SurfaceFixedTermHist
Description
Surface Fixed Term files contain ATM implied volatilities without earnings effects across a range of fixed time periods. Uncensored earnings effects can be derived using the implied earnings move data (iEMove). Records also contain skew slopes and other metrics, including information to allow for interpolation of the ATM volatility affected by earnings releases for any time to expiration. EOD.
Schema Definition
| Field Name | Data Type | Description |
|---|---|---|
| ticker_at | string | Underlying asset type |
| ticker_ts | string | Underlying ticker source |
| ticker_tk | string | Underlying ticker |
| tradingDate | date | Trading date |
| tradingSession | string | Trading session ('None','RegularMkt','PreMkt','PostMkt','PostMktETF','NextDay') |
| securityID | bigint | SpiderRock security ID |
| hEMove | float | Realized volatility measurement of daily changes occurring on past earnings announcements |
| hEMoveNum | int | Reserved for future use |
| hEMoveAvg | float | Reserved for future use |
| hEMoveStd | float | Reserved for future use |
| hEMoveMin | float | Reserved for future use |
| hEMoveMax | float | Reserved for future use |
| iEMove | float | Forecast earnings volatility as implied from the atm volatility term structure |
| iEFitCode | string | Internal use only |
| iEFitError | float | Internal use only |
| expiryCount | int | The number of valid surfaces across all option expirations used to construct fixed term volatilities |
| iEMoveAvg | float | Statistic collected over the daily trading session on iEMove |
| iEMoveStd | float | Statistic collected over the daily trading session on iEMove |
| iEMoveMin | float | Statistic collected over the daily trading session on iEMove |
| iEMoveMax | float | Statistic collected over the daily trading session on iEMove |
| iEMoveCnt | int | Iteration counter used to calculate statistics |
| eMoveExpAdj1 | int | Internal use only |
| eMoveYrsAdj1 | float | Internal use only |
| eMoveYears1 | float | Years to expiration corresponding to eMoveEKey1 |
| eMoveEKey1_at | string | Expiration key corresponding to the option falling after the first implied earnings date |
| eMoveEKey1_ts | string | Expiration key corresponding to the option falling after the first implied earnings date |
| eMoveEKey1_tk | string | Expiration key corresponding to the option falling after the first implied earnings date |
| eMoveEKey1_dt | date | Expiration date corresponding to the option falling after the first implied earnings date |
| eMoveExpAdj2 | int | Internal use only |
| eMoveYrsAdj2 | float | Internal use only |
| eMoveYears2 | float | Years to expiration corresponding to eMoveEKey2 |
| eMoveEKey2_at | string | Expiration key corresponding to the option falling after the second implied earnings date |
| eMoveEKey2_ts | string | Expiration key corresponding to the option falling after the second implied earnings date |
| eMoveEKey2_tk | string | Expiration key corresponding to the option falling after the second implied earnings date |
| eMoveEKey2_dt | date | Expiration date corresponding to the option falling after the second implied earnings date |
| atmCenI_st | float | Reserved for future use |
| atmCenI_lt | float | Reserved for future use |
| atmCenI_decay | float | Reserved for future use |
| atmCenI_5d | float | The 5 day censored atm volatility (with iEMove earnings volatility removed) |
| atmCenI_10d | float | The 10 day censored atm volatility (with iEMove earnings volatility removed) |
| atmCenI_21d | float | The 21 day censored atm volatility (with iEMove earnings volatility removed) |
| atmCenI_42d | float | The 42 day censored atm volatility (with iEMove earnings volatility removed) |
| atmCenI_63d | float | The 63 day censored atm volatility (with iEMove earnings volatility removed) |
| atmCenI_84d | float | The 84 day censored atm volatility (with iEMove earnings volatility removed) |
| atmCenI_105d | float | The 105 day censored atm volatility (with iEMove earnings volatility removed) |
| atmCenI_126d | float | The 126 day censored atm volatility (with iEMove earnings volatility removed) |
| atmCenI_189d | float | The 189 day censored atm volatility (with iEMove earnings volatility removed) |
| atmCenI_252d | float | The 252 day censored atm volatility (with iEMove earnings volatility removed) |
| atmCenI_378d | float | The 378 day censored atm volatility (with iEMove earnings volatility removed) |
| atmCenI_504d | float | The 504 day censored atm volatility (with iEMove earnings volatility removed) |
| atmCenH_st | float | Reserved for future use |
| atmCenH_lt | float | Reserved for future use |
| atmCenH_decay | float | Reserved for future use |
| atmCenH_5d | float | The 5 day censored atm volatility (with hEMove earnings volatility removed) |
| atmCenH_10d | float | The 10 day censored atm volatility (with hEMove earnings volatility removed) |
| atmCenH_21d | float | The 21 day censored atm volatility (with hEMove earnings volatility removed) |
| atmCenH_42d | float | The 42 day censored atm volatility (with hEMove earnings volatility removed) |
| atmCenH_63d | float | The 63 day censored atm volatility (with hEMove earnings volatility removed) |
| atmCenH_84d | float | The 84 day censored atm volatility (with hEMove earnings volatility removed) |
| atmCenH_105d | float | The 105 day censored atm volatility (with hEMove earnings volatility removed) |
| atmCenH_126d | float | The 126 day censored atm volatility (with hEMove earnings volatility removed) |
| atmCenH_189d | float | The 189 day censored atm volatility (with hEMove earnings volatility removed) |
| atmCenH_252d | float | The 252 day censored atm volatility (with hEMove earnings volatility removed) |
| atmCenH_378d | float | The 378 day censored atm volatility (with hEMove earnings volatility removed) |
| atmCenH_504d | float | The 504 day censored atm volatility (with hEMove earnings volatility removed) |
| sDiv_5d | float | Interpolated 5 day implied sdiv rate (sdivEMA from surface curve records) |
| sDiv_10d | float | Interpolated 10 day implied sdiv rate (sdivEMA from surface curve records) |
| sDiv_21d | float | Interpolated 21 day implied sdiv rate (sdivEMA from surface curve records) |
| sDiv_42d | float | Interpolated 42 day implied sdiv rate (sdivEMA from surface curve records) |
| sDiv_63d | float | Interpolated 63 day implied sdiv rate (sdivEMA from surface curve records) |
| sDiv_84d | float | Interpolated 84 day implied sdiv rate (sdivEMA from surface curve records) |
| sDiv_105d | float | Interpolated 105 day implied sdiv rate (sdivEMA from surface curve records) |
| sDiv_126d | float | Interpolated 126 day implied sdiv rate (sdivEMA from surface curve records) |
| sDiv_189d | float | Interpolated 189 day implied sdiv rate (sdivEMA from surface curve records) |
| sDiv_252d | float | Interpolated 252 day implied sdiv rate (sdivEMA from surface curve records) |
| sDiv_378d | float | Interpolated 378 day implied sdiv rate (sdivEMA from surface curve records) |
| sDiv_504d | float | Interpolated 504 day implied sdiv rate (sdivEMA from surface curve records) |
| fwdUPrc_5d | float | Interpolated 5 day implied forward price (axisFUPrc from surface curve records) |
| fwdUPrc_10d | float | Interpolated 10 day implied forward price (axisFUPrc from surface curve records) |
| fwdUPrc_21d | float | Interpolated 21 day implied forward price (axisFUPrc from surface curve records) |
| fwdUPrc_42d | float | Interpolated 42 day implied forward price (axisFUPrc from surface curve records) |
| fwdUPrc_63d | float | Interpolated 63 day implied forward price (axisFUPrc from surface curve records) |
| fwdUPrc_84d | float | Interpolated 84 day implied forward price (axisFUPrc from surface curve records) |
| fwdUPrc_105d | float | Interpolated 105 day implied forward price (axisFUPrc from surface curve records) |
| fwdUPrc_126d | float | Interpolated 126 day implied forward price (axisFUPrc from surface curve records) |
| fwdUPrc_189d | float | Interpolated 189 day implied forward price (axisFUPrc from surface curve records) |
| fwdUPrc_252d | float | Interpolated 252 day implied forward price (axisFUPrc from surface curve records) |
| fwdUPrc_378d | float | Interpolated 378 day implied forward price (axisFUPrc from surface curve records) |
| fwdUPrc_504d | float | Interpolated 504 day implied forward price (axisFUPrc from surface curve records) |
| vWidth_5d | float | Interpolated 5 day market atm volatility width (vwidth from surface curve records) |
| vWidth_10d | float | Interpolated 10 day market vwidth (vwidth from surface curve records) |
| vWidth_21d | float | interpolated 21 day market vwidth (vwidth from surface curve records) |
| vWidth_42d | float | Interpolated 42 day market vwidth (vwidth from surface curve records) |
| vWidth_63d | float | Interpolated 63 day market vwidth (vwidth from surface curve records) |
| vWidth_84d | float | Interpolated 84 day market vwidth (vwidth from surface curve records) |
| vWidth_105d | float | Interpolated 105 day market vwidth (vwidth from surface curve records) |
| vWidth_126d | float | Interpolated 126 day market vwidth (vwidth from surface curve records) |
| vWidth_189d | float | Interpolated 189 day market vwidth (vwidth from surface curve records) |
| vWidth_252d | float | Interpolated 252 day market vwidth (vwidth from surface curve records) |
| vWidth_378d | float | Interpolated 378 day market vwidth (vwidth from surface curve records) |
| vWidth_504d | float | Interpolated 504 day market vwidth (vwidth from surface curve records) |
| vSlope_5d | float | Interpolated 5 day market atm volatility slope (slope from surface curve records) |
| vSlope_10d | float | Interpolated 10 day atm vol slope (slope from surface curve records) |
| vSlope_21d | float | Interpolated 21 day atm vol slope (slope from surface curve records) |
| vSlope_42d | float | Interpolated 42 day atm vol slope (slope from surface curve records) |
| vSlope_63d | float | Interpolated 63 day atm vol slope (slope from surface curve records) |
| vSlope_84d | float | Interpolated 84 day atm vol slope (slope from surface curve records) |
| vSlope_105d | float | Interpolated 105 day atm vol slope (slope from surface curve records) |
| vSlope_126d | float | Interpolated 126 day atm vol slope (slope from surface curve records) |
| vSlope_189d | float | Interpolated 189 day atm vol slope (slope from surface curve records) |
| vSlope_252d | float | Interpolated 252 day atm vol slope (slope from surface curve records) |
| vSlope_378d | float | Interpolated 378 day atm vol slope (slope from surface curve records) |
| vSlope_504d | float | Interpolated 504 day atm vol slope (slope from surface curve records) |
| eCnt_5d | int | Number of expected earnings events for an option expiring in 5 trading days |
| eCnt_10d | int | Number of expected earnings events for an option expiring in 10 trading days |
| eCnt_21d | int | Number of expected earnings events for an option expiring in 21 trading days |
| eCnt_42d | int | Number of expected earnings events for an option expiring in 42 trading days |
| eCnt_63d | int | Number of expected earnings events for an option expiring in 63 trading days |
| eCnt_84d | int | Number of expected earnings events for an option expiring in 84 trading days |
| eCnt_105d | int | Number of expected earnings events for an option expiring in 105 trading days |
| eCnt_126d | int | Number of expected earnings events for an option expiring in 126 trading days |
| eCnt_189d | int | Number of expected earnings events for an option expiring in 189 trading days |
| eCnt_252d | int | Number of expected earnings events for an option expiring in 252 trading days |
| eCnt_378d | int | Number of expected earnings events for an option expiring in 378 trading days |
| eCnt_504d | int | Number of expected earnings events for an option expiring in 504 trading days |
| source | string | |
| sourcedate | timestamp | |
| version | string |
Differences to V7
- eMoveEKey1_yr, eMoveEKey1_mn, eMoveEKey1_dy removed in favor of eMoveEKey1_dt
- eMoveEKey2_yr, eMoveEKey2_mn, eMoveEKey2_dy removed in favor of eMoveEKey2_dt