Data Format
Future Options
Folder Structure
The following table shows the paths of the Future Options data files:
| Resolution | Zip File | CSV File |
|---|---|---|
| Second and minute | futureoption / <market> / <resolution> / <ticker> / <contractMonth> / <date>_<tickType>_<style>.zip | <date>_<ticker>_<resolution>_<tickType>_<style>_<right>_<strike>_<expiry>.csv |
| Hour and daily | futureoption / <market> / <resolution> / <ticker> / <contractMonth> / <ticker>_<year>_<tickType>_<style>.zip | <ticker>_<tickType>_<style>_<right>_<strike>_<expiry>.csv |
In these paths, <ticker> is the ticker of the option, which can differ from the ticker of the underlying Future. For example, options on GC Futures use og. The <contractMonth> folder is the contract month of the underlying Future, and every resolution uses it.
Each zip file contains one CSV file for each contract. For example, futureoption / cme / minute / es / 202003 / 20200105_quote_american.zip contains 20200105_es_minute_quote_american_call_30000000_20200320.csv. This CSV file holds the quotes of the $3,000 call on the March 2020 ES contract.
Bar Data
The trade and quote examples come from the ES minute files of January 5, 2020. The open interest example comes from the OZW minute files of February 20, 2026. The following table shows the bar data of Future Options files:
| Data Type | Resolutions | Example |
|---|---|---|
| Trade bar | Second, minute, hour, and daily | 83940000,142.75,142.75,142.75,142.75,1 |
| Quote bar | Second, minute, hour, and daily | 82500000,,,,,0,264.75,264.75,264.75,264.75,1 |
| Open interest | Second, minute, hour, and daily | 9300000,109 |
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