Market Data

ISEE Select XML Feed

With ISEE Select XML Feed, customers can have unlimited access to intra-day updates of all available ISE Sentiment Index® (ISEE®) values as a bulk delivery in an XML format, which provides the ability to develop analytical models based on ISEE data values.

Using the same put/call data calculation methodology used to create ISEE, which is widely used by investment professionals and investors to determine market direction, this feed has broad appeal for institutional investors and brokers looking to do in-depth analysis and quantitative testing. Sentiment values are available for most securities that trade options on ISE. Previously ISEE values could only be retrieved five symbols at a time.

Details
ISEE Select Data

The ISEE Select XML Feed uses proprietary trade data for options that trade at the ISE, and the put/call data is generally used to determine bullish/bearish market activity in the underlying security. An example of a use of this data is our put/call widget displayed on this page that shows the ‘Top 3 Bullish/Bearish’ securities.

Data Format

ISEE Select XML Feed includes the following fields of data for each underlying security:

  • Date and time stamp
  • Symbol
  • Cumulative number of calls
  • Cumulative number of puts
  • ISEE calculated value

There are end-of-day historical values available as a .csv file going back to January 3, 2006. The update interval was decreased from every 20 minutes to every 10 minutes on January 30, 2008. Therefore the historical data prior to January 30, 2008 is only available in 20-minute increments.

Sample Files

 

ISEE Screenshot

 

 

Fees/How to Order
Fees

ISEE Select XML Feed offers a flat fee for a fixed number of users. The monthly subscription fees are:

Number of UsersMonthly Fee
1-10,000 $1,000
10,001-15,000 $1,500
15,001-20,000 $2,000
20,001-25,000 $2,500
25,001-30,000 $3,000
30,001-35,000 $3,500
35,001-40,000 $4,000
40,001-45,000 $4,500
45,001-50,000 $5,000
50,001-55,000 $5,500
55,001-60,000 $6,000
60,001-65,000 $6,500
65,001-70,000 $7,000
70,001-75,000 $7,500
75,001-199,999 $7,500 + $.084 per user
200,000 or more $17,999 + $.0825 per user

 

There are no fees for subscribers to access the historical end-of-day data.

Subscription Details

To order ISEE Select XML Feed, simply:

  1. Download an Order Form and Licensing Agreement
  2. Sign the forms
  3. Email the signed forms to ISE Holdings.

 

We will process your order promptly and respond within 24 hours.

 

FAQs
What is ISEE SelectSM XML Feed?

ISEE Select XML Feed allows subscribers to pull updated ISEE Select values for nearly all securities that trade options on the ISE, from a central server. Previously, intra-day ISEE Select values were only available by accessing five symbols at a time through a browser application.

 

What is the formula used to calculate sentiment?

ISEE Select XML Feed uses the same calculation methodology as our well-respected ISE Sentiment Index (ISEE). Unlike traditional put/call ratios, ISEE Select is based on opening long customer transactions only. Trades by market makers and firms are excluded as these tend to skew sentiment value. As a result, ISEE Select ’s sentiment index calculation provides a more accurate reflection of true investor sentiment. For more details on our calculation methodology, please click on “Details” tab on www.ise.com/sentiment.

 

Are these sentiment values calculated in real time?

This is not a real-time feed. The intra-day values are updated every 10 minutes. The approximate times that the new values can be retrieved: 3, 13, 23, 33, 43 and 53 minutes after the hour. Subscribers should request or pull an update every 10 minutes.

 

Are the updated sentiment values cumulative?

Yes, all subsequent intra-day calculations use the cumulative number of trades for all calls and all puts to open.

 

How do I interpret this data?

Based on our unique formula for calculating sentiment, a very low sentiment value indicates more opening long put positions are being established and a very high sentiment value indicates more opening long call positions are being established. Long positions of call options to open are generally viewed as a bullish transaction and long positions of put options are generally viewed as a bearish transaction. Therefore, a higher ISEE value represents more bullish sentiment for the underlying security and a lower ISEE value represents a more bearish sentiment for the underlying security.

 

Why are some individual sentiment values so high?

The ISEE Index value is a single value calculated on hundreds of securities and large trades of individual securities are smoothed out due to the sheer number of securities included in the calculation. For example, when the ISEE Index 52-week high is 212 and the 52-week low is 51. Calculations on individual securities have a much greater range of values, i.e. for a well-known technology company the 52-week high is 21,009 and the 52-week low is 22. The higher value represents more opening long call buying.

 

How can I get access to historical sentiment values for further analysis?

End-of-day historical values are available by request. Please email marketdata@ise.com

 

How much historical data is available?

Historical values for most securities go back to January 3, 2006.

 

What are the subscription fees for ISEE Select XML Feed?

ISEE Sentiment XML Feed offers a flat fee for a fixed number of users. The monthly subscription fees are:

 

Number of UsersMonthly Fee
1-10,000 $1,000
10,001-15,000 $1,500
15,001-20,000 $2,000
20,001-25,000 $2,500
25,001-30,000 $3,000
30,001-35,000 $3,500
35,001-40,000 $4,000
40,001-45,000 $4,500
45,001-50,000 $5,000
50,001-55,000 $5,500
55,001-60,000 $6,000
60,001-65,000 $6,500
65,001-70,000 $7,000
70,001-75,000 $7,500
75,001-199,999 $7,500 + $.084 per user
200,000 or more $17,999 + $.0825 per user

 

There are no fees for subscribers to access the historical end-of-day data.

 

How do I subscribe to this service?

Subscription details, including license agreement and order form, are available by clicking on the “How to Order” tab.

 

 

Contact Us

For more information about, ISEE Select XML Feed please contact our Market Data team.