Page tree
Skip to end of metadata
Go to start of metadata

The Volume and Open Interest file contains the official volume and open interest information for CME Group futures and options contracts. This dataset includes only the total volume and open interest  for all exchange traded products listed on the CME, CBOT, NYMEX, and COMEX.  Delivered in an easy-to-use CSV format, Volume and Open Interest preliminary settlements are available at 6:00 p.m. Central Time.


Dates Available

Volume and Open Interest data is available for four exchanges in CSV format from as early as 1972.

By Product

Filter VOI data availability by product here.



Sample Files

Volume and Open Interest
Volume and Open Interest



Layout Guides

 Volume and Open Interest 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. 
Product CodeDEZStringThe code assigned to a particular product.
Product DescriptionFE-MINI S&P 500StringThe textual description of a product. 
Product TypeGOF, ODesignates whether the contract is a Future (F) or Option (O).
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.
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.*

[Top]


FAQ

 VOI 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.

Why don't I see Open Interest in files prior to 11/1/2010?

This is because previous to to November 1, 2010 Open Interest was only published in the preliminary files and not the final files. If you grab the preliminary files you will get the Open Interest data.

 VOI Format

What format is the file delivered in?

Volume and Open Interest is delivered in .CSV format.

What should I expect for the file name?

VOI 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.
 VOI Delivery

What time are these files delivered?

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 obtained?

VOI files can be obtained through four different methodologies. These are API transfer, S3 to S3 transfer, SFTP download and Filer Browser download.

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

You will receive two files for a given trade date.

 VOI Interpretation

What are P and F files?

The P file is the preliminary file that is sent at the end of the trade date. The F file is the final file sent the morning of the next trade date.

Will I always get an P file?

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

Will I always get an F file?

Yes you will always receive a F file.

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.


[Top]