HistoricalVolatilities
Values 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.\nHistoricalVolatility records are published to the SpiderRock elastic cluster nightly.
METADATA
Attribute | Value |
---|---|
Topic | 3225-market-statistics |
MLink Token | OptSurface |
Product | SRAnalytics |
accessType | SELECT |
Table Definition
Field | Type | Key | Default Value | Comment |
---|---|---|---|---|
ticker_at | enum - AssetType | PRI | 'None' | |
ticker_ts | enum - TickerSrc | PRI | 'None' | |
ticker_tk | VARCHAR(12) | PRI | '' | |
windowType | VARCHAR(12) | PRI | '' | eg cc ccCen ccClCen hl hlCen iv63 iv126 etc |
date | VARCHAR(10) | '' | most recent closing date | |
securityID | INT | 0 | ||
value | FLOAT | 0 | most recent historical value | |
mv_5d | FLOAT | 0 | historical mean value 5 day window | |
sd_5d | FLOAT | 0 | historical std dev 5 day window | |
mv_10d | FLOAT | 0 | ||
sd_10d | FLOAT | 0 | ||
mv_21d | FLOAT | 0 | ||
sd_21d | FLOAT | 0 | ||
mv_42d | FLOAT | 0 | ||
sd_42d | FLOAT | 0 | ||
mv_63d | FLOAT | 0 | ||
sd_63d | FLOAT | 0 | ||
mv_84d | FLOAT | 0 | ||
sd_84d | FLOAT | 0 | ||
mv_105d | FLOAT | 0 | ||
sd_105d | FLOAT | 0 | ||
mv_126d | FLOAT | 0 | ||
sd_126d | FLOAT | 0 | ||
mv_189d | FLOAT | 0 | ||
sd_189d | FLOAT | 0 | ||
mv_252d | FLOAT | 0 | ||
sd_252d | FLOAT | 0 | ||
mv_378d | FLOAT | 0 | ||
sd_378d | FLOAT | 0 | ||
mv_504d | FLOAT | 0 | ||
sd_504d | FLOAT | 0 | ||
timestamp | DATETIME(6) | '1900-01-01 00:00:00.000000' | record update timestamp |
PRIMARY KEY DEFINITION (Unique)
Field | Sequence |
---|---|
ticker_tk | 1 |
ticker_at | 2 |
ticker_ts | 3 |
windowType | 4 |
CREATE TABLE EXAMPLE QUERY
CREATE TABLE `SRAnalytics`.`MsgHistoricalVolatilities` (
`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 '',
`windowType` VARCHAR(12) NOT NULL DEFAULT '' COMMENT 'eg. cc, ccCen, ccClCen, hl, hlCen, iv63, iv126, etc',
`date` VARCHAR(10) NOT NULL DEFAULT '' COMMENT 'most recent closing date',
`securityID` INT NOT NULL DEFAULT 0,
`value` FLOAT NOT NULL DEFAULT 0 COMMENT 'most recent historical value',
`mv_5d` FLOAT NOT NULL DEFAULT 0 COMMENT 'historical mean value (5 day window)',
`sd_5d` FLOAT NOT NULL DEFAULT 0 COMMENT 'historical std dev (5 day window)',
`mv_10d` FLOAT NOT NULL DEFAULT 0,
`sd_10d` FLOAT NOT NULL DEFAULT 0,
`mv_21d` FLOAT NOT NULL DEFAULT 0,
`sd_21d` FLOAT NOT NULL DEFAULT 0,
`mv_42d` FLOAT NOT NULL DEFAULT 0,
`sd_42d` FLOAT NOT NULL DEFAULT 0,
`mv_63d` FLOAT NOT NULL DEFAULT 0,
`sd_63d` FLOAT NOT NULL DEFAULT 0,
`mv_84d` FLOAT NOT NULL DEFAULT 0,
`sd_84d` FLOAT NOT NULL DEFAULT 0,
`mv_105d` FLOAT NOT NULL DEFAULT 0,
`sd_105d` FLOAT NOT NULL DEFAULT 0,
`mv_126d` FLOAT NOT NULL DEFAULT 0,
`sd_126d` FLOAT NOT NULL DEFAULT 0,
`mv_189d` FLOAT NOT NULL DEFAULT 0,
`sd_189d` FLOAT NOT NULL DEFAULT 0,
`mv_252d` FLOAT NOT NULL DEFAULT 0,
`sd_252d` FLOAT NOT NULL DEFAULT 0,
`mv_378d` FLOAT NOT NULL DEFAULT 0,
`sd_378d` FLOAT NOT NULL DEFAULT 0,
`mv_504d` FLOAT NOT NULL DEFAULT 0,
`sd_504d` FLOAT NOT NULL DEFAULT 0,
`timestamp` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000' COMMENT 'record update timestamp',
PRIMARY KEY USING HASH (`ticker_tk`,`ticker_at`,`ticker_ts`,`windowType`)
) ENGINE=SRSE DEFAULT CHARSET=LATIN1 COMMENT='Values 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.\nHistoricalVolatility records are published to the SpiderRock elastic cluster nightly.';
SELECT TABLE EXAMPLE QUERY
SELECT
`ticker_at`,
`ticker_ts`,
`ticker_tk`,
`windowType`,
`date`,
`securityID`,
`value`,
`mv_5d`,
`sd_5d`,
`mv_10d`,
`sd_10d`,
`mv_21d`,
`sd_21d`,
`mv_42d`,
`sd_42d`,
`mv_63d`,
`sd_63d`,
`mv_84d`,
`sd_84d`,
`mv_105d`,
`sd_105d`,
`mv_126d`,
`sd_126d`,
`mv_189d`,
`sd_189d`,
`mv_252d`,
`sd_252d`,
`mv_378d`,
`sd_378d`,
`mv_504d`,
`sd_504d`,
`timestamp`
FROM `SRAnalytics`.`MsgHistoricalVolatilities`
WHERE
/* Replace with a ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') */
`ticker_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') */
`ticker_ts` = 'None'
AND
/* Replace with a VARCHAR(12) */
`ticker_tk` = 'Example_ticker_tk'
AND
/* Replace with a VARCHAR(12) */
`windowType` = 'Example_windowType';
Doc Columns Query
SELECT * FROM SRAnalytics.doccolumns WHERE TABLE_NAME='HistoricalVolatilities' ORDER BY ordinal_position ASC;