SurfaceFixedGridIntradayHist
Description
Grid Surfaces (Skew Surfaces) files contain implied volatilities sampled across a range of constant maturity terms and delta strikes. Records contain an array of volatilities sampled across a grid of fixed expirations and theoretical delta strikes, interpolated from the fitted volatility curves with expected earnings volatility removed. 5 minute frequency.
Schema Definition
| Field Name | Data Type | Description |
|---|---|---|
| ticker_at | string | Underlying asset type |
| ticker_ts | string | Underlying ticker source |
| ticker_tk | string | Underlying ticker |
| date | timestamp | Date and time of market data record |
| days | int | Days to expiration (5, 10, 21, 42, 63, 84, 126, 189, 252, 504) |
| securityID | bigint | SpiderRock security ID |
| tradingDate | date | Trading date |
| tradingSession | string | Trading session ('None','RegularMkt','PreMkt','PostMkt','PostMktETF','NextDay') |
| eMove | float | Implied earnings move (from LiveSurfaceFixedTerm iEMove) |
| eMoveHist | float | Realized earnings move (from LiveSurfaceFixedTerm hEMove) |
| volD40 | float | Censored atm volatility at the 90 call Delta strike (with iEMove earnings volatility removed) |
| volD30 | float | Censored atm volatility at the 80 call Delta strike (with iEMove earnings volatility removed) |
| volD20 | float | Censored atm volatility at the 70 call Delta strike (with iEMove earnings volatility removed) |
| volD10 | float | Censored atm volatility at the 60 call Delta strike (with iEMove earnings volatility removed) |
| volATM | float | Censored atm volatility at the 50 call Delta strike (with iEMove earnings volatility removed) |
| volU10 | float | Censored atm volatility at the 40 call Delta strike (with iEMove earnings volatility removed) |
| volU20 | float | Censored atm volatility at the 30 call Delta strike (with iEMove earnings volatility removed) |
| volU30 | float | Censored atm volatility at the 20 call Delta strike (with iEMove earnings volatility removed) |
| volU40 | float | Censored atm volatility at the 10 call Delta strike (with iEMove earnings volatility removed) |
| vWidth | float | Narrowest implied volatility between bid and ask |
| loYears | float | Time to expiration for the shorter-dated curve used for interpolation (loYears < days / 252, loYears = -1 if no curve exists) |
| hiYears | float | Time to expiration for the longer-dated curve used for interpolation (hiYears > days / 252, hiYears = -1 if no curve exists) |
| timestamp | timestamp | Timestamp of last update to record - UTC |
Differences to V7
- date_cst and timestamp_cst removed as they are redundant with date and timestamp
- date_us and timestamp_us removed