OptSurface
| # | Message Name | Description |
|---|---|---|
| 3225 | 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. HistoricalVolatility records are published to the SpiderRock elastic cluster nightly. |
| 1010 | LiveAtmVol | LiveAtmVol records are computed and publish continuously during trading hours |
| 1030 | LiveSurfaceAtm | |
| 1035 | LiveSurfaceCurve | LiveSurfaceCurve (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). |
| 1040 | LiveSurfaceFixedGrid | LiveSurfaceFixedGrid records contain live interpolated censored surface volatilities across a range of delta strikes and fixed days to expiration. Each record contains the implied and realized earnings move for the ticker, along with the forecasted earnings count, forward, sdiv, skew slope, and vol width correspoding to its days to expiration. |
| 1045 | LiveSurfaceFixedTerm | LiveSurfaceFixedTerm records contain interpolated censored at-the-money volatilities at fixed days to expiration. These records also include implied and realized earnings moves, forecasted earnings counts, forwards, sdivs, skew slopes, and vol widths. |
| 1165 | OptionAtmMinuteBarSet | OptionAtmMinuteBar records are created once every 10 minutes for all option markets and are visible in SRSE and MLink and are published to the SpiderRock elastic cluster at the same time. |