OptionCloseMarkHist

Description

The Option Close Mark T5 file contains closing prices and quotes as well as Greeks, implied volatilities, surface prices and volatilities, dividend rates, interest rates, and corporate action adjustment values. SpiderRock estimates of theoretical closing prices and quotes are also included. Records are created after the market close. SpiderRock Option Close Marks T5 are calculated in the time period 5 minute before the regular session close.

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_cp	string	Option call/put indicator
okey_xx	double	Option strike
tradingDate	date	Trading date
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
srCloseTime	time	SpiderRock closing mark time (snapped as close to 5 minutes prior to end of regular trading session as possible)
clsMarkState	string	Close mark state ('ExchClose','Final','LastPrt','None','SRClose')
uBid	double	Underlying bid at srCloseTime
uAsk	double	Underlying ask at srCloseTime
uSrCls	double	SpiderRock underlying closing mark at srCloseTime
uClose	double	Official underlying market close from exchange
bidPrc	float	Option bid at srCloseTime
askPrc	float	Option ask at srCloseTime
srClsPrc	float	SpiderRock option closing mark at srCloseTime; estimated surface price
srClsPrcSrc	string	Calculation method of srClsPrc
closePrc	float	Option bid-ask midpoint at 2:55 cst using OPRA NBBO
closePrcSrc	string	Calculation method of closePrcSrc
synSpot	double	Synthetic spot price (market-derived spot when the underlying is not a traded instrument)
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 srCloseTime
srSlope	float	slope of SR surface (Change in SRVol relative to change in Uprc; assuming expiry curve slides left/right with no shape change)
kAdj	float	adjusted strike
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
vo	float	Option Volga calculated using srVol
va	float	Option Vanna calculated using srVol
rh	float	Option Rho calculated using srVol
ph	float	Option Phi calculated using srVol
deDecay	float	Option Delta time decay calculated using srVol (Charm, Delta Bleed)
modelType	string	Surface model used for SpiderRock close mark calculation
prcFramework	string	Pricing framework used for SpiderRock close mark calculation (e.g. Black-Scholes, Bachelier)
exType	string	Exercise type
years	float	SpiderRock time to expiration in years
yearsC	float	Time to expiration in years calculated using close date
rate	float	SpiderRock calibrated risk free rate
sdiv	float	SpiderRock implied continuous dividend rate
ddiv	float	Sum of dividends paid to expiration
ddivPv	float	Present value of dividends paid to expiration using SpiderRock calibrated risk free rate
atmVol	float	At-the-money implied volatility
sDaysT	int	Total number of calendar days to expiration from today
sDaysE	int	Settlement calendar days to expiration
error	int	For internal use
openInterest	int	Open Interest (1 day delayed)
prtCount	int	Total number of trades done at the bid or at the ask for the day (prtCount = askCount+bidCount)
prtVolume	int	Total volume of contracts traded for the day
priorDate	timestamp	Prior Trading Day Date/Reserved for future use
prcAdjValue	float	Corp action adjustment value (0.0 on most days); [todayPrice = priorPrice * prcAdjRatio + prcAdjValue]/Reserved for future use
prcAdjRatio	float	Corp action adjustment factor (1.0 on most days)/Reserved for future use
priorSRClsPrc	float	Value archived in the previous trading period/Reserved for future use
priorClosePrc	float	Prior Trading Day Closing Price/Reserved for future use

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
• osiKey was removed
• priordate_us and priordate_cst columns were removed as they are redundant with priorDate
• timestamp, timestamp_cst and timestamp_us were removed
• iSlope was renamed to srSlope
• eSlope was removed
• synSpot was added to capture synthetic spot price
• clsMarkState was added to capture the state of the close mark
• srClsPrcSrc and closePrcSrc were added
• kAdj was added to capture adjusted strike
• modelType, prcFramework, and exType were added to capture the surface model, pricing framework, and exercise type
• yearsC was added to capture time to expiration in years calculated using close date
• sDaysT and sDaysE were added to capture total calendar days to expiration and settlement calendar days to expiration, respectively
• atmVol was added to capture the at-the-money implied volatility