Historical CME event contract data now available

Historical market data for CME event contracts is now available on Databento through the CME Globex MDP 3.0 (GLBX.MDP3) dataset. This release complements the real-time CME event contract data that launched earlier this year.

CME event contracts are cash-settled binary options on futures that pay $0 or $100 depending on whether the underlying closes above or below a specified strike price. Calls pay $100 if above the strike price, and puts pay $100 if at or below the strike price.

These contracts trade in $1 increments from $1 to $99, with pricing reflecting the market’s implied probability of each outcome. For example, a $75 call suggests a 75% chance the underlying closes above the strike, while the corresponding put would trade near $25, indicating a 25% chance of closing at or below. This defined risk structure enables traders to express directional views on benchmark markets without margin calls or unlimited loss exposure.

CME lists event contracts on 11 underlying futures markets spanning equity indices, commodities, currencies, and cryptocurrency.

• Equity indices: E-mini S&P 500, E-mini Nasdaq 100, E-mini Russell 2000, and E-mini DJIA.
• Energy: Light Sweet Crude Oil and Henry Hub Natural Gas.
• Metals: Gold, Silver, and Copper.
• Currency: Euro/U.S. Dollar (EUR/USD).
• Cryptocurrency: Bitcoin.

E-mini S&P 500 and Nasdaq-100 contracts account for approximately 33% and 20% of total event contract volume, respectively, and feature daily, quarterly, and annual expiries, while other underlyings trade with daily expiries only.

Event contracts can be requested using CME Globex MDP 3.0's dataset ID: GLBX.MDP3. Historical coverage begins on September 25, 2025. Data is available with usage-based pricing or included with any CME subscription.

The example below demonstrates how to request one day of BBO-1m data for E-mini S&P 500 event contracts.

import databento as db

client = db.Historical(key="YOUR_API_HERE")

data = client.timeseries.get_range(
    dataset="GLBX.MDP3",
    symbols=["ECES.OPT"],
    stype_in="parent",
    schema="bbo-1m",
    start="2025-10-31",
)

print(data.to_df())

CME has announced plans to introduce event contract swaps in late 2025, structured as swaps under CEA Section 1a(47) rather than futures-based options. Key differences include:

• 24/7 continuous trading, compared to the limited daily schedule of event contracts.
• $0.01 to $0.99 price range with $1 payout, instead of the $1-$99 range and $100 payout of event contracts.
• Expanded underlyings, including economic indicators such as GDP and CPI.

Databento will add support for event contract swaps when they launch.