SurfaceAtmIntradayHist

Description

Surface ATM files contain interpolated implied volatility information resampled from the SpiderRock surface represented in the Surface Curve files. The surface points are resampled on a grid centered around the 0 X-axis point and represented by normalized strikes in the X-axis and multiples of ATM volatility in the Y-axis. 5 min frequency.

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
date	timestamp	Datetime for surface snapshot
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
uPrcDriverKey_at	string	Underlying price driver asset type
uPrcDriverKey_ts	string	Underlying price driver ticker source
uPrcDriverKey_tk	string	Underlying price driver ticker
uPrcDriverKey_dt	date	Underlying price driver expiration date
uPrcDriverType	string	Underlying price driver key type (stock or future)
uPrcDriver	double	Underlying price driver (mid-market)
tradingDate	date	Trading date
tradingSession	string	Trading session ('None','RegularMkt','PreMkt','PostMkt','PostMktETF','NextDay')
uPrc	double	Underlying price at date (column value)
uBid	double	Underlying bid at date (column value)
uAsk	double	Underlying ask at date (column value)
modelType	string	Option pricing model used for calculation (None, LogNormalExact, NormalExact, LogNormalApprox, NormalApprox)
prcFramework	string	Internal use only
exType	string	Exercise type (American or European)
years	float	SpiderRock time to expiration in years
rate	float	SpiderRock calibrated risk free rate
sdiv	float	Stock dividend (borrow rate) [most recent fit value]
ddiv	float	Sum of dividends paid to expiration
ddivPv	float	SR ddivPv (sum of present value discrete dividend amounts)
symbolRatio	float	Underlying price adjustment factor (for corporate actions); usually 1.0. Not always available
earnCnt	float	Number of qualifying earnings events prior to expiration [can be fractional]
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)
synSpot	double	Synthetic spot price (market-derived spot when the underlying is not a traded instrument)
iEMove	float	Historical earnings move (from hEMove from LIveSurfaceFixedTermIntradayHist table)le)
hEMove	float	Implied earnings move (from iEMove from LIveSurfaceFixedTermIntradayHist table)
uPrcRatio	double	Ratio relating the underlying price (uPrc) to the underlying price driver
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)
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
skewD11	float	Skew @ D11 point (volatility skew curve)
skewD10	float	Skew @ D10 point
skewD9	float	Skew @ D9 point
skewD8	float	Skew @ D8 point
skewD7	float	Skew @ D7 point
skewD6	float	Skew @ D6 point
skewD5	float	Skew @ D5 point
skewD4	float	Skew @ D4 point
skewD3	float	Skew @ D3 point
skewD2	float	Skew @ D2 point
skewD1	float	Skew @ D1 point
skewC0	float	Central value (@xAxis = 0) [usually zero]
skewU1	float	Skew @ U1 point
skewU2	float	Skew @ U2 point
skewU3	float	Skew @ U3 point
skewU4	float	Skew @ U4 point
skewU5	float	Skew @ U5 point
skewU6	float	Skew @ U6 point
skewU7	float	Skew @ U7 point
skewU8	float	Skew @ U8 point
skewU9	float	Skew @ U9 point
skewU10	float	Skew @ U10 point
skewU11	float	Skew @ U11 point
cpAdjD4	float	Call-Put volatility alignment coefficient (sdiv curve) xAxis = -4.0
cpAdjD3	float	Call-Put volatility alignment coefficient (sdiv curve) xAxis = -3.0
cpAdjD2	float	Call-Put volatility alignment coefficient (sdiv curve) xAxis = -2.0
cpAdjD1	float	Call-Put volatility alignment coefficient (sdiv curve) xAxis = -1.0
cpAdjU1	float	Call-Put volatility alignment coefficient (sdiv curve) xAxis = +1.0
cpAdjU2	float	Call-Put volatility alignment coefficient (sdiv curve) xAxis = +2.0
cpAdjU3	float	Call-Put volatility alignment coefficient (sdiv curve) xAxis = +3.0
cpAdjU4	float	Call-Put volatility alignment coefficient (sdiv curve) xAxis = +4.0
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	Surface fit average error (sPrc - midPrc) (price difference between surface and mid-market)
fitAvgAbsErr	float	Surface fit average absolute error (sPrc - midPrc) (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)
surfaceResult	string	Indicates whether the surface was successfully calibrated (success - OK)
timestamp	timestamp	Timestamp of surface 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
• column sdiv is added
• removal of priceType column
• sdivFit and sdivEMA removed in favor of sdiv
• uPrcOffsetFit and uPrcOffsetEMA removed in favor of uPrcRatio
• renamed column eMove to iEMove, and column eMoveHist to hEMove
• columns synSpot, ddivPv and prcFramework are added
• columns uPrcDriverKey_at, uPrcDriverKey_ts, uPrcDriverKey_tk, uPrcDriverKey_dt, uPrcDriverType and uPrcDriver are added
• removal of marketSession column