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The CBOE Equity options volume of a stock A is the total volume of all options whose underlying security is stock A, that trade in the Chicago Board Options Exchange. The volume can be separated into two categories: Volume of Call options and Volume of Put options.
The Monthly Call options volume and Put options volume for all US stocks are downloaded by this item from the CBOE website. The downloader creates a new custom database whose name is 'monthly-put-call'.
This database has three columns:
Date: The date.
Call: Store the corresponding month total call options volume for each symbol.
Put: Store the corresponding month total put options volume for each symbol.
The data, as it is, should only be used for screening, charting...
In order, to use it for back-testing purpose, you should offset it by 1 month. This can be done using the 'ref' function or directly with the Post-Script code of the downloader.
The reason for this, is that, at the start of the month, let us say 01/09/2009, the reported volume is for the month of August and thus at this date (beginning of August), the volume data is unknown. The volume of August is known only at the beginning of September. This is why the data should be offset by one month or a little bit more.
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