HistoricalVolatilities

V8 Message Definiton

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.

METADATA

Attribute	Value
Topic	3225-market-statistics
MLink Token	OptSurface
Product	SRAnalytics
accessType	SELECT

Table Definition

Field	Type	Key	Default Value	Comment
ticker_at	enum - AssetType	PRI	'None'
ticker_ts	enum - TickerSrc	PRI	'None'
ticker_tk	VARCHAR(12)	PRI	''
windowType	VARCHAR(12)	PRI	''	eg cc ccCen ccClCen hl hlCen iv63 iv126 etc
date	VARCHAR(10)		''	most recent closing date
securityID	INT		0
value	FLOAT		0	most recent historical value
mv_5d	FLOAT		0	historical mean value 5 day window
sd_5d	FLOAT		0	historical std dev 5 day window
mv_10d	FLOAT		0
sd_10d	FLOAT		0
mv_21d	FLOAT		0
sd_21d	FLOAT		0
mv_42d	FLOAT		0
sd_42d	FLOAT		0
mv_63d	FLOAT		0
sd_63d	FLOAT		0
mv_84d	FLOAT		0
sd_84d	FLOAT		0
mv_105d	FLOAT		0
sd_105d	FLOAT		0
mv_126d	FLOAT		0
sd_126d	FLOAT		0
mv_189d	FLOAT		0
sd_189d	FLOAT		0
mv_252d	FLOAT		0
sd_252d	FLOAT		0
mv_378d	FLOAT		0
sd_378d	FLOAT		0
mv_504d	FLOAT		0
sd_504d	FLOAT		0
timestamp	DATETIME(6)		'1900-01-01 00:00:00.000000'	record update timestamp

PRIMARY KEY DEFINITION (Unique)

Field	Sequence
ticker_tk	1
ticker_at	2
ticker_ts	3
windowType	4

CREATE TABLE EXAMPLE QUERY

CREATE TABLE `SRAnalytics`.`MsgHistoricalVolatilities` (
    `ticker_at` ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') NOT NULL DEFAULT 'None',
    `ticker_ts` ENUM('None','SR','NMS','CME','ICE','CFE','CBOT','NYMEX','COMEX','RUT','CIDX','ARCA','NYSE','OTC','NSDQ','MFQS','MIAX','DJI','CUSIP','ISIN','BXE','EUX','ANY','CXE','DXE','NXAM','NXBR','NXLS','NXML','NXOS','NXP','EUREX','CEDX','ICEFE') NOT NULL DEFAULT 'None',
    `ticker_tk` VARCHAR(12) NOT NULL DEFAULT '',
    `windowType` VARCHAR(12) NOT NULL DEFAULT '' COMMENT 'eg. cc, ccCen, ccClCen, hl, hlCen, iv63, iv126, etc',
    `date` VARCHAR(10) NOT NULL DEFAULT '' COMMENT 'most recent closing date',
    `securityID` INT NOT NULL DEFAULT 0,
    `value` FLOAT NOT NULL DEFAULT 0 COMMENT 'most recent historical value',
    `mv_5d` FLOAT NOT NULL DEFAULT 0 COMMENT 'historical mean value (5 day window)',
    `sd_5d` FLOAT NOT NULL DEFAULT 0 COMMENT 'historical std dev (5 day window)',
    `mv_10d` FLOAT NOT NULL DEFAULT 0,
    `sd_10d` FLOAT NOT NULL DEFAULT 0,
    `mv_21d` FLOAT NOT NULL DEFAULT 0,
    `sd_21d` FLOAT NOT NULL DEFAULT 0,
    `mv_42d` FLOAT NOT NULL DEFAULT 0,
    `sd_42d` FLOAT NOT NULL DEFAULT 0,
    `mv_63d` FLOAT NOT NULL DEFAULT 0,
    `sd_63d` FLOAT NOT NULL DEFAULT 0,
    `mv_84d` FLOAT NOT NULL DEFAULT 0,
    `sd_84d` FLOAT NOT NULL DEFAULT 0,
    `mv_105d` FLOAT NOT NULL DEFAULT 0,
    `sd_105d` FLOAT NOT NULL DEFAULT 0,
    `mv_126d` FLOAT NOT NULL DEFAULT 0,
    `sd_126d` FLOAT NOT NULL DEFAULT 0,
    `mv_189d` FLOAT NOT NULL DEFAULT 0,
    `sd_189d` FLOAT NOT NULL DEFAULT 0,
    `mv_252d` FLOAT NOT NULL DEFAULT 0,
    `sd_252d` FLOAT NOT NULL DEFAULT 0,
    `mv_378d` FLOAT NOT NULL DEFAULT 0,
    `sd_378d` FLOAT NOT NULL DEFAULT 0,
    `mv_504d` FLOAT NOT NULL DEFAULT 0,
    `sd_504d` FLOAT NOT NULL DEFAULT 0,
    `timestamp` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000' COMMENT 'record update timestamp',
    PRIMARY KEY USING HASH (`ticker_tk`,`ticker_at`,`ticker_ts`,`windowType`)
) ENGINE=SRSE DEFAULT CHARSET=LATIN1 COMMENT='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.\nHistoricalVolatility records are published to the SpiderRock elastic cluster nightly.';

SELECT TABLE EXAMPLE QUERY

SELECT
    `ticker_at`,
    `ticker_ts`,
    `ticker_tk`,
    `windowType`,
    `date`,
    `securityID`,
    `value`,
    `mv_5d`,
    `sd_5d`,
    `mv_10d`,
    `sd_10d`,
    `mv_21d`,
    `sd_21d`,
    `mv_42d`,
    `sd_42d`,
    `mv_63d`,
    `sd_63d`,
    `mv_84d`,
    `sd_84d`,
    `mv_105d`,
    `sd_105d`,
    `mv_126d`,
    `sd_126d`,
    `mv_189d`,
    `sd_189d`,
    `mv_252d`,
    `sd_252d`,
    `mv_378d`,
    `sd_378d`,
    `mv_504d`,
    `sd_504d`,
    `timestamp`
FROM `SRAnalytics`.`MsgHistoricalVolatilities`
WHERE 
    /* Replace with a ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') */ 
    `ticker_at` = 'None'
  AND
    /* Replace with a ENUM('None','SR','NMS','CME','ICE','CFE','CBOT','NYMEX','COMEX','RUT','CIDX','ARCA','NYSE','OTC','NSDQ','MFQS','MIAX','DJI','CUSIP','ISIN','BXE','EUX','ANY','CXE','DXE','NXAM','NXBR','NXLS','NXML','NXOS','NXP','EUREX','CEDX','ICEFE') */ 
    `ticker_ts` = 'None'
  AND
    /* Replace with a VARCHAR(12) */ 
    `ticker_tk` = 'Example_ticker_tk'
  AND
    /* Replace with a VARCHAR(12) */ 
    `windowType` = 'Example_windowType';

Doc Columns Query

SELECT * FROM SRAnalytics.doccolumns WHERE TABLE_NAME='HistoricalVolatilities' ORDER BY ordinal_position ASC;