Version: 8.6.10.4

TheoExpirySurface

TheoExpirySurface records carry a client theoretical volatility surface for one ExpiryKey (ticker + expiration) and one theo model: the centre line, its dynamics, its pricing package and its validity. The skew shape comes from one of three sources: a parametric function on this record (skewSource = Parametric), an x/y point curve on the TheoExpiryPtSkew record with the same key (PtSkew), or the SpiderRock live expiry skew rescaled to theoVol with a tilt and a curvature multiplier (SRSurface). The level is a blend of the client vol path and the live SpiderRock atm vol: theoVolAdj = srAtmWeight * srAtmVol + (1 - srAtmWeight) * (theoVol + tvSlope * (uPrc - refUPrc)). srAtmWeight = 1 tracks the SR atm vol, 0 floats on the client path. The vol response to the underlier (hedge delta) is tvSlope plus the strike-specific slope the skew implies, at any srAtmWeight. tvSlope is either given (dynamics = TvSlope) or derived as ssr * skewSlope(atmStrike), the SR surface's fixed-strike skew slope at the atm strike (dynamics = SSR). The SRSurface source anchors at refUPrc and is evaluated at the live underlier or at a shocked evalUPrc, which covers both trading (live) and risk scenario (shocked) use. Every consumer (alt limit, auction responder, risk theo markup, hedge greeks, scanners) resolves the same theo point from this record and applies its own offsets; nothing on this record describes how to trade it. A surface prices only while theoStatus = Valid, the live underlier is inside [minUBid, maxUAsk] and the record is within maxAgeDays of its timestamp; otherwise consumers hold or skip. Pricing package precedence, separately for rate, sdiv and discrete dividends: the value on this record, else the client's override table when the matching flag is Yes, else the SpiderRock live value.

METADATA

Attribute	Value
Topic	1945-client-theos
MLink Token	ClientTheo
Product	SRTheo
accessType	SELECT,UPDATE,INSERT,DELETE
MLink Endpoint	MLink-Live

Table Definition

Field	Type	Key	Default Value	Comment
ekey_at	enum - AssetType	PRI	'None'	expiry this surface belongs to ticker expiration
ekey_ts	enum - TickerSrc	PRI	'None'	expiry this surface belongs to ticker expiration
ekey_tk	VARCHAR(12)	PRI	''	expiry this surface belongs to ticker expiration
ekey_yr	SMALLINT UNSIGNED	PRI	0	expiry this surface belongs to ticker expiration
ekey_mn	TINYINT UNSIGNED	PRI	0	expiry this surface belongs to ticker expiration
ekey_dy	TINYINT UNSIGNED	PRI	0	expiry this surface belongs to ticker expiration
theoModel	VARCHAR(16)	PRI	''	client theo model name a client may run several models per expiry
clientFirm	VARCHAR(16)	PRI	''	client firm this theo model is associated with controls visibility
ticker_at	enum - AssetType		'None'	underlier ticker same as ekeyticker kept for filtering and joins
ticker_ts	enum - TickerSrc		'None'	underlier ticker same as ekeyticker kept for filtering and joins
ticker_tk	VARCHAR(12)		''	underlier ticker same as ekeyticker kept for filtering and joins
skewSource	enum - TheoSkewSource		'None'	Parametric skewFunc paramAN PtSkew TheoExpiryPtSkew with the same key SRSurface SR live expiry skew rescaled to theoVol paramA linear tilt paramB curvature multiplier 0 SR shape unchanged
skewFunc	enum - TheoSkewFunc		'None'	parametric skew function skewSource Parametric only SVI uses paramAD SVIExtended reserves paramEN
paramA	FLOAT		0	parametric curve parameter
paramB	FLOAT		0	parametric curve parameter
paramC	FLOAT		0	parametric curve parameter
paramD	FLOAT		0	parametric curve parameter
paramE	FLOAT		0	parametric curve parameter
paramF	FLOAT		0	parametric curve parameter
paramG	FLOAT		0	parametric curve parameter
paramH	FLOAT		0	parametric curve parameter
paramI	FLOAT		0	parametric curve parameter
paramJ	FLOAT		0	parametric curve parameter
paramK	FLOAT		0	parametric curve parameter
paramL	FLOAT		0	parametric curve parameter
paramM	FLOAT		0	parametric curve parameter
paramN	FLOAT		0	parametric curve parameter
theoVol	FLOAT		-99	client theo vol at the reference strike x 0 of the skew source when uPrc refUPrc the level for AtmRatio AtmDiff point curves and for SRSurface 99 none valid only for a PtSkew curve with yType Vol on an axis that needs no axisVol
refUPrc	FLOAT		-99	underlier price as quoted before any contract adjustment the vol path is anchored at 99 the evaluation spot ie no vol path term
srAtmWeight	FLOAT		0	w 01 theoVolAdj w srAtmVol 1 w theoVol tvSlope uPrc refUPrc 1 track the SR atm vol 0 float on the client vol path tvSlope drives the hedge delta at any w
evalUPrc	FLOAT		-99	underlier price the skew is evaluated at 99 the live underlier a value a shocked spot honoured by scenario consumers only never by trading limits or marks no scenario consumer reads it yet
dynamics	enum - TheoDynamics		'None'	TvSlope use tvSlope as given SSR derive tvSlope from the SR skew through ssr None TvSlope
tvSlope	FLOAT		0	dTheoVol dUPrc of the client vol path dynamics TvSlope the perstrike vol response is tvSlope plus the skewimplied strikespecific slope
ssr	FLOAT		-99	skewstickiness ratio dynamics SSR tvSlope ssr skewSlopeatmStrike where skewSlopeatmStrike is the SR surfaces fixedstrike skew slope dVol dStrike at the atm strike 1 sticky strike 0 sticky delta equity indices typically above 1 99 use the house SSR published on the SR live surface
minUBid	FLOAT		0	the surface is valid while the live underlier is inside minUBid maxUAsk 0 no lower bound
maxUAsk	FLOAT		0	upper bound of the valid underlier range 0 no upper bound
maxAgeDays	INT		1	days after timestamp the record stays current a rulesbased record srAtmWeight 1 or SSR can be weekly 0 1 the resolver caps it at 30
theoSDiv	FLOAT		-99	theo sdiv annualized continuous decimal 99 fall through to the override table if userSDivOverride Yes else SR live sdiv
theoRate	FLOAT		-99	theo rate annualized continuous decimal 005 5 pct 99 fall through to the override table if userRateOverride Yes else SR live rate
userRateOverride	enum - YesNo		'No'	use the UserRateOverride curve instead of the SR rate curve when theoRate is not set
userSDivOverride	enum - YesNo		'No'	use the UserSDivOverride record instead of SR sdiv when theoSDiv is not set
userDDivOverride	enum - YesNo		'No'	use the UserDividendOverride record instead of SR discrete dividends
theoStatus	enum - TheoSurfaceStatus		'None'	Valid is the only status consumers price from None and Invalid hold
modifiedBy	VARCHAR(24)		''	user who last modified this record
modifiedIn	enum - SysEnvironment		'None'	source of the last modification SRSE MLink tool
timestamp	DATETIME(6)		'1900-01-01 00:00:00.000000'	timestamp of last modification the record is current for maxAgeDays after this
comment	TINYTEXT		''	freeform client note not read by any consumer

PRIMARY KEY DEFINITION (Unique)

Field	Sequence
ekey_tk	1
ekey_yr	2
ekey_mn	3
ekey_dy	4
ekey_at	5
ekey_ts	6
theoModel	7
clientFirm	8

SELECT TABLE EXAMPLE QUERY

SELECT *
FROM `SRTheo`.`MsgTheoExpirySurface`
WHERE 
    /* Replace with a ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY','RATE','CRDT','GCR','SWAP','ENT','MBS','SET','LOAN') */ 
    `ekey_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','SCE','ANY','CXE','DXE','NXAM','NXBR','NXLS','NXML','NXOS','NXP','EUREX','CEDX','ICEFEC','ICEFEF','CEQT','TSX','TMX','CRCY','CMDY','DTI','SOVN','SR_US','SR_EU','SR_AP','SR_UK','USD','EUR','GBP','CHF','JPY','CAD','AUD','HKD','KRW','INR','SGD','TWD','CNY','CNH','BRL','MXN','ZAR','SEK','NOK','DKK','PLN','ILS','TRY','NZD','THB','MYR','IDR','PHP','CZK','HUF','SAR','AED','CLP','COP') */ 
    `ekey_ts` = 'NONE'
  AND
    /* Replace with a VARCHAR(12) */ 
    `ekey_tk` = 'Example_ekey_tk'
  AND
    /* Replace with a SMALLINT UNSIGNED */ 
    `ekey_yr` = 123
  AND
    /* Replace with a TINYINT UNSIGNED */ 
    `ekey_mn` = 1
  AND
    /* Replace with a TINYINT UNSIGNED */ 
    `ekey_dy` = 1
  AND
    /* Replace with a VARCHAR(16) */ 
    `theoModel` = 'Example_theoModel'
  AND
    /* Replace with a VARCHAR(16) */ 
    `clientFirm` = 'Example_clientFirm';

UPDATE TABLE EXAMPLE QUERY

UPDATE `SRTheo`.`MsgTheoExpirySurface` 
SET
    /* Replace with a ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY','RATE','CRDT','GCR','SWAP','ENT','MBS','SET','LOAN') */ 
    `ticker_at` = 'NONE',
    /* 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','SCE','ANY','CXE','DXE','NXAM','NXBR','NXLS','NXML','NXOS','NXP','EUREX','CEDX','ICEFEC','ICEFEF','CEQT','TSX','TMX','CRCY','CMDY','DTI','SOVN','SR_US','SR_EU','SR_AP','SR_UK','USD','EUR','GBP','CHF','JPY','CAD','AUD','HKD','KRW','INR','SGD','TWD','CNY','CNH','BRL','MXN','ZAR','SEK','NOK','DKK','PLN','ILS','TRY','NZD','THB','MYR','IDR','PHP','CZK','HUF','SAR','AED','CLP','COP') */ 
    `ticker_ts` = 'NONE',
    /* Replace with a VARCHAR(12) */ 
    `ticker_tk` = 'Example_ticker_tk',
    /* Replace with a ENUM('None','Parametric','PtSkew','SRSurface') */ 
    `skewSource` = 'NONE',
    /* Replace with a ENUM('None','SVI','SVI_Extended') */ 
    `skewFunc` = 'NONE',
    /* Replace with a FLOAT */
    `paramA` = 1.23,
    /* Replace with a FLOAT */
    `paramB` = 1.23,
    /* Replace with a FLOAT */
    `paramC` = 1.23,
    /* Replace with a FLOAT */
    `paramD` = 1.23,
    /* Replace with a FLOAT */
    `paramE` = 1.23,
    /* Replace with a FLOAT */
    `paramF` = 1.23,
    /* Replace with a FLOAT */
    `paramG` = 1.23,
    /* Replace with a FLOAT */
    `paramH` = 1.23,
    /* Replace with a FLOAT */
    `paramI` = 1.23,
    /* Replace with a FLOAT */
    `paramJ` = 1.23,
    /* Replace with a FLOAT */
    `paramK` = 1.23,
    /* Replace with a FLOAT */
    `paramL` = 1.23,
    /* Replace with a FLOAT */
    `paramM` = 1.23,
    /* Replace with a FLOAT */
    `paramN` = 1.23,
    /* Replace with a FLOAT */
    `theoVol` = 1.23,
    /* Replace with a FLOAT */
    `refUPrc` = 1.23,
    /* Replace with a FLOAT */
    `srAtmWeight` = 1.23,
    /* Replace with a FLOAT */
    `evalUPrc` = 1.23,
    /* Replace with a ENUM('None','TvSlope','SSR') */ 
    `dynamics` = 'NONE',
    /* Replace with a FLOAT */
    `tvSlope` = 1.23,
    /* Replace with a FLOAT */
    `ssr` = 1.23,
    /* Replace with a FLOAT */
    `minUBid` = 1.23,
    /* Replace with a FLOAT */
    `maxUAsk` = 1.23,
    /* Replace with a INT */
    `maxAgeDays` = 5,
    /* Replace with a FLOAT */
    `theoSDiv` = 1.23,
    /* Replace with a FLOAT */
    `theoRate` = 1.23,
    /* Replace with a ENUM('None','Yes','No') */
    `userRateOverride` = 'NONE',
    /* Replace with a ENUM('None','Yes','No') */
    `userSDivOverride` = 'NONE',
    /* Replace with a ENUM('None','Yes','No') */
    `userDDivOverride` = 'NONE',
    /* Replace with a ENUM('None','Valid','Invalid') */ 
    `theoStatus` = 'NONE',
    /* Replace with a DATETIME(6) */
    `timestamp` = '2022-01-01 12:34:56.000000',
    /* Replace with a TINYTEXT */ 
    `comment` = 'dummy tiny text'
WHERE
    /* Replace with a ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY','RATE','CRDT','GCR','SWAP','ENT','MBS','SET','LOAN') */ 
    `ekey_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','SCE','ANY','CXE','DXE','NXAM','NXBR','NXLS','NXML','NXOS','NXP','EUREX','CEDX','ICEFEC','ICEFEF','CEQT','TSX','TMX','CRCY','CMDY','DTI','SOVN','SR_US','SR_EU','SR_AP','SR_UK','USD','EUR','GBP','CHF','JPY','CAD','AUD','HKD','KRW','INR','SGD','TWD','CNY','CNH','BRL','MXN','ZAR','SEK','NOK','DKK','PLN','ILS','TRY','NZD','THB','MYR','IDR','PHP','CZK','HUF','SAR','AED','CLP','COP') */ 
    `ekey_ts` = 'NONE'
  AND
    /* Replace with a VARCHAR(12) */ 
    `ekey_tk` = 'Example_ekey_tk'
  AND
    /* Replace with a SMALLINT UNSIGNED */ 
    `ekey_yr` = 123
  AND
    /* Replace with a TINYINT UNSIGNED */ 
    `ekey_mn` = 1
  AND
    /* Replace with a TINYINT UNSIGNED */ 
    `ekey_dy` = 1
  AND
    /* Replace with a VARCHAR(16) */ 
    `theoModel` = 'Example_theoModel'
  AND
    /* Replace with a VARCHAR(16) */ 
    `clientFirm` = 'Example_clientFirm';

INSERT TABLE EXAMPLE QUERY

INSERT INTO `SRTheo`.`MsgTheoExpirySurface`(
    /* Replace with a ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY','RATE','CRDT','GCR','SWAP','ENT','MBS','SET','LOAN') */ 
    `ekey_at`,
    /* 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','SCE','ANY','CXE','DXE','NXAM','NXBR','NXLS','NXML','NXOS','NXP','EUREX','CEDX','ICEFEC','ICEFEF','CEQT','TSX','TMX','CRCY','CMDY','DTI','SOVN','SR_US','SR_EU','SR_AP','SR_UK','USD','EUR','GBP','CHF','JPY','CAD','AUD','HKD','KRW','INR','SGD','TWD','CNY','CNH','BRL','MXN','ZAR','SEK','NOK','DKK','PLN','ILS','TRY','NZD','THB','MYR','IDR','PHP','CZK','HUF','SAR','AED','CLP','COP') */ 
    `ekey_ts`,
    /* Replace with a VARCHAR(12) */ 
    `ekey_tk`,
    /* Replace with a SMALLINT UNSIGNED */ 
    `ekey_yr`,
    /* Replace with a TINYINT UNSIGNED */ 
    `ekey_mn`,
    /* Replace with a TINYINT UNSIGNED */ 
    `ekey_dy`,
    /* Replace with a VARCHAR(16) */ 
    `theoModel`,
    /* Replace with a VARCHAR(16) */ 
    `clientFirm`,
    /* Replace with a ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY','RATE','CRDT','GCR','SWAP','ENT','MBS','SET','LOAN') */ 
    `ticker_at`,
    /* 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','SCE','ANY','CXE','DXE','NXAM','NXBR','NXLS','NXML','NXOS','NXP','EUREX','CEDX','ICEFEC','ICEFEF','CEQT','TSX','TMX','CRCY','CMDY','DTI','SOVN','SR_US','SR_EU','SR_AP','SR_UK','USD','EUR','GBP','CHF','JPY','CAD','AUD','HKD','KRW','INR','SGD','TWD','CNY','CNH','BRL','MXN','ZAR','SEK','NOK','DKK','PLN','ILS','TRY','NZD','THB','MYR','IDR','PHP','CZK','HUF','SAR','AED','CLP','COP') */ 
    `ticker_ts`,
    /* Replace with a VARCHAR(12) */ 
    `ticker_tk`,
    /* Replace with a ENUM('None','Parametric','PtSkew','SRSurface') */ 
    `skewSource`,
    /* Replace with a ENUM('None','SVI','SVI_Extended') */ 
    `skewFunc`,
    /* Replace with a FLOAT */
    `paramA`,
    /* Replace with a FLOAT */
    `paramB`,
    /* Replace with a FLOAT */
    `paramC`,
    /* Replace with a FLOAT */
    `paramD`,
    /* Replace with a FLOAT */
    `paramE`,
    /* Replace with a FLOAT */
    `paramF`,
    /* Replace with a FLOAT */
    `paramG`,
    /* Replace with a FLOAT */
    `paramH`,
    /* Replace with a FLOAT */
    `paramI`,
    /* Replace with a FLOAT */
    `paramJ`,
    /* Replace with a FLOAT */
    `paramK`,
    /* Replace with a FLOAT */
    `paramL`,
    /* Replace with a FLOAT */
    `paramM`,
    /* Replace with a FLOAT */
    `paramN`,
    /* Replace with a FLOAT */
    `theoVol`,
    /* Replace with a FLOAT */
    `refUPrc`,
    /* Replace with a FLOAT */
    `srAtmWeight`,
    /* Replace with a FLOAT */
    `evalUPrc`,
    /* Replace with a ENUM('None','TvSlope','SSR') */ 
    `dynamics`,
    /* Replace with a FLOAT */
    `tvSlope`,
    /* Replace with a FLOAT */
    `ssr`,
    /* Replace with a FLOAT */
    `minUBid`,
    /* Replace with a FLOAT */
    `maxUAsk`,
    /* Replace with a INT */
    `maxAgeDays`,
    /* Replace with a FLOAT */
    `theoSDiv`,
    /* Replace with a FLOAT */
    `theoRate`,
    /* Replace with a ENUM('None','Yes','No') */
    `userRateOverride`,
    /* Replace with a ENUM('None','Yes','No') */
    `userSDivOverride`,
    /* Replace with a ENUM('None','Yes','No') */
    `userDDivOverride`,
    /* Replace with a ENUM('None','Valid','Invalid') */ 
    `theoStatus`,
    /* Replace with a DATETIME(6) */
    `timestamp`,
    /* Replace with a TINYTEXT */ 
    `comment`
) 
VALUES(
    'NONE',
    'NONE',
    'Example_ekey_tk',
    123,
    1,
    1,
    'Example_theoModel',
    'Example_clientFirm',
    'NONE',
    'NONE',
    'Example_ticker_tk',
    'NONE',
    'NONE',
    1.23,
    1.23,
    1.23,
    1.23,
    1.23,
    1.23,
    1.23,
    1.23,
    1.23,
    1.23,
    1.23,
    1.23,
    1.23,
    1.23,
    1.23,
    1.23,
    1.23,
    1.23,
    'NONE',
    1.23,
    1.23,
    1.23,
    1.23,
    5,
    1.23,
    1.23,
    'NONE',
    'NONE',
    'NONE',
    'NONE',
    '2022-01-01 12:34:56.000000',
    'dummy tiny text'
);

DELETE TABLE EXAMPLE QUERY

DELETE FROM `SRTheo`.`MsgTheoExpirySurface` 
WHERE
    /* Replace with a ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY','RATE','CRDT','GCR','SWAP','ENT','MBS','SET','LOAN') */ 
    `ekey_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','SCE','ANY','CXE','DXE','NXAM','NXBR','NXLS','NXML','NXOS','NXP','EUREX','CEDX','ICEFEC','ICEFEF','CEQT','TSX','TMX','CRCY','CMDY','DTI','SOVN','SR_US','SR_EU','SR_AP','SR_UK','USD','EUR','GBP','CHF','JPY','CAD','AUD','HKD','KRW','INR','SGD','TWD','CNY','CNH','BRL','MXN','ZAR','SEK','NOK','DKK','PLN','ILS','TRY','NZD','THB','MYR','IDR','PHP','CZK','HUF','SAR','AED','CLP','COP') */ 
    `ekey_ts` = 'NONE'
  AND
    /* Replace with a VARCHAR(12) */ 
    `ekey_tk` = 'Example_ekey_tk'
  AND
    /* Replace with a SMALLINT UNSIGNED */ 
    `ekey_yr` = 123
  AND
    /* Replace with a TINYINT UNSIGNED */ 
    `ekey_mn` = 1
  AND
    /* Replace with a TINYINT UNSIGNED */ 
    `ekey_dy` = 1
  AND
    /* Replace with a VARCHAR(16) */ 
    `theoModel` = 'Example_theoModel'
  AND
    /* Replace with a VARCHAR(16) */ 
    `clientFirm` = 'Example_clientFirm';

Doc Columns Query

SELECT * FROM SRTheo.doccolumns WHERE TABLE_NAME='TheoExpirySurface' ORDER BY ordinal_position ASC;

METADATA​

Table Definition​

PRIMARY KEY DEFINITION (Unique)​

SELECT TABLE EXAMPLE QUERY​

UPDATE TABLE EXAMPLE QUERY​

INSERT TABLE EXAMPLE QUERY​

DELETE TABLE EXAMPLE QUERY​

Doc Columns Query​