| tradingDate | string | Business trading date |
| undSecKey_at | string | Underlying asset type (Equity, Futures, Bond …) |
| undSecKey_ts | string | Underlying asset source (essentially the exchange e.g. NMS, CBOE, CME, etc …) |
| undSecKey_tk | string | Underlying exchange ticker (e.g. AAPL, MSFT, SPX, …) |
| IsEarningsDate | int | Indicates if current trading date is an earnings announcement date (not adjusted for BMC or AMC) |
| earnTime | string | Indicates if the earnings release is scheduled either during market hours (DMH), before (BMC) or after (AMC) market close on the earnings date |
| first_expir_dt | timestamp | First expiration date in the option chain |
| last_expir_dt | timestamp | Last expiration date in the option chain |
| uSrCls | double | SpiderRock Close; 1 min before underlying close price |
| priorSRClsPrc | double | Previous trading day SpiderRock Close; 1 min before underlying close price |
| nContracts | bigint | Total number of option contracts per option ticker and expiration |
| nExpirations | bigint | Number of expiration cycles in the option chain |
| minYearsToExpir | float | Earliest expiration date in business years fraction |
| maxYearsToExpir | float | Last expiration date in business years fraction |
| nOptTrades | bigint | Total number of option trades |
| nCallTradesPct | double | Number of call trades relative to total number of trades |
| stockVolume | bigint | Total traded stock volume |
| returnFactor | float | Corporate action multiplicative return adjustment factor. To calculate adjusted return for today use t. With the returnFactor f, P(t) and P(t-1) is unadjusted for today and prior day closes. |
| optionVolume | bigint | Total traded option volume per underlying name |
| callVolume | bigint | Total traded call volume per option type and each underlying |
| putVolume | bigint | Total traded put volume per option type and each underlying |
| callVolumePct | double | Total call volume as percent of total option volume |
| optionSTermVolume | bigint | Total short term (expiration <= 5 business days) traded option volume |
| callSTermVolume | bigint | Total call short term traded option volume |
| callSTermVolumePct | double | Total call short term traded option volume relative to total option volume |
| call5DSpecVolume | bigint | Volume of speculative calls (Delta <= 5 per contract) |
| put10DVolume | bigint | Volume of protective puts (|Delta| <= 10 per contract) |
| call5DSpecVolPct | double | Total speculative call volume as percentage of total traded option volume (calls and puts) |
| put10DVolPct | double | Total protective put volume as percentage of total traded option volume (calls and puts) |
| oi | bigint | Total option open interest |
| oiSTerm | bigint | Total short term (within 5 business days to expiration) open interest |
| callOI | bigint | Call total open interest |
| call5DSpecOI | bigint | Call speculative (contract Delta <= 5) open interest |
| putOI | bigint | Put total open interest |
| put10DOI | bigint | Protective put (|contract Delta| <= 10) open interest |
| optionVolumeOIRatio | double | Total option volume to total open interest ratio (critical threshold 1) |
| callVolumeOIRatio | double | Total call option volume to total open interest ratio |
| VegaVolumeWSrVol | double | EOD volume vega weighted SpiderRock surface implied volatility |
| VolElasticityWSrVol | double | Vega elasticity weighted SpiderRock surface implied volatility. Option vega elasticity is computed as Vega × Surface IVol / option closing price, intuitively increasing the weight for OTM options. |
| BASpreadWSrVol | double | EOD liquidity weighted surface implied volatility (higher weight assigned to more liquid options with tighter bid-ask spread) |
| PutCallRatio | double | Total put volume over call volume |
| PutCallSTermRatio | double | Short term (all options expiring within 5 business days) put-call ratio |
| PutCallGammaImbalanceRatio | double | Total put traded gamma over total call traded gamma |
| PutCallGammaSTermImbalance | double | Short term (expirations within 5 business days) put-gamma imbalance |
| avgCallPrtSize | double | Average size traded in calls calculated as the ratio between total call volume and total number of call trades |
| avgPutPrtSize | double | Average size traded in puts calculated as the ratio between total put volume and total number of put trades |
| avgPrtSize | bigint | Average size traded in options (either calls or puts) estimated by the ratio between total option volume and total number of option trades |
| VWKSRatio | double | Center of volume mass moneyness computed as the option traded volume weighted (across all strikes and expirations) strike percentage of spot moneyness indicator |
| VWDelta | double | Center of volume signed delta |
| VWAbsDelta | double | Center of volume absolute delta |
| NormVegaWVolume | double | Term-normalized vega (power vega = SQRT(63/T) × Vega) weighted option volume |
| OTMNormVegaWVolume | double | Term-normalized inverse vega weighted option volume |
| OptVolumeDelta | bigint | Option implied shares delta pressure (Delta × Contract Size × Option Volume) |
| NormDollarVega3M | double | Dollar power vega normalized to 3 months (SQRT(63/T)) option volume |
| retail_vol_noniso | bigint | Retail flow proxy based on the SLAC and SLCN (single leg auction non-ISO) OPRA order types |
| retail_callvol_noniso | bigint | Call retail flow (subset of retail_vol_noniso) |
| retail_small_size | bigint | Retail flow proxy calculated as a sum of overall volumes with average size <= 10 (small-lot) |
| inst_large_block | bigint | Institutional large trades volume proxied by trades with average option volume >= 500 |
| imp_vol_beta | float | Beta of expected ATM implied changes against returns, derived from the linear moneyness skew model |
| imp_skew | float | Implied skewness (cubic contract) derived from OTM option chain at each expiration (following Bakshi et al.), time-to-expiration weighted and normalized to 3M expiration |
| imp_kurt | float | Excess implied kurtosis normalized to 3M pivot expiration (d=63 business days) |
| avgPWidth | double | Average min option bid-ask spread across expiries |
| avgPWidth2UPrc | double | Average ratio min option bid-ask spread to underlying price across expirations |
| slopeAvg | double | Average term normalized (multiplied by SQRT(T)) skew slope (difference between fitted implieds at -0.5 and 0.5 log-moneyness) |
| slopeSdev | double | Standard deviation of term normalized skew slope |
| fitAvgAbsErr | double | Average across all expirations of the expiration fit average absolute error |
| fitSdevAvgAbsErr | double | Standard deviation of fitAvgAbsErr |
| nDatesOptHist | double | Number of business days (n) in option volume baseline averages calculation |
| ADOptVolume | double | Average daily total option volume in the last N-business days |
| ADCallVolume | double | Average daily total call option volume |
| ADOpenInterest | double | Average daily total open interest |
| ADCallOpenInterest | double | Average daily total call open interest |
| SdevDOpenInterest | double | Standard deviation of daily open interest |
| SdevDCallOpenInterest | double | Standard deviation of daily call open interest |
| SdevDOptVolume | double | Standard deviation of the daily option volume |
| SdevDCallVolume | double | Standard deviation of the daily call volume |
| delta20Skew21D | float | Constant maturity 21 business days 20-delta skew spread (difference between IV at 20-delta call and IV at 80-delta call, from SpiderRock SurfaceGridHist censored volatilities) |
| delta20Skew63D | float | Constant maturity 63 business days 20-delta skew spread (from SpiderRock SurfaceGridHist censored volatilities) |
| delta20Skew252D | float | Constant maturity 252 business days 20-delta skew spread (from SpiderRock SurfaceGridHist censored volatilities) |
| delta20Butterfly21D | float | Constant delta and maturity butterfly for 21 days maturity (volD30 - 2×volATM + volU30, from SpiderRock SurfaceGridHist censored volatilities) |
| delta20Butterfly63D | float | Constant delta and maturity butterfly for 63 days maturity (volD30 - 2×volATM + volU30) |
| delta20Butterfly252D | float | Constant delta and maturity butterfly for 252 days maturity (volD30 - 2×volATM + volU30) |
| rngBoundScore21D | double | Daily rich-cheap mean-reversion score based on 21-day high-low range of the constant maturity term |
| rngBoundScore63D | double | Daily rich-cheap mean-reversion score based on 63-day high-low range |
| rngBoundScore252D | double | Daily rich-cheap mean-reversion score based on 252-day high-low range |
| calATM21D | float | ATM constant maturity calendar spread for forward period 10–21 business days (back minus front term, from SpiderRock SurfaceGridHist) |
| calATM63D | float | ATM constant maturity calendar spread for forward period 21–63 business days |
| calATM252D | float | ATM constant maturity calendar spread for forward period 63–252 business days |
| atmI_5d | double | 5 business days constant maturity ATM implied volatility (includes calibrated earnings effect) |
| atmI_10d | double | 10 business days constant maturity ATM implied volatility (includes calibrated earnings effect) |
| atmI_21d | double | 21 business days constant maturity ATM implied volatility (includes calibrated earnings effect) |
| atmI_63d | double | 63 business days constant maturity ATM implied volatility (includes calibrated earnings effect) |
| atmI_252d | double | 252 business days constant maturity ATM implied volatility (includes calibrated earnings effect) |
| vSlope_5d | float | Constant maturity 5 business days skew slope (spread between -0.5 and +0.5 log-moneyness censored IVs from SpiderRock SurfaceGridHist) |
| vSlope_21d | float | Constant maturity 21 business days skew slope |
| vSlope_63d | float | Constant maturity 63 business days skew slope |
| vSlope_252d | float | Constant maturity 252 business days skew slope |
| atmCenILTermSlope | double | Constant maturity censored term structure long-term slope (252 vs 5 business days spread) |
| atmCenISTermSlope | double | Constant maturity censored term structure short-term slope (21 vs 5 business days spread) |
| auctionType | string | NYSE closing imbalance auction type (15:00 final imbalance and pre-dissemination dispersion data) |
| auct_hour | double | Auction hour (3 pm) |
| auct_minute | double | Auction minute |
| nRecords | double | Total number of records in closing auction |
| nBuyImbalance | double | Total number of buy imbalance records |
| nSellImbalance | double | Total number of sell imbalance records |
| avgPairedQty | double | Disseminated paired quantity |
| sdevPairedQty | double | Dispersion of the paired quantity leading into closing (last US EQT trading hour 14:00–14:59) |
| totalImbalanceQty | double | Disseminated signed total imbalance (negative for sell imbalance) |
| sdevTotalImbalanceQty | double | Dispersion of the signed imbalance quantity leading into closing |
| totalAbsImbalanceRatioPer | double | Total absolute imbalance as fraction of the total auctioned quantity (matched and unmatched) |
| contBookFinalClrPx | double | Average continuous book clearing price |
| sdevContBookFinalClrPx | double | Dispersion of the average continuous book clearing price leading into closing |
| last_updated | string | Timestamp when the record was last updated |
| SRSecurityID | bigint | SpiderRock security ID adjusted for corporate actions continuity |
| sector | string | Industrial sector (when available) |
| subsector | string | Subsector of the company (when available) |
| sharesOutstanding | double | Number of shares outstanding (when available) |