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Real-time market data

Stream live futures and options market data directly from CME Group.

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Discover a cost-efficient way to access, query, and share CME Group market data.

DATAMINE:

THE SOURCE FOR HISTORICAL DATA

Explore historical market data straight from the source to help refine your trading strategies.
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Access and filter an archive of recent and historical notices for every aspect of trading at CME Group, including Clearing advisories.

Uncleared margin rules

Explore our suite of capital-efficient solutions to URM challenges designed to help minimize your initial margin requirements.
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Explore our new, fully customizable, pro-level Trading Simulator and get to know our range of futures contracts.

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Market Data

Options Analytics: Greeks and Implied Volatility

Precision derivative insights, directly from CME Group.

Access the API

Power your trading strategies with the most accurate, flexible and accessible option data available. Greeks and Implied Volatility data provides a definitive source for real-time and historical option analytics, calculated directly from our highly liquid, exchange-traded markets. Gain critical insights for more precise trading and risk management strategies.

Resources
Technical documentation
Pricing guide
Key benefits

Core data points

Access a full suite of essential Greeks (Delta, Gamma, Theta, Vega, Rho), along with Days to Expiration, Implied Volatility and Moneyness.

Extensive coverage

Get data for our top 40 futures contracts, spanning 7 global asset classes – Agriculture, Metals, Energy, Interest Rates, Equities, FX and Crypto.

Dual delivery

Get real-time snapshots, updated every 5 minutes, and access 5 years of historical data for robust analysis.

Enhance your competitive edge

We've designed Greeks and Implied Volatility data to solve common market data challenges, offering distinct advantages for sophisticated users.

Our data provides unparalleled precision for your models and decisions. By only providing data for "two-sided markets," we pre-filter for liquidity, ensuring Greeks and implied volatilities are based on actual, tradable prices, not stale quotes.

Move beyond complex binary feeds with a clean, standard REST API producing data in JSON format, making it a plug-and-play solution. This drastically reduces engineering headaches and accelerates your time to insight.

Access the current market picture via the /latest endpoint, or query historical data with powerful filters by option status (ITM/OTM/ATM), product code, days to expiration and more. This means you get exactly the data you need, pre-filtered and ready for analysis, cutting down on processing and storage.

By offering 5-minute snapshots instead of every single tick, we offer a very accessible price point. This allows us to deliver sophisticated option analytics to companies of all types and sizes as well as individual investors.

Five years of easily queryable, clean historical data via DataMine provides a pre-digested, ready-to-use research library, making backtesting and trend analysis a breeze.

Real-time data

Access Greeks and Implied Volatility data via a streaming or REST API for a simple, accurate and cost-effective solution to power your trading. 

Find out more

Empowering your strategy

Utilize Greeks and Implied Volatility data to gain a deeper understanding of market dynamics and optimize your operations.

Portfolio analytics

Understand exposure and stress scenarios across complex positions.

Volatility trading strategies

Identify dislocations, arbitrage opportunities and structure implied volatility plays.

Risk modeling and hedging

Improve sensitivity models, scenario planning and hedging precision.

Quantitative research

Fuel historical and real-time option sensitivities into models to analyze market dynamics and edge.

Market making and pricing

Enhance pricing engines and quote calibration with granular Greeks.

Fintechs and ISVs

Integrate option analytics into your trading platforms, broker tools, charting software or risk management dashboards without building the entire infrastructure in house.

Get started with Greeks and Implied Volatility data

Ready to dive in? Explore one or our direct access options below. If you still have questions, fill out the form to connect with a Data expert.

Real-time data via REST API

Integrate 5-minute data snapshots directly into your systems via our flexible, easy-to-use JSON API.

Coming soon

Access via DataMine

Retrieve 5 years of data in CSV format, or receive daily files for backtesting and model validation.

CME Group is the world’s leading derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). 
Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.

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