OptionRiskFactor

V8 Message Definiton

This table contains the up/dn underlier price slides used in OCC risk calculations. Note that these values are computed by SpiderRock using similar methods but may not exactly match OCC values.

METADATA

Attribute	Value
Topic	1000-analytics
MLink Token	OptAnalytics
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'
ticker_at	enum - AssetType		'None'
ticker_ts	enum - TickerSrc		'None'
ticker_tk	VARCHAR(12)	SEC	''
svol	FLOAT		0	option surface volatility
years	FLOAT		0	years to expiration
up50	FLOAT		0	underlier up 50 slide
dn50	FLOAT		0	underlier dn 50 slide
up15	FLOAT		0	underlier up 15 slide
dn15	FLOAT		0	underlier dn 15 slide
up12	FLOAT		0	underlier up 12 slide
dn12	FLOAT		0	underlier dn 12 slide
up09	FLOAT		0	underlier up 9 slide
dn09	FLOAT		0	underlier dn 9 slide
dn08	FLOAT		0	underlier dn 8 slide
up06	FLOAT		0	underlier up 6 slide
dn06	FLOAT		0	underlier dn 6 slide
up03	FLOAT		0	underlier up 3 slide
dn03	FLOAT		0	underlier dn 3 slide
calcErr	VARCHAR(24)		''	option pricing error otherwise an empty string
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`.`MsgOptionRiskFactor` (
    `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',
    `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 '',
    `svol` FLOAT NOT NULL DEFAULT 0 COMMENT 'option surface volatility',
    `years` FLOAT NOT NULL DEFAULT 0 COMMENT 'years to expiration',
    `up50` FLOAT NOT NULL DEFAULT 0 COMMENT 'underlier up 50% slide',
    `dn50` FLOAT NOT NULL DEFAULT 0 COMMENT 'underlier dn 50% slide',
    `up15` FLOAT NOT NULL DEFAULT 0 COMMENT 'underlier up 15% slide',
    `dn15` FLOAT NOT NULL DEFAULT 0 COMMENT 'underlier dn 15% slide',
    `up12` FLOAT NOT NULL DEFAULT 0 COMMENT 'underlier up 12% slide',
    `dn12` FLOAT NOT NULL DEFAULT 0 COMMENT 'underlier dn 12% slide',
    `up09` FLOAT NOT NULL DEFAULT 0 COMMENT 'underlier up 9% slide',
    `dn09` FLOAT NOT NULL DEFAULT 0 COMMENT 'underlier dn 9% slide',
    `dn08` FLOAT NOT NULL DEFAULT 0 COMMENT 'underlier dn 8% slide',
    `up06` FLOAT NOT NULL DEFAULT 0 COMMENT 'underlier up 6% slide',
    `dn06` FLOAT NOT NULL DEFAULT 0 COMMENT 'underlier dn 6% slide',
    `up03` FLOAT NOT NULL DEFAULT 0 COMMENT 'underlier up 3% slide',
    `dn03` FLOAT NOT NULL DEFAULT 0 COMMENT 'underlier dn 3% slide',
    `calcErr` VARCHAR(24) NOT NULL DEFAULT '' COMMENT 'option pricing error, otherwise, an empty string.',
    `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 the up/dn underlier price slides used in OCC risk calculations.  Note that these values are computed by SpiderRock using similar methods but may not exactly match OCC values.';

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`,
    `svol`,
    `years`,
    `up50`,
    `dn50`,
    `up15`,
    `dn15`,
    `up12`,
    `dn12`,
    `up09`,
    `dn09`,
    `dn08`,
    `up06`,
    `dn06`,
    `up03`,
    `dn03`,
    `calcErr`,
    `calcSource`,
    `timestamp`
FROM `SRAnalytics`.`MsgOptionRiskFactor`
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='OptionRiskFactor' ORDER BY ordinal_position ASC;