OptionImpliedPair

V8 Message Definiton

This table contains current live NBBO prices and implied volatilites as well as greeks and SpiderRock surface volatilities/prices for all call/put pairs in the market.

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'	cp Call
okey_ts	enum - TickerSrc	PRI	'None'	cp Call
okey_tk	VARCHAR(12)	PRI	''	cp Call
okey_yr	SMALLINT UNSIGNED	PRI, SEC	0	cp Call
okey_mn	TINYINT UNSIGNED	PRI, SEC	0	cp Call
okey_dy	TINYINT UNSIGNED	PRI, SEC	0	cp Call
okey_xx	DOUBLE	PRI	0	cp Call
okey_cp	enum - CallPut	PRI	'Call'	cp Call
ticker_at	enum - AssetType		'None'
ticker_ts	enum - TickerSrc		'None'
ticker_tk	VARCHAR(12)	SEC	''
uprc	FLOAT		0	underlier price usually midmarket
years	FLOAT		0	years to expiration
rate	FLOAT		0	interest rate
sdiv	FLOAT		0	sdiv stock dividend rate
ddiv	FLOAT		0	cumulative discrete dividend values
symbolRatio	FLOAT		0	effUPrc uprc symbolRatio
strikeRatio	FLOAT		0	effStrike okeyxx strikeRatio
cashOnExercise	FLOAT		0	cash on exercise multihedge only
xAxis	FLOAT		0	option xAxis moneyness
axisFUPrc	FLOAT		0	option xAxis Fwd UPrc
axisVolRT	FLOAT		0	option xAxis moneyness volatility x sqrtyears
cbid	FLOAT		0	call option bid price
cask	FLOAT		0	call option ask price
cbiv	FLOAT		0	volatility implied by option bid price
caiv	FLOAT		0	volatility implied by option ask price
catm	FLOAT		0	call option atm volatility from SR surface
cvol	FLOAT		0	call option surface volatility
cprc	FLOAT		0	call option surface price
cde	FLOAT		0	option delta from cvol
cga	FLOAT		0	option gamma from cvol
cth	FLOAT		0	option theta from cvol
cve	FLOAT		0	option vega from cvol
cro	FLOAT		0	option rho from cvol
cph	FLOAT		0	option phi from cvol
pbid	FLOAT		0	put option bid price
pask	FLOAT		0	put option ask price
pbiv	FLOAT		0	volatility implied by option bid price
paiv	FLOAT		0	volatility implied by option ask price
patm	FLOAT		0	put option atm volatility from SR surface
pvol	FLOAT		0	put option surface volatility
pprc	FLOAT		0	put option surface price
pde	FLOAT		0	option delta from pvol
pga	FLOAT		0	option gamma from pvol
pth	FLOAT		0	option theta from pvol
pve	FLOAT		0	option vega from pvol
pro	FLOAT		0	option rho from pvol
pph	FLOAT		0	option phi from pvol
calcErr	VARCHAR(24)		''	option pricing error if any
calcSource	enum - CalcSource		'None'
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 (TickerIndex) (Not Unique)

Field	Sequence
ticker_tk	1

CREATE TABLE EXAMPLE QUERY

CREATE TABLE `SRAnalytics`.`MsgOptionImpliedPair` (
    `okey_at` ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') NOT NULL DEFAULT 'None' COMMENT 'cp = Call',
    `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' COMMENT 'cp = Call',
    `okey_tk` VARCHAR(12) NOT NULL DEFAULT '' COMMENT 'cp = Call',
    `okey_yr` SMALLINT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'cp = Call',
    `okey_mn` TINYINT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'cp = Call',
    `okey_dy` TINYINT UNSIGNED NOT NULL DEFAULT 0 COMMENT 'cp = Call',
    `okey_xx` DOUBLE NOT NULL DEFAULT 0 COMMENT 'cp = Call',
    `okey_cp` ENUM('Call','Put','Pair') NOT NULL DEFAULT 'Call' COMMENT 'cp = Call',
    `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 '',
    `uprc` FLOAT NOT NULL DEFAULT 0 COMMENT 'underlier price (usually mid-market)',
    `years` FLOAT NOT NULL DEFAULT 0 COMMENT 'years to expiration',
    `rate` FLOAT NOT NULL DEFAULT 0 COMMENT 'interest rate',
    `sdiv` FLOAT NOT NULL DEFAULT 0 COMMENT 'sdiv (stock dividend) rate',
    `ddiv` FLOAT NOT NULL DEFAULT 0 COMMENT 'cumulative discrete dividend values',
    `symbolRatio` FLOAT NOT NULL DEFAULT 0 COMMENT 'effUPrc = uprc * symbolRatio',
    `strikeRatio` FLOAT NOT NULL DEFAULT 0 COMMENT 'effStrike = okey_xx * strikeRatio',
    `cashOnExercise` FLOAT NOT NULL DEFAULT 0 COMMENT 'cash on exercise (multihedge only)',
    `xAxis` FLOAT NOT NULL DEFAULT 0 COMMENT 'option xAxis moneyness',
    `axisFUPrc` FLOAT NOT NULL DEFAULT 0 COMMENT 'option xAxis Fwd UPrc',
    `axisVolRT` FLOAT NOT NULL DEFAULT 0 COMMENT 'option xAxis moneyness volatility x sqrt(years)',
    `cbid` FLOAT NOT NULL DEFAULT 0 COMMENT 'call option bid price',
    `cask` FLOAT NOT NULL DEFAULT 0 COMMENT 'call option ask price',
    `cbiv` FLOAT NOT NULL DEFAULT 0 COMMENT 'volatility implied by option bid price',
    `caiv` FLOAT NOT NULL DEFAULT 0 COMMENT 'volatility implied by option ask price',
    `catm` FLOAT NOT NULL DEFAULT 0 COMMENT 'call option atm volatility (from SR surface)',
    `cvol` FLOAT NOT NULL DEFAULT 0 COMMENT 'call option surface volatility',
    `cprc` FLOAT NOT NULL DEFAULT 0 COMMENT 'call option surface price',
    `cde` FLOAT NOT NULL DEFAULT 0 COMMENT 'option delta (from cvol)',
    `cga` FLOAT NOT NULL DEFAULT 0 COMMENT 'option gamma (from cvol)',
    `cth` FLOAT NOT NULL DEFAULT 0 COMMENT 'option theta (from cvol)',
    `cve` FLOAT NOT NULL DEFAULT 0 COMMENT 'option vega (from cvol)',
    `cro` FLOAT NOT NULL DEFAULT 0 COMMENT 'option rho (from cvol)',
    `cph` FLOAT NOT NULL DEFAULT 0 COMMENT 'option phi (from cvol)',
    `pbid` FLOAT NOT NULL DEFAULT 0 COMMENT 'put option bid price',
    `pask` FLOAT NOT NULL DEFAULT 0 COMMENT 'put option ask price',
    `pbiv` FLOAT NOT NULL DEFAULT 0 COMMENT 'volatility implied by option bid price',
    `paiv` FLOAT NOT NULL DEFAULT 0 COMMENT 'volatility implied by option ask price',
    `patm` FLOAT NOT NULL DEFAULT 0 COMMENT 'put option atm volatility (from SR surface)',
    `pvol` FLOAT NOT NULL DEFAULT 0 COMMENT 'put option surface volatility',
    `pprc` FLOAT NOT NULL DEFAULT 0 COMMENT 'put option surface price',
    `pde` FLOAT NOT NULL DEFAULT 0 COMMENT 'option delta (from pvol)',
    `pga` FLOAT NOT NULL DEFAULT 0 COMMENT 'option gamma (from pvol)',
    `pth` FLOAT NOT NULL DEFAULT 0 COMMENT 'option theta (from pvol)',
    `pve` FLOAT NOT NULL DEFAULT 0 COMMENT 'option vega (from pvol)',
    `pro` FLOAT NOT NULL DEFAULT 0 COMMENT 'option rho (from pvol)',
    `pph` FLOAT NOT NULL DEFAULT 0 COMMENT 'option phi (from pvol)',
    `calcErr` VARCHAR(24) NOT NULL DEFAULT '' COMMENT 'option pricing error (if any)',
    `calcSource` ENUM('None','Tick','Loop') NOT NULL DEFAULT 'None',
    `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 `TickerIndex` (`ticker_tk`) USING HASH
) ENGINE=SRSE DEFAULT CHARSET=LATIN1 COMMENT='This table contains current live NBBO prices and implied volatilites as well as greeks and SpiderRock surface volatilities/prices for all call/put pairs in the market.';

SELECT TABLE EXAMPLE QUERY

SELECT
    `okey_at`,
    `okey_ts`,
    `okey_tk`,
    `okey_yr`,
    `okey_mn`,
    `okey_dy`,
    `okey_xx`,
    `okey_cp`,
    `ticker_at`,
    `ticker_ts`,
    `ticker_tk`,
    `uprc`,
    `years`,
    `rate`,
    `sdiv`,
    `ddiv`,
    `symbolRatio`,
    `strikeRatio`,
    `cashOnExercise`,
    `xAxis`,
    `axisFUPrc`,
    `axisVolRT`,
    `cbid`,
    `cask`,
    `cbiv`,
    `caiv`,
    `catm`,
    `cvol`,
    `cprc`,
    `cde`,
    `cga`,
    `cth`,
    `cve`,
    `cro`,
    `cph`,
    `pbid`,
    `pask`,
    `pbiv`,
    `paiv`,
    `patm`,
    `pvol`,
    `pprc`,
    `pde`,
    `pga`,
    `pth`,
    `pve`,
    `pro`,
    `pph`,
    `calcErr`,
    `calcSource`,
    `timestamp`
FROM `SRAnalytics`.`MsgOptionImpliedPair`
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='OptionImpliedPair' ORDER BY ordinal_position ASC;