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Version: Upcoming

TickerHistory3

Description

A time series of end of day constant maturity implied volatility points and skew slopes. The file contains a history of price, volume and earnings dates on the underlying equity, along with corporate-action adjusted return factors.

Start Dates

US start dates
ExchangeStart Date
NMS2012-03-26

Delivery Times

Full History is the combined all-history file, which is published on its own schedule.

RegionFull History
US05:00 CT T+1

Schema Definition

Field NameData TypeDescription
tradingDatedateTrading date
securityIDbigintSpiderRock security ID
ticker_tkstringUnderlying ticker
todayTickerstringTicker symbol this security trades under as of the most recent trading date
dnbigintSequential trading day number from the NMS trading calendar
openfloatOpening price
highfloatHigh price
lowfloatLow price
closefloatClosing price
closePrfloatPrior trading day closing price, adjusted for corporate actions
volumedoubleTrading volume
sharesbigintShares outstanding
earnFlagstringEarnings proximity flag: 0 on an earnings date, -1 on the trading day before, 1 on the trading day after, N otherwise
ccVardoubleSquared log close-to-close price change (close over adjusted prior close)
hlVardoubleSquared log high-low price range
rvVarfloatReserved for future use
expiryCountintThe number of valid surfaces across all option expirations used to construct fixed term volatilities
hEMovefloatRealized volatility measurement of daily changes occurring on past earnings announcements
iEMovefloatForecast earnings volatility as implied from the atm volatility term structure
wkD1floatInterpolated 5 day market atm volatility slope
shD1floatInterpolated 21 day atm vol slope
qtrD1floatInterpolated 63 day atm vol slope
lnD1floatInterpolated 252 day atm vol slope
atmCenI_decayfloatReserved for future use
atmCenI_stfloatReserved for future use
atmCenI_ltfloatReserved for future use
atmCenI_5dfloatThe 5 day censored atm volatility (with iEMove earnings volatility removed)
atmCenI_10dfloatThe 10 day censored atm volatility (with iEMove earnings volatility removed)
atmCenI_21dfloatThe 21 day censored atm volatility (with iEMove earnings volatility removed)
atmCenI_42dfloatThe 42 day censored atm volatility (with iEMove earnings volatility removed)
atmCenI_63dfloatThe 63 day censored atm volatility (with iEMove earnings volatility removed)
atmCenI_84dfloatThe 84 day censored atm volatility (with iEMove earnings volatility removed)
atmCenI_105dfloatThe 105 day censored atm volatility (with iEMove earnings volatility removed)
atmCenI_126dfloatThe 126 day censored atm volatility (with iEMove earnings volatility removed)
atmCenI_189dfloatThe 189 day censored atm volatility (with iEMove earnings volatility removed)
atmCenI_252dfloatThe 252 day censored atm volatility (with iEMove earnings volatility removed)
atmCenI_378dfloatThe 378 day censored atm volatility (with iEMove earnings volatility removed)
atmCenI_504dfloatThe 504 day censored atm volatility (with iEMove earnings volatility removed)
atmCenH_stfloatReserved for future use
atmCenH_ltfloatReserved for future use
atmCenH_decayfloatReserved for future use
atmCenH_5dfloatThe 5 day censored atm volatility (with hEMove earnings volatility removed)
atmCenH_10dfloatThe 10 day censored atm volatility (with hEMove earnings volatility removed)
atmCenH_21dfloatThe 21 day censored atm volatility (with hEMove earnings volatility removed)
atmCenH_42dfloatThe 42 day censored atm volatility (with hEMove earnings volatility removed)
atmCenH_63dfloatThe 63 day censored atm volatility (with hEMove earnings volatility removed)
atmCenH_84dfloatThe 84 day censored atm volatility (with hEMove earnings volatility removed)
atmCenH_105dfloatThe 105 day censored atm volatility (with hEMove earnings volatility removed)
atmCenH_126dfloatThe 126 day censored atm volatility (with hEMove earnings volatility removed)
atmCenH_189dfloatThe 189 day censored atm volatility (with hEMove earnings volatility removed)
atmCenH_252dfloatThe 252 day censored atm volatility (with hEMove earnings volatility removed)
atmCenH_378dfloatThe 378 day censored atm volatility (with hEMove earnings volatility removed)
atmCenH_504dfloatThe 504 day censored atm volatility (with hEMove earnings volatility removed)
nEarnCntintNumber of expected earnings events over the longest available term horizon
nEarnCnt_5dintNumber of expected earnings events for an option expiring in 5 trading days
nEarnCnt_10dintNumber of expected earnings events for an option expiring in 10 trading days
nEarnCnt_21dintNumber of expected earnings events for an option expiring in 21 trading days
nEarnCnt_42dintNumber of expected earnings events for an option expiring in 42 trading days
nEarnCnt_63dintNumber of expected earnings events for an option expiring in 63 trading days
nEarnCnt_84dintNumber of expected earnings events for an option expiring in 84 trading days
nEarnCnt_105dintNumber of expected earnings events for an option expiring in 105 trading days
nEarnCnt_126dintNumber of expected earnings events for an option expiring in 126 trading days
nEarnCnt_189dintNumber of expected earnings events for an option expiring in 189 trading days
nEarnCnt_252dintNumber of expected earnings events for an option expiring in 252 trading days
nEarnCnt_378dintNumber of expected earnings events for an option expiring in 378 trading days
nEarnCnt_504dintNumber of expected earnings events for an option expiring in 504 trading days
GICSstringReserved for future use
closeUnadjPrfloatPrior trading day closing price, unadjusted
returnFactorfloatDaily return factor (ratio of adjusted to unadjusted close)
totalReturnfloatDaily total return
cumulReturnFactordoubleCumulative return factor from inception

Differences to V7

  • No column-level differences: the v8 schema carries the same columns, in the same order, as the v7 table