OptionImpliedVol
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
Attribute | Value |
---|---|
Topic | 5030-srse-calculators |
MLink Token | SystemData |
Product | SRAnalytics |
accessType | SELECT |
Table Definition
Field | Type | Key | Default Value | Comment |
---|---|---|---|---|
okey_at | enum - AssetType | PRI | 'None' | |
okey_ts | enum - TickerSrc | PRI | 'None' | |
okey_tk | VARCHAR(12) | PRI | '' | |
okey_yr | SMALLINT UNSIGNED | PRI, SEC | 0 | |
okey_mn | TINYINT UNSIGNED | PRI, SEC | 0 | |
okey_dy | TINYINT UNSIGNED | PRI, SEC | 0 | |
okey_xx | DOUBLE | PRI | 0 | |
okey_cp | enum - CallPut | PRI | 'Call' | |
okeyOSI | VARCHAR(21) | SEC | '' | |
ticker_at | enum - AssetType | 'None' | ||
ticker_ts | enum - TickerSrc | 'None' | ||
ticker_tk | VARCHAR(12) | SEC | '' | |
ubid | FLOAT | 0 | ||
uask | FLOAT | 0 | ||
yrs | FLOAT | 0 | ||
uprc | FLOAT | 0 | ||
rate | FLOAT | 0 | ||
sdiv | FLOAT | 0 | ||
ddiv | FLOAT | 0 | ||
cash | FLOAT | 0 | ||
obid | FLOAT | 0 | ||
oask | FLOAT | 0 | ||
obiv | FLOAT | 0 | volatility implied by option bid price | |
oaiv | FLOAT | 0 | volatility implied by option ask price | |
svol | FLOAT | 0 | ||
sprc | FLOAT | 0 | ||
de | FLOAT | 0 | ||
ga | FLOAT | 0 | ||
th | FLOAT | 0 | ||
ve | FLOAT | 0 | ||
vo | FLOAT | 0 | ||
va | FLOAT | 0 | ||
deDecay | FLOAT | 0 | ||
ro | FLOAT | 0 | ||
err | TINYINT UNSIGNED | 0 | ||
theoErr | VARCHAR(24) | '' | ||
calcErr | VARCHAR(24) | '' | ||
timestamp | DATETIME(6) | '1900-01-01 00:00:00.000000' |
PRIMARY KEY DEFINITION (Unique)
Field | Sequence |
---|---|
okey_tk | 1 |
okey_yr | 2 |
okey_mn | 3 |
okey_dy | 4 |
okey_xx | 5 |
okey_cp | 6 |
okey_at | 7 |
okey_ts | 8 |
SECONDARY INDEX (ExpirationIndex) (Not Unique)
Field | Sequence |
---|---|
okey_yr | 1 |
okey_mn | 2 |
okey_dy | 3 |
SECONDARY INDEX (OSISymbolIndex) (Not Unique)
Field | Sequence |
---|---|
okeyOSI | 1 |
SECONDARY INDEX (TickerIndex) (Not Unique)
Field | Sequence |
---|---|
ticker_tk | 1 |
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;