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spiderrock_optionclosemarkhist_eqt

spiderrock_optionclosemarkhist_eqt by SpiderRock

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 tradingSession
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 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 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
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 SpiderRock security ID
osiKey string Options Symbology Initiative 21-character symbol


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.