
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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