Version: Upcoming

LiveImpliedQuote

CalcSource=Tick records are computed and published each time an option NBBO price changes. CalcSource=Loop records are computed in a 2-3 minute background loop. Note that the underlier price (uPrc) will be the same for all options an underlier when CalcSource=Loop. This is not true for CalcSource=Tick where uPrc will be the underlier price that prevailed when the option price changed. If you are consuming multicast data and only want records with consistent uPrc values for all options you should ignore Tick records. Alternatively, you can use an independent underlier price source (our StockBookQuote feed or some other) and 'adjust' the values in this table to the new underlier value. If you are selecting records from SRSE you should note that OptionImpliedQuoteAdj table is a proxy implementation of this table that automatically applies the appropriate underlier adjustments as records are being returned.

METADATA

Attribute	Value
Topic	1000-analytics
MLink Token	OptAnalytics
Product	SRAnalytics
accessType	SELECT

Table Definition

Field	Type	Key	Default Value	Comment
okey_at	enum - AssetType	PRI	'None'
okey_ts	enum - TickerSrc	PRI	'None'
okey_tk	VARCHAR(12)	PRI	''
okey_yr	SMALLINT UNSIGNED	PRI, SEC	0
okey_mn	TINYINT UNSIGNED	PRI, SEC	0
okey_dy	TINYINT UNSIGNED	PRI, SEC	0
okey_xx	DOUBLE	PRI	0
okey_cp	enum - CallPut	PRI	'Call'
ticker_at	enum - AssetType		'None'	SR Ticker that this option rolls up to
ticker_ts	enum - TickerSrc		'None'	SR Ticker that this option rolls up to
ticker_tk	VARCHAR(12)	SEC	''	SR Ticker that this option rolls up to
uPrc	FLOAT		0	underlier price usually midmarket
uOff	FLOAT		0	implied underlier price offset if any
years	FLOAT		0	years to expiration
xAxis	FLOAT		0	option moneyness
rate	FLOAT		0	discount rate
sdiv	FLOAT		0	sdiv continuous stock dividend rate
ddiv	FLOAT		0	cumulative discrete dividend value
oBid	FLOAT		0	option bid price
oAsk	FLOAT		0	option ask price
oBidIv	FLOAT		0	volatility implied by option bid price
oAskIv	FLOAT		0	volatility implied by option ask price
atmVol	FLOAT		0	option atm volatility from SR surface
sVol	FLOAT		0	option surface volatility SR surface fit model
sPrc	FLOAT		0	option surface price ie PRICEsVol uPrc uOff years rate sDiv discrete dividends if any
sMark	FLOAT		0	option surface mark option surface price wbounding rules always between bidask
veSlope	FLOAT		0	veSlope dVol dUprc assuming vol xAxis 0 remains constant hedgeDelta de ve 100 veSlope if hedging with this assumption
de	FLOAT		0	option delta
ga	FLOAT		0	option gamma
th	FLOAT		0	option theta
ve	FLOAT		0	option vega
va	FLOAT		0	option vanna
vo	FLOAT		0	option volga
ro	FLOAT		0	option rho
ph	FLOAT		0	option phi
deDecay	FLOAT		0	option delta decay
up50	FLOAT		0	underlier up 50 slide
dn50	FLOAT		0	underlier dn 50 slide
up15	FLOAT		0	underlier up 15 slide
dn15	FLOAT		0	underlier dn 15 slide
up06	FLOAT		0	underlier up 6 slide
dn08	FLOAT		0	underlier dn 8 slide
synSpot	DOUBLE		0	Synthetic spot price marketderived spot when the underlying is not a traded instrument
priceType	enum - CalcPriceType		'None'	Equity or Future Black76 pricing framework if Future then uPrc is the forwardUPrc and sdiv rate
calcErr	enum - ImpliedQuoteError		'None'	option pricing calculation error if any
calcSource	enum - CalcSource		'None'
srcTimestamp	BIGINT		0	OPRA source timestamp nanoseconds since epoch will be zero if calcSource Tick
netTimestamp	BIGINT		0	SR timestamp publish time
timestamp	DATETIME(6)		'1900-01-01 00:00:00.000000'

PRIMARY KEY DEFINITION (Unique)

Field	Sequence
okey_tk	1
okey_yr	2
okey_mn	3
okey_dy	4
okey_xx	5
okey_cp	6
okey_at	7
okey_ts	8

SECONDARY INDEX (ExpirationIndex) (Not Unique)

Field	Sequence
okey_yr	1
okey_mn	2
okey_dy	3

SECONDARY INDEX (TickerIndex) (Not Unique)

Field	Sequence
ticker_tk	1

CREATE TABLE EXAMPLE QUERY

CREATE TABLE `SRAnalytics`.`MsgLiveImpliedQuote` (
    `okey_at` ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') NOT NULL DEFAULT 'None',
    `okey_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',
    `okey_tk` VARCHAR(12) NOT NULL DEFAULT '',
    `okey_yr` SMALLINT UNSIGNED NOT NULL DEFAULT 0,
    `okey_mn` TINYINT UNSIGNED NOT NULL DEFAULT 0,
    `okey_dy` TINYINT UNSIGNED NOT NULL DEFAULT 0,
    `okey_xx` DOUBLE NOT NULL DEFAULT 0,
    `okey_cp` ENUM('Call','Put','Pair') NOT NULL DEFAULT 'Call',
    `ticker_at` ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') NOT NULL DEFAULT 'None' COMMENT 'SR Ticker that this option rolls up to',
    `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' COMMENT 'SR Ticker that this option rolls up to',
    `ticker_tk` VARCHAR(12) NOT NULL DEFAULT '' COMMENT 'SR Ticker that this option rolls up to',
    `uPrc` FLOAT NOT NULL DEFAULT 0 COMMENT 'underlier price (usually mid-market)',
    `uOff` FLOAT NOT NULL DEFAULT 0 COMMENT 'implied underlier price offset (if any)',
    `years` FLOAT NOT NULL DEFAULT 0 COMMENT 'years to expiration',
    `xAxis` FLOAT NOT NULL DEFAULT 0 COMMENT 'option moneyness',
    `rate` FLOAT NOT NULL DEFAULT 0 COMMENT 'discount rate',
    `sdiv` FLOAT NOT NULL DEFAULT 0 COMMENT 'sdiv (continuous stock dividend) rate',
    `ddiv` FLOAT NOT NULL DEFAULT 0 COMMENT 'cumulative discrete dividend value',
    `oBid` FLOAT NOT NULL DEFAULT 0 COMMENT 'option bid price',
    `oAsk` FLOAT NOT NULL DEFAULT 0 COMMENT 'option ask price',
    `oBidIv` FLOAT NOT NULL DEFAULT 0 COMMENT 'volatility implied by option bid price',
    `oAskIv` FLOAT NOT NULL DEFAULT 0 COMMENT 'volatility implied by option ask price',
    `atmVol` FLOAT NOT NULL DEFAULT 0 COMMENT 'option atm volatility (from SR surface)',
    `sVol` FLOAT NOT NULL DEFAULT 0 COMMENT 'option surface volatility (SR surface fit model)',
    `sPrc` FLOAT NOT NULL DEFAULT 0 COMMENT 'option surface price; ie. PRICE(sVol, uPrc + uOff, years, rate, sDiv, {discrete dividends, if any})',
    `sMark` FLOAT NOT NULL DEFAULT 0 COMMENT 'option surface mark (option surface price w/bounding rules; always between bid/ask)',
    `veSlope` FLOAT NOT NULL DEFAULT 0 COMMENT 'veSlope = dVol / dUprc (assuming vol @ xAxis = 0 remains constant); hedgeDelta = (de + ve * 100 * veSlope) if hedging with this assumption',
    `de` FLOAT NOT NULL DEFAULT 0 COMMENT 'option delta',
    `ga` FLOAT NOT NULL DEFAULT 0 COMMENT 'option gamma',
    `th` FLOAT NOT NULL DEFAULT 0 COMMENT 'option theta',
    `ve` FLOAT NOT NULL DEFAULT 0 COMMENT 'option vega',
    `va` FLOAT NOT NULL DEFAULT 0 COMMENT 'option vanna',
    `vo` FLOAT NOT NULL DEFAULT 0 COMMENT 'option volga',
    `ro` FLOAT NOT NULL DEFAULT 0 COMMENT 'option rho',
    `ph` FLOAT NOT NULL DEFAULT 0 COMMENT 'option phi',
    `deDecay` FLOAT NOT NULL DEFAULT 0 COMMENT 'option delta decay',
    `up50` FLOAT NOT NULL DEFAULT 0 COMMENT 'underlier up 50% slide',
    `dn50` FLOAT NOT NULL DEFAULT 0 COMMENT 'underlier dn 50% slide',
    `up15` FLOAT NOT NULL DEFAULT 0 COMMENT 'underlier up 15% slide',
    `dn15` FLOAT NOT NULL DEFAULT 0 COMMENT 'underlier dn 15% slide',
    `up06` FLOAT NOT NULL DEFAULT 0 COMMENT 'underlier up 6% slide',
    `dn08` FLOAT NOT NULL DEFAULT 0 COMMENT 'underlier dn 8% slide',
    `synSpot` DOUBLE NOT NULL DEFAULT 0 COMMENT 'Synthetic spot price (market-derived spot when the underlying is not a traded instrument)',
    `priceType` ENUM('None','Equity','Future') NOT NULL DEFAULT 'None' COMMENT 'Equity or Future (Black76) pricing framework;  if Future then uPrc is the forwardUPrc and sdiv = rate',
    `calcErr` ENUM('None','InvalidUPrc','InvalidSVol','PricingError') NOT NULL DEFAULT 'None' COMMENT 'option pricing calculation error (if any)',
    `calcSource` ENUM('None','Tick','Loop') NOT NULL DEFAULT 'None',
    `srcTimestamp` BIGINT NOT NULL DEFAULT 0 COMMENT 'OPRA source timestamp (nanoseconds since epoch); will be zero if calcSource != Tick',
    `netTimestamp` BIGINT NOT NULL DEFAULT 0 COMMENT 'SR timestamp @ publish time',
    `timestamp` DATETIME(6) NOT NULL DEFAULT '1900-01-01 00:00:00.000000',
    PRIMARY KEY USING HASH (`okey_tk`,`okey_yr`,`okey_mn`,`okey_dy`,`okey_xx`,`okey_cp`,`okey_at`,`okey_ts`),
    KEY `ExpirationIndex` (`okey_yr`,`okey_mn`,`okey_dy`) USING HASH,
    KEY `TickerIndex` (`ticker_tk`) USING HASH
) ENGINE=SRSE DEFAULT CHARSET=LATIN1 COMMENT='CalcSource=Tick records are computed and published each time an option NBBO price changes.  CalcSource=Loop records are computed in a 2-3 minute background loop.\nNote that the underlier price (uPrc) will be the same for all options an underlier when CalcSource=Loop.  This is not true for CalcSource=Tick where uPrc will be the underlier price that prevailed when the option price changed.\nIf you are consuming multicast data and only want records with consistent uPrc values for all options you should ignore Tick records. Alternatively, you can use an independent underlier price source (our StockBookQuote feed or some other) and \'adjust\' the values in this table to the new underlier value.\nIf you are selecting records from SRSE you should note that OptionImpliedQuoteAdj table is a proxy implementation of this table that automatically applies the appropriate underlier adjustments as records are being returned.';

SELECT TABLE EXAMPLE QUERY

SELECT
    `okey_at`,
    `okey_ts`,
    `okey_tk`,
    `okey_yr`,
    `okey_mn`,
    `okey_dy`,
    `okey_xx`,
    `okey_cp`,
    `ticker_at`,
    `ticker_ts`,
    `ticker_tk`,
    `uPrc`,
    `uOff`,
    `years`,
    `xAxis`,
    `rate`,
    `sdiv`,
    `ddiv`,
    `oBid`,
    `oAsk`,
    `oBidIv`,
    `oAskIv`,
    `atmVol`,
    `sVol`,
    `sPrc`,
    `sMark`,
    `veSlope`,
    `de`,
    `ga`,
    `th`,
    `ve`,
    `va`,
    `vo`,
    `ro`,
    `ph`,
    `deDecay`,
    `up50`,
    `dn50`,
    `up15`,
    `dn15`,
    `up06`,
    `dn08`,
    `synSpot`,
    `priceType`,
    `calcErr`,
    `calcSource`,
    `srcTimestamp`,
    `netTimestamp`,
    `timestamp`
FROM `SRAnalytics`.`MsgLiveImpliedQuote`
WHERE 
    /* Replace with a ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') */ 
    `okey_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') */ 
    `okey_ts` = 'None'
  AND
    /* Replace with a VARCHAR(12) */ 
    `okey_tk` = 'Example_okey_tk'
  AND
    /* Replace with a SMALLINT UNSIGNED */ 
    `okey_yr` = 123
  AND
    /* Replace with a TINYINT UNSIGNED */ 
    `okey_mn` = 1
  AND
    /* Replace with a TINYINT UNSIGNED */ 
    `okey_dy` = 1
  AND
    /* Replace with a DOUBLE */ 
    `okey_xx` = 4.56
  AND
    /* Replace with a ENUM('Call','Put','Pair') */ 
    `okey_cp` = 'Call';

Doc Columns Query

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

METADATA​

Table Definition​

PRIMARY KEY DEFINITION (Unique)​

SECONDARY INDEX (ExpirationIndex) (Not Unique)​

SECONDARY INDEX (TickerIndex) (Not Unique)​

CREATE TABLE EXAMPLE QUERY​

SELECT TABLE EXAMPLE QUERY​

Doc Columns Query​