I'm looking at CBOE's CobWeb site ... for example, choosing SPX vertical spreads gives a crude list of 1531 items, most of which are uninteresting to say the least. Are there CobWeb interfaces or GUIs available that allow for easy filtering, sorting and searching, and/or downloading? Yes, I am capable of coding up a scraper but I would prefer to pay someone else and avoid the work.
The only ones that I know of are attached to certain trading platforms such as WEX and ITG. Using these you are able to filter the spreads and arrange by edge, which is very helpful. Edge is calculated using the midpoint of the individual options prices. I currently use WEX, which makes it very easy to filter and arrange these spreads in many different ways. I agree that the data on the CBOE website is almost unusable by itself. I would also be interested if there was a way you could filter the CBOE data on your own.
Thanks FSU ... I think I should broaden my question by simply asking "how do I get the CBOE COB data in a usable form for a reasonable price?" ... Surely there are many elitetraders who scrape from COBWEB ... anyone want to sell their scraping code? Or even better, am I missing something obvious like resellers, or access through a cheap broker like IB or TOS, or some kind of paid subscription through CBOE?
I feel your pain here. I don't know of any broker who offers this data and I have looked around. As you know the CBOE web site is essentially useless for the SPX as there are so many spreads. Also the CBOE web site will not display the spreads before 830 or after 300pm(CT). The most reasonably priced option that I have found is ITG. You will need a broker that will allow you to trade through their platform. As I mentioned, I use WEX, which I really like. Both of these platforms will allow you to trade these spreads by simply clicking on them. There is an extra charge to view each exchanges COBB. I actually think their are very few traders who look at this data. I personally find it essential to the way I trade. It allows you to actually trade with edge. For example if you see a spread offered, you can put a lower bid in the COB for the same spread and will have priority over the Market Makers if it trades at your price.