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spiderrock_closemarks

spiderrock_closemarks by SpiderRock

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. (underlying field is nc_publish_date_actual)
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
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 Option bid at srCloseTime
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 bidPrc
askIV double Implied vol of askPrc
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
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 SpiderRock security ID


Important Dataset Notes

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