OptSurface
| # | Message Name | Description |
|---|---|---|
| 3225 | HistoricalVolatilities | Values in this table are computed daily and are calculated from end-of-day marks from the previous period. Official exchange closing values are used where possible. HistoricalVolatility records are published to the SpiderRock elastic cluster nightly. |
| 1010 | LiveAtmVol | LiveAtmVol records are computed and publish continuously during trading hours |
| 1035 | LiveSurfaceCurve | LiveSurfaceCurve (surfaceType = 'Live') records are computed and publish continuously during trading hours and represent a current best implied volatility market fit. SurfaceType = 'PriorDay' records contain the `closing surface record from the prior trading period (usually from just before the last main session close). |
| 1040 | LiveSurfaceFixedGrid | This table contains a live grided (interpolated) censored implied volatility surface. Each record contains standarized live and prior period implied volatilities at standarized skew points for a standardized days-to-expiration value. LiveSurfaceGrid records are published to the SpiderRock elastic cluster nightly. |
| 1045 | LiveSurfaceFixedTerm | LiveSurfaceFixedTerm (surfaceType = 'Live') records contain a live implied volatility term record at standardized days-to-expiration. SurfaceType = 'PriorDay' records contain the final record from the prior trading day. These records include implied and histrical earnings moves, implied earnings date adjustments, and interpolated/gridded atm, sdiv, and quote width values. LiveSurfaceTerm records are published to the SpiderRock elastic cluster every 10 minutes for all equity and index underliers with options. |
| 6820 | OptionAtmMinuteBarData |