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spiderrock_closemarks by SpiderRock

Name: spiderrock_closemarks
Brand: SpiderRock
SKU: SR-00101
Price: 9999.99 USD
Availability: InStock

Category: main_tax_category , options ,

Product Type: options

Region: US ,

Industry: Consumer Discretionary , Consumer Staples , Energy , Financials , Health Care , Industrials , Information Technology , Materials , Real Estate , Telecommunication Services , Utilities ,

Asset Classes: Options ,

Data Frequency: day

Quantity must be 1 or more

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

This dataset is not available for direct online purchase. Please contact sales directly at sales@CloudQuant.com. The data is available through our normal sales department who can provide you with current pricing and a quote for accessing this valuable dataset. This may be due to a number of reasons such as dataset intended use, size of the company (or investment fund) using the dataset, or for simple legal requirements that CloudQuant needs to ensure are in place prior to licensing the dataset to you.