Version: Staging

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;

METADATA​

Table Definition​

PRIMARY KEY DEFINITION (Unique)​

SECONDARY INDEX (ExpirationIndex) (Not Unique)​

SECONDARY INDEX (OSISymbolIndex) (Not Unique)​

SECONDARY INDEX (TickerIndex) (Not Unique)​

CREATE TABLE EXAMPLE QUERY​

SELECT TABLE EXAMPLE QUERY​

Doc Columns Query​