Canari EUREX Options Trade Reports
This dataset delivers daily summary of all Eurex Options Trades, on and off book, including multi-leg strategies breakdown
| Column | Type | Description |
|---|---|---|
| _seq | uint | Internal sequence number used to keep data rows in order |
| timestamp | string | Timestamp of the Data (underlying field is nc_publish_date_actual) |
| muts | uint64 | Microseconds Unix Timestamp. An integer representation of a timestamp with microsecond precision that can be compared directly to other timestamps. (underlying field is nc_publish_date_actual) |
| symbol | string | Trading Symbol |
| matu | int | maturity date (YYYMMDD) |
| Fwd | double | Forward price |
| Spot | double | underlying spot price |
| Spread | double | bid/offer spread (in bps of spot) of the 6th tightest option spread for the maturity |
| ATF | double | Implied vol for Strike = Forward |
| Smile_std | double | (Max(10, TTM)/252 )^0.5 * smile where TTM is the time to maturity in business days and smile is the vol spread for 1% of strike around the forward |
| impl_div | double | implied net dividend based on calibrated Forward price expressed in percent of the spot price |