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Access to the US Future Options dataset is by contact only. To unlock local access, contact us. You need billing permissions to change the organization's subscriptions.

The US Future Options dataset depends on the following datasets:

• US Future Option Universe - data on the available US Future Options contracts and their current Open Interest.
• US Futures Security Master - data to construct continuous Futures.
• US Future Universe - data on the available US Future contracts, their daily trading volume, and Open Interest.
• US Futures - data on the underlying Futures contracts, including price, volume, Open Interest, and expiry.

After you unlock local access (see Prerequisites), open a terminal in your organization workspace and run the following commands to bulk download the prerequisite datasets.

To download the US Futures Security Master, run:

$ lean data download --dataset "US Futures Security Master"

To download the US Future Universe data, run:

$ lean data download --dataset "US Future Universe" --data-type "Bulk" --start "20250403" --end "20250403"

To download the US Future Option Universe data, run:

$ lean data download --dataset "US Future Option Universe" --data-type "Bulk" --start "20250403" --end "20250403"

To download the US Future Options data, use the CLI Command Generator on the dataset listing to generate your download command, then run it in your organization workspace. For more information, see Using the CLI. You also need the underlying US Futures data; see US Futures.

After you bulk download the US Future Options dataset, new daily updates are available at 7 AM Eastern Time (ET) after each trading day. Instead of directly calling the lean data download command, you can place a Python script in the data directory of your organization workspace and run it to update your data files. The following example script updates all data resolutions and markets:

import os
import pandas as pd
from datetime import datetime, time, timedelta
from pytz import timezone
from os.path import abspath, dirname
os.chdir(dirname(abspath(__file__)))

OVERWRITE = False

# Define a method to download the data
def __download_data(resolution, start=None, end=None):
    print(f"Updating {resolution} data...")
    command = f'lean data download --dataset "US Future Options" --data-type "Bulk"  --resolution "{resolution}"'
    if start:
        end = end if end else start
        command += f" --start {start} --end {end}"
    if OVERWRITE:
        command += " --overwrite"
    print(command)
    os.system(command)

def __get_end_date() -> str:
    now = datetime.now(timezone("US/Eastern"))
    if now.time() > time(7,30):
        return (now - timedelta(1)).strftime("%Y%m%d")
    print('New data is available at 07:30 AM EST')
    return (now - timedelta(2)).strftime("%Y%m%d")

def __download_high_frequency_data(latest_on_cloud):
    for resolution in ["minute"]:
        dir_name = f"futureoption/cme/{resolution}/es".lower()
        if not os.path.exists(dir_name):
            __download_data(resolution, '19980101')
            continue
        latest_on_disk = sorted(os.listdir(dir_name))[-1].split('_')[0]
        if latest_on_disk >= latest_on_cloud:
            print(f"{resolution} data is already up to date.")
            continue
        __download_data(resolution, latest_on_disk, latest_on_cloud)

def __download_low_frequency_data(latest_on_cloud):
    for resolution in ["daily", "hour"]:
        file_name = f"futureoption/cme/{resolution}/es.zip".lower()
        if not os.path.exists(file_name):
            __download_data(resolution)
            continue
        latest_on_disk = str(pd.read_csv(file_name, header=None)[0].iloc[-1])[:8]
        if latest_on_disk >= latest_on_cloud:
            print(f"{resolution} data is already up to date.")
            continue
        __download_data(resolution)

if __name__ == "__main__":
    latest_on_cloud = __get_end_date()
    __download_low_frequency_data(latest_on_cloud)
    __download_high_frequency_data(latest_on_cloud)

The preceding script checks the date of the most recent ES data you have from the CME market for minute resolution. If there is new data available, it downloads the new data files and overwrites your hourly and daily files. If you don't intend to download all resolutions and markets, adjust this script to your needs.

To update your local copy of the US Futures Security Master, run:

$ lean data download --dataset "US Futures Security Master"

Access to the US Future Options dataset is by contact only, so there is no by-ticker download command. To request access, contact us. After you have access, download the data in bulk; see Download in Bulk.

The following table shows the size and format of the US Future Options dataset for each resolution:

For an example, see the Data / futureoption / cme / daily / es / 202003 / es_2020_trade_american.zip file in the LEAN repository.

To view the price of the US Future Options dataset, contact us.