LiveSurfaceFixedTerm

V8 Message Definiton

LiveSurfaceFixedTerm records contain interpolated censored at-the-money volatilities at fixed days to expiration. These records also include implied and realized earnings moves, forecasted earnings counts, forwards, sdivs, skew slopes, and vol widths.

METADATA

Attribute	Value
Topic	1000-analytics
MLink Token	OptSurface
Product	SRAnalytics
accessType	SELECT
MLink Endpoint	MLink-Live

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	''
surfaceType	enum - SurfaceCurveType	PRI	'None'
synSpot	DOUBLE		0	Synthetic spot price marketderived spot when the underlying is not a traded instrument
hEMove	FLOAT		0	expected forward earnings move average of the past two years of underlier earnings moves using a trimmed mean
hEMoveNum	TINYINT UNSIGNED		0	num earnings moves in historical lookback window
hEMoveAvg	FLOAT		0	avg earnings move past two years of underlier earnings moves
hEMoveStd	FLOAT		0	std earnings move past two years of underlier earnings moves
hEMoveMin	FLOAT		0	max earnings move past two years of underlier earnings moves
hEMoveMax	FLOAT		0	min earnings move past two years of underlier earnings moves
iEMove	FLOAT		0	implied earnings move implied move all earnings events
iEFitCode	enum - EFitCode		'None'	implied EFit Code
iEFitError	FLOAT		0	eMove fit error term surface fit error
expiryCount	TINYINT UNSIGNED		0	number of actual expirations involved
iEMoveAvg	FLOAT		0	average eMove today
iEMoveStd	FLOAT		0	eMove std dev today
iEMoveMin	FLOAT		0	eMove min today
iEMoveMax	FLOAT		0	emove max today
iEMoveCnt	INT		0	number of surface term fits today
eMoveExpAdj1	INT		0	number of expirations that the next earn date was moved to best fit market term structure if any
eMoveYrsAdj1	FLOAT		0	number of trading years that the next earn date was moved to best fit market term structure if any
eMoveYears1	FLOAT		0	years to expiration from LiveSurfaceCurvepkeyekey eMoveFKey1
eMoveEKey1_at	enum - AssetType		'None'	LiveSurfaceCurvepkeyekey immediately after 1st implied earnings move note this will not match the base earnings calendar if eMoveDtAdj1 0
eMoveEKey1_ts	enum - TickerSrc		'None'	LiveSurfaceCurvepkeyekey immediately after 1st implied earnings move note this will not match the base earnings calendar if eMoveDtAdj1 0
eMoveEKey1_tk	VARCHAR(12)		''	LiveSurfaceCurvepkeyekey immediately after 1st implied earnings move note this will not match the base earnings calendar if eMoveDtAdj1 0
eMoveEKey1_yr	SMALLINT UNSIGNED		0	LiveSurfaceCurvepkeyekey immediately after 1st implied earnings move note this will not match the base earnings calendar if eMoveDtAdj1 0
eMoveEKey1_mn	TINYINT UNSIGNED		0	LiveSurfaceCurvepkeyekey immediately after 1st implied earnings move note this will not match the base earnings calendar if eMoveDtAdj1 0
eMoveEKey1_dy	TINYINT UNSIGNED		0	LiveSurfaceCurvepkeyekey immediately after 1st implied earnings move note this will not match the base earnings calendar if eMoveDtAdj1 0
eMoveExpAdj2	INT		0	number of expirations that the 2nd earn date was moved to best fit market term structure if any
eMoveYrsAdj2	FLOAT		0	number of trading years that the 2nd earn date was moved to best fit market term structure if any
eMoveYears2	FLOAT		0	years to expiration from LiveSurfaceCurvepkeyfkey eMoveFKey2
eMoveEKey2_at	enum - AssetType		'None'	LiveSurfaceCurvepkeyekey immediately after 2nd implied earnings move note this will not match the base earnings calendar if eMoveDtAdj2 0
eMoveEKey2_ts	enum - TickerSrc		'None'	LiveSurfaceCurvepkeyekey immediately after 2nd implied earnings move note this will not match the base earnings calendar if eMoveDtAdj2 0
eMoveEKey2_tk	VARCHAR(12)		''	LiveSurfaceCurvepkeyekey immediately after 2nd implied earnings move note this will not match the base earnings calendar if eMoveDtAdj2 0
eMoveEKey2_yr	SMALLINT UNSIGNED		0	LiveSurfaceCurvepkeyekey immediately after 2nd implied earnings move note this will not match the base earnings calendar if eMoveDtAdj2 0
eMoveEKey2_mn	TINYINT UNSIGNED		0	LiveSurfaceCurvepkeyekey immediately after 2nd implied earnings move note this will not match the base earnings calendar if eMoveDtAdj2 0
eMoveEKey2_dy	TINYINT UNSIGNED		0	LiveSurfaceCurvepkeyekey immediately after 2nd implied earnings move note this will not match the base earnings calendar if eMoveDtAdj2 0
atmCenI_st	FLOAT		0	short term 5 day model atm volatility censored using iEMult
atmCenI_lt	FLOAT		0	long term 504 day model atm volatility
atmCenI_decay	FLOAT		0	model decay parameter
atmCenI_5d	FLOAT		0	Interpolated 5 day atm vol censored using iEMult
atmCenI_10d	FLOAT		0	Interpolated 10 day atm vol
atmCenI_21d	FLOAT		0	Interpolated 21 day atm vol
atmCenI_42d	FLOAT		0	Interpolated 42 day atm vol
atmCenI_63d	FLOAT		0	Interpolated 63 day atm vol
atmCenI_84d	FLOAT		0	Interpolated 84 day atm vol
atmCenI_105d	FLOAT		0	Interpolated 105 day atm vol
atmCenI_126d	FLOAT		0	Interpolated 126 day atm vol
atmCenI_189d	FLOAT		0	Interpolated 189 day atm vol
atmCenI_252d	FLOAT		0	Interpolated 252 day atm vol
atmCenI_378d	FLOAT		0	Interpolated 378 day atm vol
atmCenI_504d	FLOAT		0	Interpolated 504 day atm vol
atmCenH_st	FLOAT		0	short term 5 day model atm volatility censored using hEMult
atmCenH_lt	FLOAT		0	long term 504 day model atm volatility
atmCenH_decay	FLOAT		0	model decay parameter
atmCenH_5d	FLOAT		0	Interpolated 5 day atm vol censored using hEMult
atmCenH_10d	FLOAT		0	Interpolated 10 day atm vol
atmCenH_21d	FLOAT		0	Interpolated 21 day atm vol
atmCenH_42d	FLOAT		0	Interpolated 42 day atm vol
atmCenH_63d	FLOAT		0	Interpolated 63 day atm vol
atmCenH_84d	FLOAT		0	Interpolated 84 day atm vol
atmCenH_105d	FLOAT		0	Interpolated 105 day atm vol
atmCenH_126d	FLOAT		0	Interpolated 126 day atm vol
atmCenH_189d	FLOAT		0	Interpolated 189 day atm vol
atmCenH_252d	FLOAT		0	Interpolated 252 day atm vol
atmCenH_378d	FLOAT		0	Interpolated 378 day atm vol
atmCenH_504d	FLOAT		0	Interpolated 504 day atm vol
sDiv_5d	FLOAT		0	Interpolated 5 day implied sdiv rate
sDiv_10d	FLOAT		0	Interpolated 10 day implied sdiv rate
sDiv_21d	FLOAT		0	Interpolated 21 day implied sdiv rate
sDiv_42d	FLOAT		0	Interpolated 42 day implied sdiv rate
sDiv_63d	FLOAT		0	Interpolated 63 day implied sdiv rate
sDiv_84d	FLOAT		0	Interpolated 84 day implied sdiv rate
sDiv_105d	FLOAT		0	Interpolated 105 day implied sdiv rate
sDiv_126d	FLOAT		0	Interpolated 126 day implied sdiv rate
sDiv_189d	FLOAT		0	Interpolated 189 day implied sdiv rate
sDiv_252d	FLOAT		0	Interpolated 252 day implied sdiv rate
sDiv_378d	FLOAT		0	Interpolated 378 day implied sdiv rate
sDiv_504d	FLOAT		0	Interpolated 504 day implied sdiv rate
fwdUPrc_5d	FLOAT		0	Interpolated 5 day implied forward price
fwdUPrc_10d	FLOAT		0	Interpolated 10 day implied forward price
fwdUPrc_21d	FLOAT		0	Interpolated 21 day implied forward price
fwdUPrc_42d	FLOAT		0	Interpolated 42 day implied forward price
fwdUPrc_63d	FLOAT		0	Interpolated 63 day implied forward price
fwdUPrc_84d	FLOAT		0	Interpolated 84 day implied forward price
fwdUPrc_105d	FLOAT		0	Interpolated 105 day implied forward price
fwdUPrc_126d	FLOAT		0	Interpolated 126 day implied forward price
fwdUPrc_189d	FLOAT		0	Interpolated 189 day implied forward price
fwdUPrc_252d	FLOAT		0	Interpolated 252 day implied forward price
fwdUPrc_378d	FLOAT		0	Interpolated 378 day implied forward price
fwdUPrc_504d	FLOAT		0	Interpolated 504 day implied forward price
vWidth_5d	FLOAT		0	Interpolated 5 day market vwidth
vWidth_10d	FLOAT		0	Interpolated 10 day market vwidth
vWidth_21d	FLOAT		0	Interpolated 21 day market vwidth
vWidth_42d	FLOAT		0	Interpolated 42 day market vwidth
vWidth_63d	FLOAT		0	Interpolated 63 day market vwidth
vWidth_84d	FLOAT		0	Interpolated 84 day market vwidth
vWidth_105d	FLOAT		0	Interpolated 105 day market vwidth
vWidth_126d	FLOAT		0	Interpolated 126 day market vwidth
vWidth_189d	FLOAT		0	Interpolated 189 day market vwidth
vWidth_252d	FLOAT		0	Interpolated 252 day market vwidth
vWidth_378d	FLOAT		0	Interpolated 378 day market vwidth
vWidth_504d	FLOAT		0	Interpolated 504 day market vwidth
vSlope_5d	FLOAT		0	Interpolated 5 day atm vol slope
vSlope_10d	FLOAT		0	Interpolated 10 day atm vol slope
vSlope_21d	FLOAT		0	Interpolated 21 day atm vol slope
vSlope_42d	FLOAT		0	Interpolated 42 day atm vol slope
vSlope_63d	FLOAT		0	Interpolated 63 day atm vol slope
vSlope_84d	FLOAT		0	Interpolated 84 day atm vol slope
vSlope_105d	FLOAT		0	Interpolated 105 day atm vol slope
vSlope_126d	FLOAT		0	Interpolated 126 day atm vol slope
vSlope_189d	FLOAT		0	Interpolated 189 day atm vol slope
vSlope_252d	FLOAT		0	Interpolated 252 day atm vol slope
vSlope_378d	FLOAT		0	Interpolated 378 day atm vol slope
vSlope_504d	FLOAT		0	Interpolated 504 day atm vol slope
eCnt_5d	TINYINT UNSIGNED		0	number of expected earnings events
eCnt_10d	TINYINT UNSIGNED		0	number of expected earnings events
eCnt_21d	TINYINT UNSIGNED		0	number of expected earnings events
eCnt_42d	TINYINT UNSIGNED		0	number of expected earnings events
eCnt_63d	TINYINT UNSIGNED		0	number of expected earnings events
eCnt_84d	TINYINT UNSIGNED		0	number of expected earnings events
eCnt_105d	TINYINT UNSIGNED		0	number of expected earnings events
eCnt_126d	TINYINT UNSIGNED		0	number of expected earnings events
eCnt_189d	TINYINT UNSIGNED		0	number of expected earnings events
eCnt_252d	TINYINT UNSIGNED		0	number of expected earnings events
eCnt_378d	TINYINT UNSIGNED		0	number of expected earnings events
eCnt_504d	TINYINT UNSIGNED		0	number of expected earnings events
status	enum - CurveStatus		'None'
time	TIME(6)		'00:00:00.000000'
timestamp	DATETIME(6)		'1900-01-01 00:00:00.000000'	update timestamp

PRIMARY KEY DEFINITION (Unique)

Field	Sequence
ticker_tk	1
ticker_at	2
ticker_ts	3
surfaceType	4

SELECT TABLE EXAMPLE QUERY

SELECT *
FROM `SRAnalytics`.`MsgLiveSurfaceFixedTerm`
WHERE 
    /* Replace with a ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY','RATE') */ 
    `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','SCE','ANY','CXE','DXE','NXAM','NXBR','NXLS','NXML','NXOS','NXP','EUREX','CEDX','ICEFEC','ICEFEF','CEQT','TSX','TMX') */ 
    `ticker_ts` = 'None'
  AND
    /* Replace with a VARCHAR(12) */ 
    `ticker_tk` = 'Example_ticker_tk'
  AND
    /* Replace with a ENUM('None','Live','PrevDay','Interp','Close','Test') */ 
    `surfaceType` = 'None';

Doc Columns Query

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