ticker
The underlying symbol that represents the stock or index on which the option is based.
stkPx
The current price of the underlying stock. For indexes, this is the solved implied futures price for each expiration.
expirDate
The date on which the option expires
yte
The number of years remaining until the option's expiration date.
strike
The price at which the option can be exercised.
cVolu
The total number of call option contracts traded on a particular day total at the time observed.
cOi
The total number of outstanding call option contracts updated by OCC the night before.
pVolu
The total number of put option contracts traded on a particular day total at the time observed.
pOi
The total number of outstanding put option contracts updated by OCC the night before.
cBidPx
The NBBO price at which a market maker is willing to buy a call option.
cValue
The theoretical value of a call option based on a smooth volatility assumption.
cAskPx
The NBBO price at which a market maker is willing to sell a call option.
pBidPx
The NBBO price at which a market maker is willing to buy a put option.
pValue
The theoretical value of a put option based on a smooth volatility assumption.
pAskPx
The NBBO price at which a market maker is willing to sell a put option.
cBidIv
The implied volatility of a call option at the current NBBO bid price.
cAskIv
The implied volatility of a call option at the current NBBO ask price.
smoothSmvVol
The smoothed implied volatility of an option based on the ORATS model.
pBidIv
The implied volatility of a put option at the current NBBO bid price.
pMidIv
The implied volatility of a put option at the midpoint of the current NBBO bid and ask prices.
pAskIv
The implied volatility of a put option at the current NBBO ask price.
iRate
The continuous interest (risk-free) rate.
divRate
The continuous dividend yield of discrete dividend's NPV.
residualRateData
The implied interest rate that is derived from the option pricing model.
delta
The theoretical increase in an option's price due to a one dollar increase in the underlying price.
gamma
The rate of change of an option's delta with respect to a one dollar increase in the price of the underlying asset.
theta
The rate of time decay of an option's value for one day.
vega
The sensitivity of an option's price to a one percent rise in the implied volatility of the option.
rho
The sensitivity of an option's price to a one percent increase in interest rates for the option.
phi
A measure of the convexity of an option's price with respect to changes in the price of the underlying asset.
driftlessTheta
The rate of time decay of an option's value as the expiration date approaches, without taking into account the drift in the price of the underlying asset.
extVol
The external implied volatility of the underlying asset, as provided by an external data source. The external data source is from the ORATS forecast volatility.
extCTheo
The external theoretical value of a call option, as provided by an external data source.
extPTheo
The external theoretical value of a put option, as provided by an external data source.
spot_px
The current market price of the underlying asset. For indexes this is the cash price.
trade_date
The date on which the option was traded.
