Dataset Name: spiderrock_closemarks
Group: options
Vendor: SpiderRock
Data Starts at: 2016-01-04 00:00:00
Symbol Set: US Options
Asset Class: Options
Data Update Time(s): 6:40 AM EST
Data Update Frequency: day
Option Closing Mark records are created immediately after the market close and when exchanges publish official marks.
These records contain closing quotes and prices as well as markup details for all outright options.
SpiderRock includes their own algorithms that create estimates of the correct theoretical price, creating the SpiderRock closing mark.
Updated EOD with INSERT - roughly 3 a.m t + 1
Data Contained in this Dataset
| Column | Type | Description |
|---|---|---|
| _seq | uint | Internal sequence number used to keep data rows in order |
| timestamp | string | Timestamp of the Data - America/New York Time. |
| muts | uint64 | Microseconds Unix Timestamp. An integer representation of a timestamp with microsecond precision that can be compared directly to other timestamps. |
| symbol | string | Trading Symbol or Ticker |
| okey_at | string | Option underlying asset type |
| okey_ts | string | Option ticker source |
| okey_tk | string | Option underlying symbol |
| okey_yr | uint | Option expiration year |
| okey_mn | uint | Option expiration month |
| okey_dy | uint | Option expiration day |
| okey_xx | double | Option strike |
| okey_cp | string | Option call/put indicator |
| tradingDate | string | Trading Date in UTC |
| tradingSession | string | Trading session (´None´,´RegularMkt´,´PreMkt´,´PostMkt´,´PostMktETF´,´NextDay´) |
| undSecKey_at | string | Underlying asset type |
| undSecKey_ts | string | Underlying security trade source |
| undSecKey_tk | string | Underlying ticker |
| undSecKey_yr | string | Underlying asset expiration year - futures only |
| undSecKey_mn | string | Underlying asset expiration month - futures only |
| undSecKey_dy | string | Underlying asset expiration day - futures only |
| undSecType | string | Underlying security type |
| undSecKey_yr | string | Underlying asset expiration year - futures only |
| undSecKey_mn | string | Underlying asset expiration month - futures only |
| undSecKey_dy | string | Underlying asset expiration day - futures only |
| undSecType | string | Underlying security type |
| srCloseTime | string | SpiderRock closing mark time (created between 14:59 and 15:00 CDT for all equity names and 1 minute before the close of the trading session for futures) |
| uBid | double | Underlying bid at srCloseTime |
| uAsk | double | Underlying ask at srCloseTime |
| uSrCls | double | SpiderRock underlying closing mark at srCloseTime |
| uClose | double | Official underlying market close from exchange |
| bidPrc | double | The best price for which somebody is willing to buy something, whether it be a security, asset, commodity, service, or contract. |
| askPrc | double | Option ask at srCloseTime |
| srClsPrc | double | SpiderRock option closing mark at srCloseTime; estimated surface price |
| closePrc | double | Option bid-ask midpoint at 2:59 using OPRA NBBO |
| bidIV | double | Implied vol of bid price |
| askIV | double | Implied vol of ask price |
| srPrc | double | SpiderRock calculated option price from srVol |
| srVol | double | SpiderRock surface volatility at srCloseTime |
| iSlope | string | slope of SR surface (Change in SRVol relative to change in Uprc; assuming expiry curve slides left/right with no shape change) |
| eSlope | string | slope of SR surface (Change in SRVol relative to change in Uprc; from historical/empirical model) |
| de | double | Option Delta calculated using srVol |
| ga | double | Option Gamma calculated using srVol |
| th | double | Option Theta calculated using srVol |
| ve | double | Option Vega calculated using srVol |
| rh | double | Option Rho calculated using srVol |
| ph | double | Option Phi calculated using srVol |
| vo | double | Option Volga calculated using srVol |
| va | double | Option Vanna calculated using srVol |
| deDecay sdiv | string | Option Delta time decay calculated using srVol (Charm, Delta Bleed) |
| ddiv | double | Sum of dividends paid to expiration |
| rate | double | SpiderRock calibrated risk free rate |
| years | double | SpiderRock time to expiration in years |
| error | uint | For internal use by SpiderRock. |
| openInterest | uint | Open Interest |
| prtCount | uint | Number of trades for the day |
| prtVolume | uint | Total volume of contracts traded for the day |
| priorDate | string | Prior Trading Day Date/Reserved for future use |
| prcAdjValue | string | Corp action adjustment value (0.0 on most days); [todayPrice = priorPrice * prcAdjRatio + prcAdjValue]/Reserved for future use |
| prcAdjRatio | string | Corp action adjustment factor (1.0 on most days)/Reserved for future use |
| priorSRClsPrc | string | Value archived in the previous trading period/Reserved for future use |
| priorClosePrc | string | Prior Trading Day Closing Price/Reserved for future use |
| srClsPrcSrc | string | Calculation method of srClsPrc |
| closePrcSrc | string | Calculation method of closePrcSrc |
| timestamp_cst | string | Timestamp of last update to record - UTC |
| securityID | string | Security Identification Code for the data source vendor |
Important Dataset Notes
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