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
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	''
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

SELECT TABLE EXAMPLE QUERY

SELECT *
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','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 VARCHAR(12) */ 
    `windowType` = 'Example_windowType';

Doc Columns Query

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