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Version: 8.4.08.4

LiveSurfaceFixedGrid

V8 Message Definiton

This 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.\nLiveSurfaceGrid records are published to the SpiderRock elastic cluster nightly.

METADATA

AttributeValue
Topic1000-analytics
MLink TokenOptSurface
ProductSRAnalytics
accessTypeSELECT

Table Definition

FieldTypeKeyDefault ValueComment
ticker_atenum - AssetTypePRI'None'
ticker_tsenum - TickerSrcPRI'None'
ticker_tkVARCHAR(12)PRI''
daysSMALLINTPRI0days to expiration 5 21 42 63 84 105 126 189 252 378 504
surfaceTypeenum - SurfaceCurveTypePRI'None'
dateVARCHAR(10)''
timeVARCHAR(8)''
sDivFLOAT0Interpolated implied sdiv rate from LiveSurfaceFixedTermsDivN
fwdUPrcFLOAT0Interpolated implied forward price from LiveSurfaceFixedTermfwdUPrcN
eCntINT0Number of expected earnings dates from LiveSurfaceFixedTermeCntN
eMoveFLOAT0Implied earnings move from LiveSurfaceFixedTermeMove
eMoveHistFLOAT0Historical earnings move from LiveSurfaceFixedTermeMoveHist
volD45FLOAT0xde 45 censored volatility
volD40FLOAT0xde 40
volD35FLOAT0xde 35
volD30FLOAT0xde 30
volD25FLOAT0xde 25
volD20FLOAT0xde 20
volD15FLOAT0xde 15
volD10FLOAT0xde 10
volD05FLOAT0xde 5
volA00FLOAT0xde 0
volU05FLOAT0xde 5
volU10FLOAT0xde 10
volU15FLOAT0xde 15
volU20FLOAT0xde 20
volU25FLOAT0xde 25
volU30FLOAT0xde 30
volU35FLOAT0xde 35
volU40FLOAT0xde 40
volU45FLOAT0xde 45
vWidthFLOAT0atm volatility width from LiveSurfaceFixedTermvWidthN
vSlopeFLOAT0atm volatility slope from LiveSurfaceFixedTermvSlopeN
loYearsFLOAT0LiveSurfaceCurveyears before days 1 none
hiYearsFLOAT0LiveSurfaceCurveyears after days 1 none
minDeltaFLOAT0minimum valid strike delta
maxDeltaFLOAT0maximum valid strike delta
timestampDATETIME(6)'1900-01-01 00:00:00.000000'surface fit timestamp

PRIMARY KEY DEFINITION (Unique)

FieldSequence
ticker_tk1
ticker_at2
ticker_ts3
days4
surfaceType5

CREATE TABLE EXAMPLE QUERY

CREATE TABLE `SRAnalytics`.`MsgLiveSurfaceFixedGrid` (
`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 '',
`days` SMALLINT NOT NULL DEFAULT 0 COMMENT 'days to expiration [5, 21, 42, 63, 84, 105, 126, 189, 252, 378, 504]',
`surfaceType` ENUM('None','Live','PrevDay','Interp','Close','Test') NOT NULL DEFAULT 'None',
`date` VARCHAR(10) NOT NULL DEFAULT '',
`time` VARCHAR(8) NOT NULL DEFAULT '',
`sDiv` FLOAT NOT NULL DEFAULT 0 COMMENT 'Interpolated implied sdiv rate (from LiveSurfaceFixedTerm.sDiv_N)',
`fwdUPrc` FLOAT NOT NULL DEFAULT 0 COMMENT 'Interpolated implied forward price (from LiveSurfaceFixedTerm.fwdUPrc_N)',
`eCnt` INT NOT NULL DEFAULT 0 COMMENT 'Number of expected earnings dates (from LiveSurfaceFixedTerm.eCnt_N)',
`eMove` FLOAT NOT NULL DEFAULT 0 COMMENT 'Implied earnings move (from LiveSurfaceFixedTerm.eMove)',
`eMoveHist` FLOAT NOT NULL DEFAULT 0 COMMENT 'Historical earnings move (from LiveSurfaceFixedTerm.eMoveHist)',
`volD45` FLOAT NOT NULL DEFAULT 0 COMMENT 'xde = -45 (censored volatility)',
`volD40` FLOAT NOT NULL DEFAULT 0 COMMENT 'xde = -40',
`volD35` FLOAT NOT NULL DEFAULT 0 COMMENT 'xde = -35',
`volD30` FLOAT NOT NULL DEFAULT 0 COMMENT 'xde = -30',
`volD25` FLOAT NOT NULL DEFAULT 0 COMMENT 'xde = -25',
`volD20` FLOAT NOT NULL DEFAULT 0 COMMENT 'xde = -20',
`volD15` FLOAT NOT NULL DEFAULT 0 COMMENT 'xde = -15',
`volD10` FLOAT NOT NULL DEFAULT 0 COMMENT 'xde = -10',
`volD05` FLOAT NOT NULL DEFAULT 0 COMMENT 'xde = -5',
`volA00` FLOAT NOT NULL DEFAULT 0 COMMENT 'xde = 0',
`volU05` FLOAT NOT NULL DEFAULT 0 COMMENT 'xde = +5',
`volU10` FLOAT NOT NULL DEFAULT 0 COMMENT 'xde = +10',
`volU15` FLOAT NOT NULL DEFAULT 0 COMMENT 'xde = +15',
`volU20` FLOAT NOT NULL DEFAULT 0 COMMENT 'xde = +20',
`volU25` FLOAT NOT NULL DEFAULT 0 COMMENT 'xde = +25',
`volU30` FLOAT NOT NULL DEFAULT 0 COMMENT 'xde = +30',
`volU35` FLOAT NOT NULL DEFAULT 0 COMMENT 'xde = +35',
`volU40` FLOAT NOT NULL DEFAULT 0 COMMENT 'xde = +40',
`volU45` FLOAT NOT NULL DEFAULT 0 COMMENT 'xde = +45',
`vWidth` FLOAT NOT NULL DEFAULT 0 COMMENT 'atm volatility width (from LiveSurfaceFixedTerm.vWidth_N)',
`vSlope` FLOAT NOT NULL DEFAULT 0 COMMENT 'atm volatility slope (from LiveSurfaceFixedTerm.vSlope_N)',
`loYears` FLOAT NOT NULL DEFAULT 0 COMMENT 'LiveSurfaceCurve.years before days [-1 = none]',
`hiYears` FLOAT NOT NULL DEFAULT 0 COMMENT 'LiveSurfaceCurve.years after days [-1 = none]',
`minDelta` FLOAT NOT NULL DEFAULT 0 COMMENT 'minimum valid strike delta',
`maxDelta` FLOAT NOT NULL DEFAULT 0 COMMENT 'maximum valid strike delta',
`timestamp` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000' COMMENT 'surface fit timestamp',
PRIMARY KEY USING HASH (`ticker_tk`,`ticker_at`,`ticker_ts`,`days`,`surfaceType`)
) ENGINE=SRSE DEFAULT CHARSET=LATIN1 COMMENT='This 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.\nLiveSurfaceGrid records are published to the SpiderRock elastic cluster nightly.';

SELECT TABLE EXAMPLE QUERY

SELECT
`ticker_at`,
`ticker_ts`,
`ticker_tk`,
`days`,
`surfaceType`,
`date`,
`time`,
`sDiv`,
`fwdUPrc`,
`eCnt`,
`eMove`,
`eMoveHist`,
`volD45`,
`volD40`,
`volD35`,
`volD30`,
`volD25`,
`volD20`,
`volD15`,
`volD10`,
`volD05`,
`volA00`,
`volU05`,
`volU10`,
`volU15`,
`volU20`,
`volU25`,
`volU30`,
`volU35`,
`volU40`,
`volU45`,
`vWidth`,
`vSlope`,
`loYears`,
`hiYears`,
`minDelta`,
`maxDelta`,
`timestamp`
FROM `SRAnalytics`.`MsgLiveSurfaceFixedGrid`
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 SMALLINT */
`days` = 0
AND
/* Replace with a ENUM('None','Live','PrevDay','Interp','Close','Test') */
`surfaceType` = 'None';

Doc Columns Query

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