Dataset Name: spiderrock_optionclosemarkhist_eqt
Group: options
Vendor: SpiderRock
Symbol Set: US Options
Asset Class: Options
Data Update Time(s): 6:40 AM EST
Data Update Frequency: day
Option Print Set records contain every option print along with quote, surface, and SR probability details at EOD.
Data Contained in this Dataset
| Column | Type | Description |
|---|---|---|
| _seq | int64 | Internal sequence number used to keep data rows in order |
| muts | int64 | Microseconds Unix Timestamp. An integer representation of a timestamp with microsecond precision that can be compared directly to other timestamps. |
| timestamp | string | Timestamp of the Data - America/New York Time. |
| 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 | int64 | Option expiration year |
| okey_mn | int64 | Option expiration month |
| okey_dy | int64 | Option expiration day |
| okey_xx | double | Option strike |
| okey_cp | string | Option call/put indicator |
| tradingDate | int64 | Trading Date in UTC |
| tradingDate_str | string | Trading Date in UTC - string format |
| 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 | int64 | Underlying asset expiration year - futures only |
| undSecKey_mn | int64 | Underlying asset expiration month - futures only |
| undSecKey_dy | int64 | Underlying asset expiration day - futures only |
| undSecType | string | Underlying security type |
| srCloseTime | int64 | 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) |
| srCloseTime_str | 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 | double | slope of SR surface (Change in SRVol relative to change in Uprc; assuming expiry curve slides left/right with no shape change) |
| eSlope | double | 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 | double | Option Delta time decay calculated using srVol (Charm, Delta Bleed) |
| sdiv | double | SpiderRock implied continuous dividend rate |
| ddiv | double | Sum of dividends paid to expiration |
| rate | double | SpiderRock calibrated risk free rate |
| years | double | SpiderRock time to expiration in years |
| error | int64 | For internal use by SpiderRock. |
| openInterest | int64 | Open Interest |
| prtCount | int64 | Number of trades for the day |
| prtVolume | int64 | Total volume of contracts traded for the day |
| priorDate | int64 | Prior Trading Day Date/Reserved for future use |
| priorDate_str | string | Prior Trading Day Date/Reserved for future use |
| prcAdjValue | double | Corp action adjustment value (0.0 on most days); [todayPrice = priorPrice * prcAdjRatio + prcAdjValue]/Reserved for future use |
| prcAdjRatio | double | Corp action adjustment factor (1.0 on most days)/Reserved for future use |
| priorSRClsPrc | double | Value archived in the previous trading period/Reserved for future use |
| priorClosePrc | double | Prior Trading Day Closing Price/Reserved for future use |
| timestamp_utc | int64 | Timestamp of last update to record - UTC |
| timestamp_utc_str | string | Timestamp of last update to record - UTC |
| srClsPrcSrc | string | Calculation method of srClsPrc |
| closePrcSrc | string | Calculation method of closePrcSrc |
| timestamp_cst | int64 | Time stamp of last update to record - local Chicago time |
| timestamp_cst_str | string | Time stamp of last update to record - local Chicago time |
| securityID | int64 | Security Identification Code for the data source vendor |
| osiKey | string | Options Symbology Initiative 21-character symbol |
Important Dataset Notes
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