OptionImpliedPair

V8 Message Definiton

This table contains current live NBBO prices and implied volatilites as well as greeks and SpiderRock surface volatilities/prices for all call/put pairs in the market.

METADATA

Attribute	Value
Topic	5030-srse-calculators
MLink Token	Internal
Product	SRAnalytics
accessType	SELECT
MLink Endpoint	MLink-Live

Table Definition

Field	Type	Key	Default Value	Comment
okey_at	enum - AssetType	PRI	'None'	cp Call
okey_ts	enum - TickerSrc	PRI	'None'	cp Call
okey_tk	VARCHAR(12)	PRI	''	cp Call
okey_yr	SMALLINT UNSIGNED	PRI, SEC	0	cp Call
okey_mn	TINYINT UNSIGNED	PRI, SEC	0	cp Call
okey_dy	TINYINT UNSIGNED	PRI, SEC	0	cp Call
okey_xx	DOUBLE	PRI	0	cp Call
okey_cp	enum - CallPut	PRI	'Call'	cp Call
ticker_at	enum - AssetType		'None'
ticker_ts	enum - TickerSrc		'None'
ticker_tk	VARCHAR(12)	SEC	''
uprc	FLOAT		0	underlier price usually midmarket
years	FLOAT		0	years to expiration
rate	FLOAT		0	interest rate
sdiv	FLOAT		0	sdiv stock dividend rate
ddiv	FLOAT		0	cumulative discrete dividend values
symbolRatio	FLOAT		0	effUPrc uprc symbolRatio
strikeRatio	FLOAT		0	effStrike okeyxx strikeRatio
cashOnExercise	FLOAT		0	cash on exercise multihedge only
xAxis	FLOAT		0	option xAxis moneyness
axisFUPrc	FLOAT		0	option xAxis Fwd UPrc
axisVolRT	FLOAT		0	option xAxis moneyness volatility x sqrtyears
cbid	FLOAT		0	call option bid price
cask	FLOAT		0	call option ask price
cbiv	FLOAT		0	volatility implied by option bid price
caiv	FLOAT		0	volatility implied by option ask price
catm	FLOAT		0	call option atm volatility from SR surface
cvol	FLOAT		0	call option surface volatility
cprc	FLOAT		0	call option surface price
cde	FLOAT		0	option delta from cvol
cga	FLOAT		0	option gamma from cvol
cth	FLOAT		0	option theta from cvol
cve	FLOAT		0	option vega from cvol
cro	FLOAT		0	option rho from cvol
cph	FLOAT		0	option phi from cvol
pbid	FLOAT		0	put option bid price
pask	FLOAT		0	put option ask price
pbiv	FLOAT		0	volatility implied by option bid price
paiv	FLOAT		0	volatility implied by option ask price
patm	FLOAT		0	put option atm volatility from SR surface
pvol	FLOAT		0	put option surface volatility
pprc	FLOAT		0	put option surface price
pde	FLOAT		0	option delta from pvol
pga	FLOAT		0	option gamma from pvol
pth	FLOAT		0	option theta from pvol
pve	FLOAT		0	option vega from pvol
pro	FLOAT		0	option rho from pvol
pph	FLOAT		0	option phi from pvol
calcErr	VARCHAR(24)		''	option pricing error if any
calcSource	enum - CalcSource		'None'
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

SELECT TABLE EXAMPLE QUERY

SELECT *
FROM `SRAnalytics`.`MsgOptionImpliedPair`
WHERE 
    /* Replace with a ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY','RATE') */ 
    `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','SCE','ANY','CXE','DXE','NXAM','NXBR','NXLS','NXML','NXOS','NXP','EUREX','CEDX','ICEFEC','ICEFEF','CEQT','TSX','TMX') */ 
    `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='OptionImpliedPair' ORDER BY ordinal_position ASC;