SurfaceCurveHist
Description
Surface Curve files contain implied volatility information used in order to encode the SpiderRock surface. Each curve record contains the spline parameters for the shape of a surface. Records backing each surface represent a two-dimensional curve with normalized strikes in the X-axis and multiples of ATM volatility in the Y-axis. Surfaces stored in curve records are optimized to fit between option bids and asks across all strikes in the market. EOD
Schema Definition
| Field Name | Data Type | Description |
|---|---|---|
| ekey_at | string | Option asset type |
| ekey_ts | string | Option ticker source |
| ekey_tk | string | Option ticker |
| ekey_dt | date | Option expiration date |
| tradingDate | date | Trading date |
| tradingSession | string | Trading session ('None','RegularMkt','PreMkt','PostMkt','PostMktETF','NextDay') |
| ticker_at | string | Underlying asset type |
| ticker_ts | string | Underlying ticker source |
| ticker_tk | string | Underlying ticker |
| securityID | bigint | SpiderRock security ID |
| undSecKey_at | string | Underlying asset type |
| undSecKey_ts | string | Underlying ticker source |
| undSecKey_tk | string | Underlying ticker |
| undSecKey_dt | date | Underlying expiration date |
| undSecType | string | Underlying security type |
| uPrc | double | Underlying price at date (column value) |
| uBid | double | Underlying bid at date (column value) |
| uAsk | double | Underlying ask at date (column value) |
| years | float | SpiderRock time to expiration in years |
| rate | float | SpiderRock calibrated risk free rate |
| sdiv | float | |
| ddiv | float | Sum of dividends paid to expiration |
| symbolRatio | float | Underlying price adjustment factor (for corporate actions); usually 1.0. Not always available |
| exType | string | Exercise type (American or European) |
| modelType | string | Option pricing model used for calculation (None, LogNormalExact, NormalExact, LogNormalApprox, NormalApprox) |
| priceType | string | Internal use only |
| earnCnt | float | Number of qualifying earnings events prior to expiration |
| earnCntAdj | float | Number of qualifying earnings events prior to expiration (adjusted forecast) |
| axisVolRT | float | Volatility * sqrt(years), where Volatility is usually atmVol. Used to compute moneyness (xAxis) |
| axisFUPrc | float | Forward underlying price. Used to compute moneyness (xAxis) |
| atmStrike | float | Estimated synthetic strike where call price and put price are equal |
| moneynessType | string | Moneyness convention used to calculate xAxis (PctStd, LogStd, NormStd) |
| underlierMode | string | Underlier pricing mode (None=use spot/stock market; FrontMonth=use front month future market + uPrcOffsetEMA; Actual = use actual underlier future market) |
| cpAdjType | string | Adjustment used to align call and put volatility (None, SDiv, UPrcOffset, Mixed) |
| priceQuoteType | string | Option premium type (Price or Vol) |
| atmVol | float | ATM volatility |
| atmCen | float | Censored ATM volatility (adjusted to remove earnings volatility) |
| atmVolHist | float | Reserved for future use |
| atmCenHist | float | Reserved for future use |
| minAtmVol | float | Calibration metric (lower bound for atmVol) |
| maxAtmVol | float | Calibration metric (upper bound for atmVol) |
| minCPAdjVal | double | Calibration metric (lower bound for sdiv or uPrcOffset - depends on cpAdjType) |
| maxCPAdjVal | double | Calibration metric (upper bound for sdiv or uPrcOffset - depends on cpAdjType) |
| eMove | float | Implied earnings move (from iEMove from LIveSurfaceFixedTermIntradayHist table) |
| eMoveHist | float | Historical earnings move (from hEMove from LIveSurfaceFixedTermIntradayHist table) |
| uPrcRatio | double | |
| atmFixedMove | float | Approximate change in volatility for a synthetic at the money strike |
| atmPhi | float | Estimate of atm option Phi (from the surface xAxis=0) |
| atmVega | float | Estimate of atm option Vega (from the surface xAxis=0) |
| slope | float | SpiderRock skew slope |
| varSwapFV | float | Variance swap fair value (estimated by numerical integration over OTM price surface), when available |
| gridType | string | Surface grid type (determines skew grid points and interpolation method) |
| knotShift | float | Horizontal shift applied to the skew grid points (exponential moving average of skewMinX) |
| minXAxis | float | Lower bound for the spline curve. Volatilities to the left decay to a flat vol |
| maxXAxis | float | Upper bound for the spline curve. Volatilities to the right decay to a flat vol |
| minCurvValue | float | Calibration metric (estimate of lower bound of minimum curvature point on the curve) |
| minCurvXAxis | float | Calibration metric (xAxis location of minCurvValue) |
| maxCurvValue | float | Calibration metric (estimate of upper bound of maximum curvature point on the curve) |
| maxCurvXAxis | float | Calibration metric (xAxis location of maxCurvValue) |
| skewMinX | float | xAxis value corresponding to the minimum volatility point of the surface |
| skewMinY | float | atmVol multiplier corresponding to the minimum volatility of the surface |
| skewC00 | float | Y-axis points - atmVol multiple corresponding to the (-25.0 + knotShift) X-axis point |
| skewC01 | float | Y-axis points - atmVol multiple corresponding to the (-14.0 + knotShift) X-axis point |
| skewC02 | float | Y-axis points - atmVol multiple corresponding to the (-11.0 + knotShift) X-axis point |
| skewC03 | float | Y-axis points - atmVol multiple corresponding to the (-8.5 + knotShift) X-axis point |
| skewC04 | float | Y-axis points - atmVol multiple corresponding to the (-6.5 + knotShift) X-axis point |
| skewC05 | float | Y-axis points - atmVol multiple corresponding to the (-5.0 + knotShift) X-axis point |
| skewC06 | float | Y-axis points - atmVol multiple corresponding to the (-3.8 + knotShift) X-axis point |
| skewC07 | float | Y-axis points - atmVol multiple corresponding to the (-2.8 + knotShift) X-axis point |
| skewC08 | float | Y-axis points - atmVol multiple corresponding to the (-2.0 + knotShift) X-axis point |
| skewC09 | float | Y-axis points - atmVol multiple corresponding to the (-1.5 + knotShift) X-axis point |
| skewC10 | float | Y-axis points - atmVol multiple corresponding to the (-1.0 + knotShift) X-axis point |
| skewC11 | float | Y-axis points - atmVol multiple corresponding to the (-0.8 + knotShift) X-axis point |
| skewC12 | float | Y-axis points - atmVol multiple corresponding to the (-0.5 + knotShift) X-axis point |
| skewC13 | float | Y-axis points - atmVol multiple corresponding to the (-0.3 + knotShift) X-axis point |
| skewC14 | float | Y-axis points - atmVol multiple corresponding to the (0.0 + knotShift) X-axis point |
| skewC15 | float | Y-axis points - atmVol multiple corresponding to the (0.3 + knotShift) X-axis point |
| skewC16 | float | Y-axis points - atmVol multiple corresponding to the (0.5 + knotShift) X-axis point |
| skewC17 | float | Y-axis points - atmVol multiple corresponding to the (0.8 + knotShift) X-axis point |
| skewC18 | float | Y-axis points - atmVol multiple corresponding to the (1.0 + knotShift) X-axis point |
| skewC19 | float | Y-axis points - atmVol multiple corresponding to the (1.5 + knotShift) X-axis point |
| skewC20 | float | Y-axis points - atmVol multiple corresponding to the (2.0 + knotShift) X-axis point |
| skewC21 | float | Y-axis points - atmVol multiple corresponding to the (2.8 + knotShift) X-axis point |
| skewC22 | float | Y-axis points - atmVol multiple corresponding to the (3.8 + knotShift) X-axis point |
| skewC23 | float | Y-axis points - atmVol multiple corresponding to the (5.0 + knotShift) X-axis point |
| skewC24 | float | Y-axis points - atmVol multiple corresponding to the (6.5 + knotShift) X-axis point |
| skewC25 | float | Y-axis points - atmVol multiple corresponding to the (8.5 + knotShift) X-axis point |
| skewC26 | float | Y-axis points - atmVol multiple corresponding to the (11.0 + knotShift) X-axis point |
| skewC27 | float | Y-axis points - atmVol multiple corresponding to the (14.0 + knotShift) X-axis point |
| skewC28 | float | Y-axis points - atmVol multiple corresponding to the (25.0 + knotShift) X-axis point |
| ivAdjD7 | float | Volatility micro adjustment |
| ivAdjD6 | float | Volatility micro adjustment |
| ivAdjD5 | float | Volatility micro adjustment |
| ivAdjD4 | float | Volatility micro adjustment |
| ivAdjD3 | float | Volatility micro adjustment |
| ivAdjD2 | float | Volatility micro adjustment |
| ivAdjD1 | float | Volatility micro adjustment |
| ivAdjU1 | float | Volatility micro adjustment |
| ivAdjU2 | float | Volatility micro adjustment |
| ivAdjU3 | float | Volatility micro adjustment |
| ivAdjU4 | float | Volatility micro adjustment |
| ivAdjU5 | float | Volatility micro adjustment |
| ivAdjU6 | float | Volatility micro adjustment |
| ivAdjU7 | float | Volatility micro adjustment |
| cpAdjD4 | float | Call-Put volatility alignment coefficient (sdiv curve) |
| cpAdjD3 | float | Call-Put volatility alignment coefficient (sdiv curve) |
| cpAdjD2 | float | Call-Put volatility alignment coefficient (sdiv curve) |
| cpAdjD1 | float | Call-Put volatility alignment coefficient (sdiv curve) |
| cpAdjU1 | float | Call-Put volatility alignment coefficient (sdiv curve) |
| cpAdjU2 | float | Call-Put volatility alignment coefficient (sdiv curve) |
| cpAdjU3 | float | Call-Put volatility alignment coefficient (sdiv curve) |
| cpAdjU4 | float | Call-Put volatility alignment coefficient (sdiv curve) |
| pwidth | float | Minimum price width, measured across all non-trivial call and put NBBO market quotes |
| vwidth | float | Smallest difference in implied bid and ask volatility, measured across a range of near atm strikes |
| cCnt | int | Number of calls with non-trivial bid and ask NBBO market quotes |
| pCnt | int | Number of puts with non-trivial bid and ask NBBO market quotes |
| cBidMiss | int | Number of call bids crossing the surface |
| cAskMiss | int | Number of call asks crossing the surface |
| pBidMiss | int | Number of put bids crossing the surface |
| pAskMiss | int | Number of put asks crossing the surface |
| fitAvgErr | float | Mean surface fit error (price difference between surface and mid-market) |
| fitAvgAbsErr | float | Mean of the absolute surface fit error (price difference between surface and mid-market) |
| fitMaxPrcErr | float | Largest bid-ask surface violation (worst-case strike, measured in premium) |
| fitErrXX | float | The strike of the market corresponding to fitMaxPrcErr |
| fitErrCP | string | The option type corresponding to fitMaxPrcErr (call or put) |
| fitErrDe | float | The option Delta corresponding to fitMaxPrcErr |
| fitErrBid | float | The option bid corresponding to fitMaxPrcErr |
| fitErrAsk | float | The option ask corresponding to fitMaxPrcErr |
| fitErrPrc | float | The surface price corresponding to fitMaxPrcErr |
| fitErrVol | float | The surface volatility corresponding to fitMaxPrcErr |
| tradeableStatus | string | Indicates whether the surface is currently tradeable or not (integrity checks pass - OK) |
| surfaceAdjResult | string | |
| adjTimestamp | timestamp | |
| surfaceResult | string | Indicates whether the surface was successfully calibrated (success - OK) |
| source | string | |
| sourcedate | timestamp | |
| version | string | |
| timestamp | timestamp | Timestamp of last update to record - UTC |
Differences to V7
- ekey_yr, ekey_mn, ekey_dy removed in favor of ekey_dt
- undSecKey_yr, undSecKey_mn, undSecKey_dy removed in favor of undSecKey_dt