Access CME futures and options data for interest rate markets, including U.S. Treasuries, SOFR, Federal Funds, ESTR, and more with Databento's APIs or web portal.

Our continuous contract symbology is a notation that maps to an actual, tradable instrument on any given date. The prices returned are real, unadjusted prices. We do not create a synthetic time series by adjusting the prices to remove jumps during rollovers.

Tick (Bids | Asks | Trades | Settle) sample data for Swap-Interest Rate 5 Yr (Pit) IR timestamped in Chicago time

This dataset offers end-of-day (EoD) pricing for a wide range of financial derivatives, including securities and interest rate futures. It focuses on key benchmarks such as SONIA (Sterling Overnight Index Average), SOFR (Secured Overnight Financing Rate), and €STR (Euro Short-Term Rate), covering major currencies: USD, GBP, and EUR as well as others. The data is crucial for financial institutions, analysts, and traders involved in interest rate hedging and risk management.

Key features of the dataset include:

End-of-Day Prices: Daily closing prices for interest rate futures across multiple currencies. Interest Rate Benchmarks: Data on SONIA, SOFR, and €STR futures, reflecting short-term interest rate movements. Cross-Currency Data: Pricing for USD, GBP, and EUR-denominated futures, allowing cross-market comparisons and analysis. Trading Volume & Open Interest: Insights into market activity and outstanding contract positions. This dataset supports accurate risk assessment, financial modeling, and investment strategy development in the global derivatives market.

Choose reference data from EDI and you will benefit from:

• A global data vendor offering affordable pricing structure.
• Fully customized data set to precisely fit your requirements.
• Flexible enterprise data licence options, we sell data, we do not rent data.
• Services from a company whose on-going commitment is to provide quality reference data solutions.

Discover how the Federal Reserve's interest rate strategy is impacting oil prices and future demand.

A Dataset contains EoD data on government bond futures. The dataset includes variables such as:

Contract Prices: Opening, closing, high, and low prices of futures contracts. Trading Volume: The number of contracts traded over time. Open Interest: The total number of outstanding futures contracts. Maturity Dates: Information on when the underlying bonds are due to mature. Settlement Prices: Final prices at contract expiration for valuation and settlement purposes. This dataset helps investors, researchers, and analysts monitor trends, model bond market behaviors, and forecast economic indicators related to UK and German government debt markets.

Choose reference data from EDI and you will benefit from:

• A global data vendor offering affordable pricing structure.
• Fully customized data set to precisely fit your requirements.
• Flexible enterprise data licence options, we sell data, we do not rent data.
• Services from a company whose on-going commitment is to provide quality reference data solutions.

Tick (Bids | Asks | Trades | Settle) sample data for Swap-Interest Rate 5 Yr (Globex) IRA timestamped in Chicago time

TAIBIR latest primary issuance rate quotes of the day. 1. The company displays the order according to the priority of underwriting securities dealers and then the participant code. 2. The primary issuance rate quote refers to the commercial paper quote interest rate for underwriting (excluding guarantee fees) by the quoted financial institutions. (Taiwan Depository & Clearing Corporation)

Browse UKA Options (UKA) market data. Get instant pricing estimates and make batch downloads of binary, CSV, and JSON flat files.

ICE Futures Europe iMpact is the primary data feed for ICE Futures Europe and covers 50% of worldwide crude and refined oil futures trading, as well as other options and futures contracts like natural gas, power, coal, emissions, and soft commodities. This dataset includes all commodities on ICE Futures Europe—all listed outrights, spreads, options, and options combinations across every expiration month. Interest rates and financial products are not included at this time and will be part of a separate dataset.

Asset class: Futures, Options

Origin: Captured at Aurora DC3 with an FPGA-based network card and hardware timestamping. Synchronized to UTC with PTP

Supported data encodings: DBN, CSV, JSON (Learn more)

Supported market data schemas: MBO, MBP-1, MBP-10, TBBO, Trades, OHLCV-1s, OHLCV-1m, OHLCV-1h, OHLCV-1d, Definition, Statistics (Learn more)

Resolution: Immediate publication, nanosecond-resolution timestamps

ABSTRACT We aim at obtaining a simple econometric model that allows us to build a confidence interval for the dispersion of the bids made by financial institutions at the central bank weekly auctions of short-term securities in Brazil. Under competitive conditions (e. g., no coalition between a few financial institutions) we assume that the bids’ dispersion is associated with the volatility of the daily interest rate futures prices and the daily interest rates that had prevailed during the days prior to the auction. Based on that assumption, our model succeeds in separating the two auctions with extremely high volatility. ln one of them, the high dispersion could be predicted using the other interest rate markets’ data; in the other the dispersion fell outside the confidence interval for the predicted dispersion. This can be used as empirical evidence of an attempt to comer the market that has indeed occurred at that date.

Browse Carbon Credit Futures - CORSIA Phase 1 (CP1) market data. Get instant pricing estimates and make batch downloads of binary, CSV, and JSON flat files.

ICE Futures Europe iMpact is the primary data feed for ICE Futures Europe and covers 50% of worldwide crude and refined oil futures trading, as well as other options and futures contracts like natural gas, power, coal, emissions, and soft commodities. This dataset includes all commodities on ICE Futures Europe—all listed outrights, spreads, options, and options combinations across every expiration month. Interest rates and financial products are not included at this time and will be part of a separate dataset.

Asset class: Futures, Options

Origin: Captured at Aurora DC3 with an FPGA-based network card and hardware timestamping. Synchronized to UTC with PTP

Supported data encodings: DBN, CSV, JSON (Learn more)

Supported market data schemas: MBO, MBP-1, MBP-10, TBBO, Trades, OHLCV-1s, OHLCV-1m, OHLCV-1h, OHLCV-1d, Definition, Statistics (Learn more)

Resolution: Immediate publication, nanosecond-resolution timestamps

I estimate the effects of FOMC announcements, post-FOMC press conferences, and speeches and Congressional testimony by the Fed Chair on stock prices, Treasury yields, and interest rate futures from 1988–2019. I show that for all but the very shortest-maturity interest rate futures, Fed Chair speeches are more important than FOMC announcements. My results suggest that the previous literature’s focus on FOMC announcements has ignored the most important source of variation in U.S. monetary policy.

TAIBIR 02 is the fixing rate of the secondary market buying and selling interest rates for the day. 1. The display order of companies is based on securities firms and participant codes. 2. The interest rate index is calculated at 11:00 a.m. every business day based on a specific formula. 3. The Fixing Rate calculation formula: (1) The mid-price is calculated for each tenor in the secondary market based on the buying and selling prices from various quoting institutions: (buying price selling price) / 2, rounded to the 4th decimal place. (2) If a quoting financial institution fails to input the daily quoted rate before 11:00 a.m. every business day, their rate is considered the lowest. (3) After eliminating the highest and lowest 1/5 of the buying and selling mid-prices, the fixed interest rate is calculated as the simple average, rounded to the 4th decimal place. (4) The number of exclusions is rounded down to the nearest whole number, for example: 21 quoting institutions (the calculation base is 21 institutions), excluding the highest and lowest 4 institutions each (21/54.2), resulting in the use of 13 quoting institutions for the calculation. (Taiwan Securities Central Depository & Clearing Corporation)

We examine directional predictability in foreign exchange markets using a model-free statistical evaluation procedure. Based on a sample of foreign exchange spot rates and futures prices in six major currencies, we document strong evidence that the directions of foreign exchange returns are predictable not only by the past history of foreign exchange returns, but also the past history of interest rate differentials, suggesting that the latter can be a useful predictor of the directions of future foreign exchange rates. This evidence becomes stronger when the direction of larger changes is considered. We further document that despite the weak conditional mean dynamics of foreign exchange returns, directional predictability can be explained by strong dependence derived from higher-order conditional moments such as the volatility, skewness and kurtosis of past foreign exchange returns. Moreover, the conditional mean dynamics of interest rate differentials contributes significantly to directional predictability. We also examine the co-movements between two foreign exchange rates, particularly the co-movements of joint large changes. There exists strong evidence that the directions of joint changes are predictable using past foreign exchange returns and interest rate differentials. Furthermore, both individual currency returns and interest rate differentials are also useful in predicting the directions of joint changes. Several sources can explain this directional predictability of joint changes, including the level and volatility of underlying currency returns.

Browse Brent Crude Futures (BRN) market data. Get instant pricing estimates and make batch downloads of binary, CSV, and JSON flat files.

ICE Futures Europe iMpact is the primary data feed for ICE Futures Europe and covers 50% of worldwide crude and refined oil futures trading, as well as other options and futures contracts like natural gas, power, coal, emissions, and soft commodities. This dataset includes all commodities on ICE Futures Europe—all listed outrights, spreads, options, and options combinations across every expiration month. Interest rates and financial products are not included at this time and will be part of a separate dataset.

Asset class: Futures, Options

Origin: Captured at Aurora DC3 with an FPGA-based network card and hardware timestamping. Synchronized to UTC with PTP

Supported data encodings: DBN, CSV, JSON (Learn more)

Supported market data schemas: MBO, MBP-1, MBP-10, TBBO, Trades, OHLCV-1s, OHLCV-1m, OHLCV-1h, OHLCV-1d, Definition, Statistics (Learn more)

Resolution: Immediate publication, nanosecond-resolution timestamps

This analysis presents a rigorous exploration of financial data, incorporating a diverse range of statistical features. By providing a robust foundation, it facilitates advanced research and innovative modeling techniques within the field of finance.

Will the Natural Gas Futures x3 Short Leveraged Index Ignite a Price Drop?

Financial data:

• Historical daily stock prices (open, high, low, close, volume)

• Fundamental data (e.g., market capitalization, price to earnings P/E ratio, dividend yield, earnings per share EPS, price to earnings growth, debt-to-equity ratio, price-to-book ratio, current ratio, free cash flow, projected earnings growth, return on equity, dividend payout ratio, price to sales ratio, credit rating)

• Technical indicators (e.g., moving averages, RSI, MACD, average directional index, aroon oscillator, stochastic oscillator, on-balance volume, accumulation/distribution A/D line, parabolic SAR indicator, bollinger bands indicators, fibonacci, williams percent range, commodity channel index)

Machine learning features:

• Feature engineering based on financial data and technical indicators

• Sentiment analysis data from social media and news articles

• Macroeconomic data (e.g., GDP, unemployment rate, interest rates, consumer spending, building permits, consumer confidence, inflation, producer price index, money supply, home sales, retail sales, bond yields)

Potential Applications:

• Stock price prediction

• Portfolio optimization

• Algorithmic trading

• Market sentiment analysis

• Risk management

Use Cases:

• Researchers investigating the effectiveness of machine learning in stock market prediction

• Analysts developing quantitative trading Buy/Sell strategies

• Individuals interested in building their own stock market prediction models

• Students learning about machine learning and financial applications

Additional Notes:

• The dataset may include different levels of granularity (e.g., daily, hourly)

• Data cleaning and preprocessing are essential before model training

• Regular updates are recommended to maintain the accuracy and relevance of the data

Browse Brent Crude American-style Options (BRN) market data. Get instant pricing estimates and make batch downloads of binary, CSV, and JSON flat files.

ICE Futures Europe iMpact is the primary data feed for ICE Futures Europe and covers 50% of worldwide crude and refined oil futures trading, as well as other options and futures contracts like natural gas, power, coal, emissions, and soft commodities. This dataset includes all commodities on ICE Futures Europe—all listed outrights, spreads, options, and options combinations across every expiration month. Interest rates and financial products are not included at this time and will be part of a separate dataset.

Asset class: Futures, Options

Origin: Captured at Aurora DC3 with an FPGA-based network card and hardware timestamping. Synchronized to UTC with PTP

Supported data encodings: DBN, CSV, JSON (Learn more)

Supported market data schemas: MBO, MBP-1, MBP-10, TBBO, Trades, OHLCV-1s, OHLCV-1m, OHLCV-1h, OHLCV-1d, Definition, Statistics (Learn more)

Resolution: Immediate publication, nanosecond-resolution timestamps

The NSE Futures and Options (F&O) dataset is a collection of data related to derivatives traded on the National Stock Exchange of India. Derivatives, such as futures and options, are financial instruments whose value is derived from an underlying asset, such as stocks, indices, commodities, or currencies. The F&O segment allows traders and investors to speculate on or hedge against future price movements of these assets.

Key Components of the NSE Futures and Options Dataset: 1. Futures Data: Futures Contracts: Agreements to buy or sell an underlying asset at a predetermined price at a future date. Underlying Asset: The asset on which the contract is based (e.g., individual stocks, stock indices like NIFTY, commodities). Contract Specifications: Expiry Date: The date on which the contract will expire. Contract Price: The agreed-upon price for the asset. Lot Size: The quantity of the underlying asset that each contract represents. Open Interest: The total number of outstanding (unsettled) contracts. Volume: The number of contracts traded during a specific period. Settlement Price: The final price of the contract upon expiry.

1. Options Data: Options Contracts: These give the buyer the right (but not the obligation) to buy (Call Option) or sell (Put Option) an underlying asset at a predetermined price before or at a certain expiration date. Option Types: Call Option: Gives the holder the right to buy the asset. Put Option: Gives the holder the right to sell the asset. Strike Price: The price at which the holder of the option can buy/sell the underlying asset. Expiry Date: The date by which the option must be exercised. Premium: The price paid by the option buyer to acquire the option contract. Implied Volatility: A measure of the market’s expectation of the underlying asset's volatility. Greeks: Quantities representing the sensitivity of the option’s price to various factors: Delta: Sensitivity to price changes in the underlying asset. Theta: Sensitivity to time decay (as the option approaches expiry). Vega: Sensitivity to changes in the asset's volatility. Gamma: The rate of change in Delta. Open Interest: Total number of outstanding options contracts. Volume: The number of option contracts traded during a specific period.

2. Option Chain: An option chain is a table showing all available option contracts for a particular stock or index. It includes strike prices, premiums (call and put), open interest, and volume for different expiry dates.

3. Index Derivatives: Futures and options on stock indices like NIFTY 50, Bank NIFTY, etc. These contracts track the performance of the index as the underlying asset.

Key Metrics in F&O Data: Open Interest (OI): The total number of open contracts (both bought and sold) that have not been settled. This helps gauge market participation and liquidity. Price (Premium): In options, the premium is the cost of buying the contract. In futures, the price reflects the contract value. Strike Price: Particularly important for options, it is the price at which the option can be exercised. Expiry Date: Futures and options contracts have specific expiration dates, typically the last Thursday of the month for monthly contracts. Trading Volume: The number of contracts traded within a given period, which can indicate the level of activity in a particular contract.

Use of NSE F&O Data: Speculation: Traders use F&O to speculate on future price movements of stocks, indices, or commodities. Hedging: Investors use F&O to hedge against adverse price movements in their portfolio (for example, buying put options to protect against a market downturn). Arbitrage: Taking advantage of price differences between the underlying asset and its derivative (futures or options).

Data Types: Historical Data: Contains past data on prices, volumes, open interest, etc. for futures and options contracts. Traders use this to analyze trends, patterns, and volatility. Real-time Data: Provides live updates on the price, open interest, and trading volume of contracts. This data is crucial for day traders and high-frequency traders.

How Traders and Analysts Use This Data: Price Action Analysis: Studying how the price of the futures or options contracts changes over time. Open Interest Analysis: A rising OI indicates new money coming into the market, while falling OI can indicate exiting positions. Option Greeks: Traders analyze the Greeks to manage risk and position sizing in options trading. Volatility Analysis: By analyzing implied and historical volatility, traders can gauge market sentiment and potential price swings.

Browse London Cocoa Options (C) market data. Get instant pricing estimates and make batch downloads of binary, CSV, and JSON flat files.

ICE Futures Europe iMpact is the primary data feed for ICE Futures Europe and covers 50% of worldwide crude and refined oil futures trading, as well as other options and futures contracts like natural gas, power, coal, emissions, and soft commodities. This dataset includes all commodities on ICE Futures Europe—all listed outrights, spreads, options, and options combinations across every expiration month. Interest rates and financial products are not included at this time and will be part of a separate dataset.

Asset class: Futures, Options

Origin: Captured at Aurora DC3 with an FPGA-based network card and hardware timestamping. Synchronized to UTC with PTP

Supported data encodings: DBN, CSV, JSON (Learn more)

Supported market data schemas: MBO, MBP-1, MBP-10, TBBO, Trades, OHLCV-1s, OHLCV-1m, OHLCV-1h, OHLCV-1d, Definition, Statistics (Learn more)

Resolution: Immediate publication, nanosecond-resolution timestamps

Browse Robusta Coffee Futures (RC) market data. Get instant pricing estimates and make batch downloads of binary, CSV, and JSON flat files.

ICE Futures Europe iMpact is the primary data feed for ICE Futures Europe and covers 50% of worldwide crude and refined oil futures trading, as well as other options and futures contracts like natural gas, power, coal, emissions, and soft commodities. This dataset includes all commodities on ICE Futures Europe—all listed outrights, spreads, options, and options combinations across every expiration month. Interest rates and financial products are not included at this time and will be part of a separate dataset.

Asset class: Futures, Options

Origin: Captured at Aurora DC3 with an FPGA-based network card and hardware timestamping. Synchronized to UTC with PTP

Supported data encodings: DBN, CSV, JSON (Learn more)

Supported market data schemas: MBO, MBP-1, MBP-10, TBBO, Trades, OHLCV-1s, OHLCV-1m, OHLCV-1h, OHLCV-1d, Definition, Statistics (Learn more)

Resolution: Immediate publication, nanosecond-resolution timestamps

Browse WTI Bullet Futures Options (WBS) market data. Get instant pricing estimates and make batch downloads of binary, CSV, and JSON flat files.

ICE Futures Europe iMpact is the primary data feed for ICE Futures Europe and covers 50% of worldwide crude and refined oil futures trading, as well as other options and futures contracts like natural gas, power, coal, emissions, and soft commodities. This dataset includes all commodities on ICE Futures Europe—all listed outrights, spreads, options, and options combinations across every expiration month. Interest rates and financial products are not included at this time and will be part of a separate dataset.

Asset class: Futures, Options

Origin: Captured at Aurora DC3 with an FPGA-based network card and hardware timestamping. Synchronized to UTC with PTP

Supported data encodings: DBN, CSV, JSON (Learn more)

Supported market data schemas: MBO, MBP-1, MBP-10, TBBO, Trades, OHLCV-1s, OHLCV-1m, OHLCV-1h, OHLCV-1d, Definition, Statistics (Learn more)

Resolution: Immediate publication, nanosecond-resolution timestamps