
Strike PriceJ1200StringIf an option, the strike price. 
Contract YearK2012YYYYThe year the contract expires. 
Contract MonthL8MMThe delivery month for the future or option contract. 
Contract DayM0DDIndicates the expiration day of the option contract. Only used for daily options. 
Settlement170.8StringSettlement Price. 
Settlement Cabinet Indicator CABNull, CABIndicates that the price is based off a Cabinet (CAB) price. 
Open InterestP54StringThe open interest for the contract. 
Total VolumeQ2880StringThe total number of contracts traded -- the sum of Globex, Floor, and PNT. 
Globex VolumeR998StringThe number of contracts traded on Globex. 
Floor VolumeS0StringThe number of contracts traded on the Floor.*
PNT VolumeT0StringThe number of contracts traded in Privately-Negotiated Transactions.*
Block VolumeU1805StringThe number of contracts traded as Blocks.*
EFP VolumeV2StringThe number of contracts traded as Exchange-for-Physical.*
EOO VolumeW11StringThe number of contracts traded as Exchange-of-Options-for-Options.*
EFR VolumeX6StringThe number of contracts traded as Exchange-for-Risk.*
EFS VolumeY24StringThe number of contracts traded as Exchange-of Futures-for-Swaps.*
EFB VolumeZ1StringThe number of contracts traded as Exchange-for-Basis.*
EFM VolumeAA42StringThe number of contracts traded as Exchange-for-Minis.*
SUB VolumeAB4StringThe number of contracts traded as Substitution-of-Futures-for-Forwards.*
OPNT VolumeAC1StringThe number of contracts traded as OTC Privately Negotiated Transactions.*
TAS VolumeAD101StringThe number of contracts traded as Trading-at-Settlement. *
TAS Block VolumeAE16StringThe number of TAS contracts traded as Blocks. *
TAM Singapore VolumeAF3StringTrade-at-Marker volume for the Singapore marker.*
TAM Singapore Block VolumeAG0StringTrade-at-Marker block volume for the Singapore marker.*
TAM London VolumeAH102StringTrade-at-Marker volume for the London marker.*
TAM London Block VolumeAI6StringTrade-at-Marker block volume for the London marker.*
Globex Open PriceAJ177.3StringThe opening price for the Globex session. 
Globex Open Price Bid/Ask IndicatorAKBNull, B, A, N, $Indicates that the price is based off a trade (null), Bid (B), Cabinet ($), Ask (A), or Nominal (N) price. 
Globex Open Price Cabinet IndicatorALCABNull, CABIndicates that the price is based off a Cabinet (CAB) price.*
Globex High PriceAM174.5StringIndicates the high price for the Globex session. 
Globex High Price Bid/Ask IndicatorANBNull, B, A, N, $Indicates that the price is based off a trade (null), Bid (B), Cabinet ($), Ask (A), or Nominal (N) price. 
Globex High Price Cabinet IndicatorAOCABNull, CABIndicates that the price is based off a Cabinet (CAB) price.*
Globex Low PriceAP173.5StringThe low price for the Globex session. 
Globex Low Price Bid/Ask IndicatorAQANull, B, A, N, $Indicates that the price is based off a trade (null), Bid (B), Cabinet ($), Ask (A), or Nominal (N) price. 
Globex Low Price Cabinet IndicatorARCABNull, CABIndicates that the price is based off a Cabinet (CAB) price.*
Globex Close PriceAS174.5StringThe closing price for the Globex session. 
Globex Close Price Bid/Ask IndicatorATANull, B, A, N, $Indicates that the price is based off a trade (null), Bid (B), Cabinet ($), Ask (A), or Nominal (N) price. 
Globex Close Price Cabinet IndicatorAUCABNull, CABIndicates that the price is based off a Cabinet (CAB) price. 
Floor Open PriceAV177.3StringThe opening price for the Floor session. 
Floor Open Price Bid/Ask IndicatorAWANull, B, A, N, $Indicates that the price is based off a trade (null), Bid (B), Cabinet ($), Ask (A), or Nominal (N) price. 
Floor Open Price Cabinet IndicatorAXCABNull, CABIndicates that the price is based off a Cabinet (CAB) price. 
Floor Open Second PriceAY176StringLists a second price if there were multiple prices. 
Floor Open Second Price Bid/Ask IndicatorAZBNull, B, A, N, $Indicates that the price is based off a trade (null), Bid (B), Cabinet ($), Ask (A), or Nominal (N) price.*
Floor High PriceBA177.3StringThe high price for the Floor session. 
Floor High Price Bid/Ask IndicatorBBANull, B, A, N, $Indicates that the price is based off a trade (null), Bid (B), Cabinet ($), Ask (A), or Nominal (N) price. 
Floor High Price Cabinet IndicatorBCCABNull, CABIndicates that the price is based off a Cabinet (CAB) price.*
Floor Low PriceBD173.5StringThe low price for the Floor session. 
Floor Low Price Bid/Ask IndicatorBEANull, B, A, N, $Indicates that the price is based off a trade (null), Bid (B), Cabinet ($), Ask (A), or Nominal (N) price. 
Floor Low Price Cabinet IndicatorBFCABNull, CABIndicates that the price is based off a Cabinet (CAB) price.*
Floor Close PriceBG162.5StringThe closing price for the Floor session. 
Floor Close Price Bid/Ask IndicatorBHBNull, B, A, N, $Indicates that the price is based off a trade (null), Bid (B), Cabinet ($), Ask (A), or Nominal (N) price. 
Floor Close Price Cabinet InidicatorBICABNull, CABIndicates that the price is based off a Cabinet (CAB) price. 
Floor Close Second PriceBJ177.7StringLists a second price if there were multiple prices. 
Floor Close Second Price Bid/Ask IndicatorBKANull, B, A, N, $Indicates that the price is based off a trade (null), Bid (B), Cabinet ($), Ask (A), or Nominal (N) price. 
Floor Post-Close PriceBL173.5StringThe post-close price for the Floor session.*
Floor Post-Close Price Bid/Ask IndicatorBMBNull, B, A, N, $Indicates that the price is based off a trade (null), Bid (B), Cabinet ($), Ask (A), or Nominal (N) price.*
Floor Post-Close Second PriceBN174.3StringLists a second price if there were multiple prices.*
Floor Post-Close Second Price Bid/Ask IndicatorBOBNull, B, A, N, $Indicates that the price is based off a trade (null), Bid (B), Cabinet ($), Ask (A), or Nominal (N) price.*
DeltaBP0.986StringIf an option, the Delta for the contract.*
Implied VolatilityBQ0.291StringIf an option, the Implied Volatility for the contract. 
Last Trade DateBR20120817YYYYMMDDThe last day the contract can trade.*

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FAQ

 EOD Availability

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.

 EOD Format

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.
 EOD Delivery

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.

 EOD Interpretation

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.

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.

 Implied Volatility

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 values in the data would be missing due to a bug.

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.

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