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Version: 8.4.08.4

OptionImpliedVol

V8 Message Definiton

This table contains option implied volatilities computed using fast/accurate calcuation methods while the SELECT is processing. Note that if you need even faster queries that cover a large number of strikes you may be better off using the OptionImpliedQuoteAdj table as it is pre-computed.

METADATA

AttributeValue
Topic5030-srse-calculators
MLink TokenSystemData
ProductSRAnalytics
accessTypeSELECT

Table Definition

FieldTypeKeyDefault ValueComment
okey_atenum - AssetTypePRI'None'
okey_tsenum - TickerSrcPRI'None'
okey_tkVARCHAR(12)PRI''
okey_yrSMALLINT UNSIGNEDPRI, SEC0
okey_mnTINYINT UNSIGNEDPRI, SEC0
okey_dyTINYINT UNSIGNEDPRI, SEC0
okey_xxDOUBLEPRI0
okey_cpenum - CallPutPRI'Call'
okeyOSIVARCHAR(21)SEC''
ticker_atenum - AssetType'None'
ticker_tsenum - TickerSrc'None'
ticker_tkVARCHAR(12)SEC''
ubidFLOAT0
uaskFLOAT0
yrsFLOAT0
uprcFLOAT0
rateFLOAT0
sdivFLOAT0
ddivFLOAT0
cashFLOAT0
obidFLOAT0
oaskFLOAT0
obivFLOAT0volatility implied by option bid price
oaivFLOAT0volatility implied by option ask price
svolFLOAT0
sprcFLOAT0
deFLOAT0
gaFLOAT0
thFLOAT0
veFLOAT0
voFLOAT0
vaFLOAT0
deDecayFLOAT0
roFLOAT0
errTINYINT UNSIGNED0
theoErrVARCHAR(24)''
calcErrVARCHAR(24)''
timestampDATETIME(6)'1900-01-01 00:00:00.000000'

PRIMARY KEY DEFINITION (Unique)

FieldSequence
okey_tk1
okey_yr2
okey_mn3
okey_dy4
okey_xx5
okey_cp6
okey_at7
okey_ts8

SECONDARY INDEX (ExpirationIndex) (Not Unique)

FieldSequence
okey_yr1
okey_mn2
okey_dy3

SECONDARY INDEX (OSISymbolIndex) (Not Unique)

FieldSequence
okeyOSI1

SECONDARY INDEX (TickerIndex) (Not Unique)

FieldSequence
ticker_tk1

CREATE TABLE EXAMPLE QUERY

CREATE TABLE `SRAnalytics`.`MsgOptionImpliedVol` (
`okey_at` ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') NOT NULL DEFAULT 'None',
`okey_ts` ENUM('None','SR','NMS','CME','ICE','CFE','CBOT','NYMEX','COMEX','RUT','CIDX','ARCA','NYSE','OTC','NSDQ','MFQS','MIAX','DJI','CUSIP','ISIN','BXE','ESX','ANY','CXE','DXE','NXAM','NXBR','NXDUB','NXLS','NXLDN','NXML','NXMLT','NXOS','NXP','EUREX','CEDX','ICEFE') NOT NULL DEFAULT 'None',
`okey_tk` VARCHAR(12) NOT NULL DEFAULT '',
`okey_yr` SMALLINT UNSIGNED NOT NULL DEFAULT 0,
`okey_mn` TINYINT UNSIGNED NOT NULL DEFAULT 0,
`okey_dy` TINYINT UNSIGNED NOT NULL DEFAULT 0,
`okey_xx` DOUBLE NOT NULL DEFAULT 0,
`okey_cp` ENUM('Call','Put','Pair') NOT NULL DEFAULT 'Call',
`okeyOSI` VARCHAR(21) NOT NULL DEFAULT '',
`ticker_at` ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') NOT NULL DEFAULT 'None',
`ticker_ts` ENUM('None','SR','NMS','CME','ICE','CFE','CBOT','NYMEX','COMEX','RUT','CIDX','ARCA','NYSE','OTC','NSDQ','MFQS','MIAX','DJI','CUSIP','ISIN','BXE','ESX','ANY','CXE','DXE','NXAM','NXBR','NXDUB','NXLS','NXLDN','NXML','NXMLT','NXOS','NXP','EUREX','CEDX','ICEFE') NOT NULL DEFAULT 'None',
`ticker_tk` VARCHAR(12) NOT NULL DEFAULT '',
`ubid` FLOAT NOT NULL DEFAULT 0,
`uask` FLOAT NOT NULL DEFAULT 0,
`yrs` FLOAT NOT NULL DEFAULT 0,
`uprc` FLOAT NOT NULL DEFAULT 0,
`rate` FLOAT NOT NULL DEFAULT 0,
`sdiv` FLOAT NOT NULL DEFAULT 0,
`ddiv` FLOAT NOT NULL DEFAULT 0,
`cash` FLOAT NOT NULL DEFAULT 0,
`obid` FLOAT NOT NULL DEFAULT 0,
`oask` FLOAT NOT NULL DEFAULT 0,
`obiv` FLOAT NOT NULL DEFAULT 0 COMMENT 'volatility implied by option bid price',
`oaiv` FLOAT NOT NULL DEFAULT 0 COMMENT 'volatility implied by option ask price',
`svol` FLOAT NOT NULL DEFAULT 0,
`sprc` FLOAT NOT NULL DEFAULT 0,
`de` FLOAT NOT NULL DEFAULT 0,
`ga` FLOAT NOT NULL DEFAULT 0,
`th` FLOAT NOT NULL DEFAULT 0,
`ve` FLOAT NOT NULL DEFAULT 0,
`vo` FLOAT NOT NULL DEFAULT 0,
`va` FLOAT NOT NULL DEFAULT 0,
`deDecay` FLOAT NOT NULL DEFAULT 0,
`ro` FLOAT NOT NULL DEFAULT 0,
`err` TINYINT UNSIGNED NOT NULL DEFAULT 0,
`theoErr` VARCHAR(24) NOT NULL DEFAULT '',
`calcErr` VARCHAR(24) NOT NULL DEFAULT '',
`timestamp` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000',
PRIMARY KEY USING HASH (`okey_tk`,`okey_yr`,`okey_mn`,`okey_dy`,`okey_xx`,`okey_cp`,`okey_at`,`okey_ts`),
KEY `ExpirationIndex` (`okey_yr`,`okey_mn`,`okey_dy`) USING HASH,
KEY `OSISymbolIndex` (`okeyOSI`) USING HASH,
KEY `TickerIndex` (`ticker_tk`) USING HASH
) ENGINE=SRSE DEFAULT CHARSET=LATIN1 COMMENT='This table contains option implied volatilities computed using fast/accurate calcuation methods while the SELECT is processing. Note that if you need even faster queries that cover a large number of strikes you may be better off using the OptionImpliedQuoteAdj table as it is pre-computed.';

SELECT TABLE EXAMPLE QUERY

SELECT
`okey_at`,
`okey_ts`,
`okey_tk`,
`okey_yr`,
`okey_mn`,
`okey_dy`,
`okey_xx`,
`okey_cp`,
`okeyOSI`,
`ticker_at`,
`ticker_ts`,
`ticker_tk`,
`ubid`,
`uask`,
`yrs`,
`uprc`,
`rate`,
`sdiv`,
`ddiv`,
`cash`,
`obid`,
`oask`,
`obiv`,
`oaiv`,
`svol`,
`sprc`,
`de`,
`ga`,
`th`,
`ve`,
`vo`,
`va`,
`deDecay`,
`ro`,
`err`,
`theoErr`,
`calcErr`,
`timestamp`
FROM `SRAnalytics`.`MsgOptionImpliedVol`
WHERE
/* Replace with a ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') */
`okey_at` = 'None'
AND
/* Replace with a ENUM('None','SR','NMS','CME','ICE','CFE','CBOT','NYMEX','COMEX','RUT','CIDX','ARCA','NYSE','OTC','NSDQ','MFQS','MIAX','DJI','CUSIP','ISIN','BXE','ESX','ANY','CXE','DXE','NXAM','NXBR','NXDUB','NXLS','NXLDN','NXML','NXMLT','NXOS','NXP','EUREX','CEDX','ICEFE') */
`okey_ts` = 'None'
AND
/* Replace with a VARCHAR(12) */
`okey_tk` = 'Example_okey_tk'
AND
/* Replace with a SMALLINT UNSIGNED */
`okey_yr` = 123
AND
/* Replace with a TINYINT UNSIGNED */
`okey_mn` = 1
AND
/* Replace with a TINYINT UNSIGNED */
`okey_dy` = 1
AND
/* Replace with a DOUBLE */
`okey_xx` = 4.56
AND
/* Replace with a ENUM('Call','Put','Pair') */
`okey_cp` = 'Call';

Doc Columns Query

SELECT * FROM SRAnalytics.doccolumns WHERE TABLE_NAME='OptionImpliedVol' ORDER BY ordinal_position ASC;