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Version: Upcoming

HistoricalVolatilitiesHist

Description

Historical implied and underlier volatility windows

Schema Definition

Field NameData TypeDescription
ticker_atstringUnderlying asset type
ticker_tsstringUnderlying ticker source
ticker_tkstringUnderlying ticker
windowTypestringWindow type for volatility eg. cc, ccCen, ccClCen, hl, hlCen, iv63, iv126, etc
datestringMost recent closing date
securityIDbigintSpiderRock security ID
valuefloatMost recent historical value
mv_5dfloatHistorical mean value (5 day window)
sd_5dfloatHistorical std dev (5 day window)
mv_10dfloatHistorical mean value (10 day window)
sd_10dfloatHistorical std dev (10 day window)
mv_21dfloatHistorical mean value (21 day window)
sd_21dfloatHistorical std dev (21 day window)
mv_42dfloatHistorical mean value (42 day window)
sd_42dfloatHistorical std dev (42 day window)
mv_63dfloatHistorical mean value (63 day window)
sd_63dfloatHistorical std dev (63 day window)
mv_84dfloatHistorical mean value (84 day window)
sd_84dfloatHistorical std dev (84 day window)
mv_105dfloatHistorical mean value (105 day window)
sd_105dfloatHistorical std dev (105 day window)
mv_126dfloatHistorical mean value (126 day window)
sd_126dfloatHistorical std dev (126 day window)
mv_189dfloatHistorical mean value (189 day window)
sd_189dfloatHistorical std dev (189 day window)
mv_252dfloatHistorical mean value (252 day window)
sd_252dfloatHistorical std dev (252 day window)
mv_378dfloatHistorical mean value (378 day window)
sd_378dfloatHistorical std dev (378 day window)
mv_504dfloatHistorical mean value (504 day window)
sd_504dfloatHistorical std dev (504 day window)
timestamptimestampTimestamp of surface record - UTC

Start Dates

US start dates
EQT
ExchangeStart Date
NMS2017-12-01

Differences to V7

  • removal of timestamp_us column