OptionIntradayHist

Description

Option intraday records are created approximately every 5 minutes while option markets are open. They contain information on the underlying security and call and put information for each outright strike. The file also contains SpiderRock surface volatilities, prices and Greeks.

Schema Definition

Field Name	Data Type	Description
okey_at	string	Option underlying asset type
okey_ts	string	Option ticker source
okey_tk	string	Option underlying symbol
okey_dt	date	Option expiration date
okey_xx	double	Option strike
okey_cp	string	Option call/put indicator
date	timestamp	snapshot interval timestamp (UTC)
tradingDate	date	Trading date
tradingSession	string	Trading session ('None','RegularMkt','PreMkt','PostMkt','PostMktETF','NextDay')
undSecKey_at	string	Underlying asset type
undSecKey_ts	string	Underlying security trade source
undSecKey_tk	string	Underlying ticker
undSecKey_dt	date	Underlying expiration date
undSecType	string	Underlying security type
securityID	bigint	SpiderRock security ID
uBid	float	Underlying bid at date (column value)
uAsk	float	Underlying ask at date (column value)
uPrc	float	Underlying price at date (column value)
bidPrc	float	Option bid at date (column value)
askPrc	float	Option ask at date (column value)
bidSz	int	Largest NBBO bid size among all exchanges
askSz	int	Largest NBBO ask size among all exchanges
cumBidSize	int	Total NBBO bid size across all exchanges
cumAskSize	int	Total NBBO ask size across all exchanges
bidExch	string	Exchange for bidSz
askExch	string	Exchange for askSz
bidMask	bigint	Contains a bit mask of all the option exchanges that are currently participating in the bid
askMask	bigint	Contains a bit mask of all the option exchanges that are currently participating in the ask
bidPrice2	float	2nd best bid price
askPrice2	float	2nd best ask price
cumBidSize2	int	Total 2nd best bid size across all exchanges
cumAskSize2	int	Total 2nd best ask size across all exchanges
bidIV	float	Implied vol of bidPrc
askIV	float	Implied vol of askPrc
srPrc	float	SpiderRock calculated option price from srVol
srVol	float	SpiderRock surface volatility at date (column value)
de	float	Option Delta calculated using srVol
ga	float	Option Gamma calculated using srVol
th	float	Option Theta calculated using srVol
ve	float	Option Vega calculated using srVol
rh	float	Option Rho calculated using srVol
ph	float	Option Phi calculated using srVol
vo	float	Option Volga calculated using srVol
va	float	Option Vanna calculated using srVol
deDecay	float	Option Delta time decay calculated using srVol (Charm, Delta Bleed)
sdiv	float	SpiderRock implied continuous dividend rate
ddiv	float	Sum of dividends paid to expiration
rate	float	SpiderRock calibrated risk free rate
years	float	SpiderRock time to expiration in years
atmVol	float	ATM Volatility
error	int	Internal use (pricing model error code)
prtVolume	int	Total volume on the trading day.
timestamp	timestamp	time the snapshot was actually taken (UTC)

Differences to V7

• okey_yr, okey_mn, okey_dy removed in favor of okey_dt
• undSecKey_yr, undSecKey_mn, undSecKey_dy removed in favor of undSecKey_dt
• timestamp_cst and date_cst removed as they are redundant with timestamp and date