Skip to main content
Version: 8.4.08.4

OptSurface

#Message NameDescription
3225HistoricalVolatilitiesValues in this table are computed daily and are calculated from end-of-day marks from the previous period. Official exchange closing values are used where possible.

HistoricalVolatility records are published to the SpiderRock elastic cluster nightly.
1010LiveAtmVolLiveAtmVol records are computed and publish continuously during trading hours
1035LiveSurfaceCurveLiveSurfaceCurve (surfaceType = 'Live') records are computed and publish continuously during trading hours and represent a current best implied volatility market fit.

SurfaceType = 'PriorDay' records contain the `closing surface record from the prior trading period (usually from just before the last main session close).
1040LiveSurfaceFixedGridThis table contains a live grided (interpolated) censored implied volatility surface. Each record contains standarized live and prior period implied volatilities at standarized skew points for a standardized days-to-expiration value.

LiveSurfaceGrid records are published to the SpiderRock elastic cluster nightly.
1045LiveSurfaceFixedTermLiveSurfaceFixedTerm (surfaceType = 'Live') records contain a live implied volatility term record at standardized days-to-expiration. SurfaceType = 'PriorDay' records contain the final record from the prior trading day.

These records include implied and histrical earnings moves, implied earnings date adjustments, and interpolated/gridded atm, sdiv, and quote width values.

LiveSurfaceTerm records are published to the SpiderRock elastic cluster every 10 minutes for all equity and index underliers with options.
6820OptionAtmMinuteBarData