Name | Description | Type | Additional information | SIP Provider |
---|---|---|---|---|

company_name |
Company Name |
string |
Category: Fundamental |
None |

underlying_symbol |
Underlying Symbol |
string |
Category: Fundamental |
None |

average_call_delta |
Average Call Delta over last 63 trading days |
decimal number |
Category: Order Flow |
None |

average_call_gamma |
Average Call Gamma over last 63 trading days |
decimal number |
Category: Order Flow |
None |

average_call_oi |
Average Call Open Interest over last 63 trading days |
unsigned integer |
Category: Order Flow |
None |

average_call_premium |
Average Call Premium over last 63 trading days |
decimal number |
Category: Order Flow |
None |

average_call_vega |
Average Call Vega over last 63 trading days |
decimal number |
Category: Order Flow |
None |

average_call_volume |
Average Call Volume over last 63 trading days |
unsigned integer |
Category: Order Flow |
None |

average_calls_between_bid_ask |
Average Calls Between Bid Ask over last 63 trading days |
unsigned integer |
Category: Order Flow |
None |

average_calls_on_ask |
Average Calls On Ask over last 63 trading days |
unsigned integer |
Category: Order Flow |
None |

average_calls_on_bid |
Average Calls On Bid over last 63 trading days |
unsigned integer |
Category: Order Flow |
None |

average_contracts_per_trade |
Average Contracts Per Trade |
decimal number |
Category: Order Flow |
None |

average_open_interest |
Average Open Interest over last 63 trading days |
unsigned integer |
Category: Order Flow |
None |

average_option_volume |
Average Options Volume over last 63 trading days |
unsigned integer |
Category: Order Flow |
None |

average_otm_calls_on_ask |
Average Otm Calls On Ask over last 63 trading days |
unsigned integer |
Category: Order Flow |
None |

average_otm_calls_on_bid |
Average Otm Calls On Bid over last 63 trading days |
unsigned integer |
Category: Order Flow |
None |

average_otm_puts_on_ask |
Average Otm Puts On Ask over last 63 trading days |
unsigned integer |
Category: Order Flow |
None |

average_otm_puts_on_bid |
Average Otm Puts On Bid over last 63 trading days |
unsigned integer |
Category: Order Flow |
None |

average_put_delta |
Average Put Delta over last 63 trading days |
decimal number |
Category: Order Flow |
None |

average_put_gamma |
Average Put Gamma over last 63 trading days |
decimal number |
Category: Order Flow |
None |

average_put_oi |
Average Put Open Interest over last 63 trading days |
unsigned integer |
Category: Order Flow |
None |

average_put_premium |
Average Put Premium over last 63 trading days |
decimal number |
Category: Order Flow |
None |

average_put_vega |
Average Put Vega over last 63 trading days |
decimal number |
Category: Order Flow |
None |

average_put_volume |
Average Put Volume over last 63 trading days |
unsigned integer |
Category: Order Flow |
None |

average_puts_between_bid_ask |
Average Puts Between Bid Ask over last 63 trading days |
unsigned integer |
Category: Order Flow |
None |

average_puts_on_ask |
Average Puts On Ask over last 63 trading days |
unsigned integer |
Category: Order Flow |
None |

average_puts_on_bid |
Average Puts On Bid over last 63 trading days |
unsigned integer |
Category: Order Flow |
None |

call_delta |
Cumulative Delta position for calls traded <= bid or >= ask. Call deltas traded on the ask count as positive values |
decimal number |
Category: Order Flow |
None |

call_gamma |
Cumulative Gamma position for calls traded at or below the bid |
decimal number |
Category: Order Flow |
None |

call_oi |
Number of outstanding open call contracts for a given underlying security. |
unsigned integer |
Category: Order Flow |
None |

call_oi_1d_ago |
The open interest of all calls for that underlying security as of the prior trading day. |
unsigned integer |
Category: Order Flow |
None |

call_oi_1d_change_percent |
The change in open interest of all calls for that underlying security between the current and prior trading day |
decimal number |
Category: Order Flow |
None |

call_premium |
The total dollar value of all calls traded at the ask price |
decimal number |
Category: Order Flow |
None |

call_put_ratio |
Call Volume / Put Volume |
decimal number |
Category: Order Flow |
None |

call_trade_count |
The number of call trades executed. For total number of calls contracts traded |
unsigned integer |
Category: Order Flow |
None |

call_vega |
Cumulative Vega position for calls traded at or below the bid |
decimal number |
Category: Order Flow |
None |

call_volume |
Total calls traded today on the underlying. |
unsigned integer |
Category: Order Flow |
None |

call_volume_1d_ago |
The volume of total call contracts for a given underlying security traded on the prior trading day. |
unsigned integer |
Category: Order Flow |
None |

call_volume_percent_of_call_oi |
Call Volume / Call Open Interest (%) |
decimal number |
Category: Order Flow |
None |

calls_between_bid_ask |
Measures the number of calls that have traded between the bid and ask prices. |
unsigned integer |
Category: Order Flow |
None |

calls_on_ask |
Measures the number of calls that have traded at or above the ask price. |
unsigned integer |
Category: Order Flow |
None |

calls_on_ask_percent |
Measures the percentage of calls that have traded at the ask price as compared to all calls that have traded. |
decimal number |
Category: Order Flow |
None |

calls_on_bid |
Measures the number of calls that have traded at or below the bid price. |
unsigned integer |
Category: Order Flow |
None |

calls_on_bid_percent |
Measures the percentage of calls that have traded at the bid price as compared to all calls that have traded. |
decimal number |
Category: Order Flow |
None |

option_volume |
Total option contracts traded today for the underlying |
unsigned integer |
Category: Order Flow |
None |

option_volume_percent_of_oi |
Option Volume / Option Open Interest (%) |
decimal number |
Category: Order Flow |
None |

otm_calls_on_ask |
Measures the number of out-of-the-money calls that have traded >= ask price. |
unsigned integer |
Category: Order Flow |
None |

otm_calls_on_ask_percent |
Measures the percentage of out-of-the-money calls that have traded at or above the ask price as compared to all out-of-the-money calls that have traded. |
decimal number |
Category: Order Flow |
None |

otm_calls_on_bid |
Measures the number of out-of-the-money calls that have traded <= bid price. |
unsigned integer |
Category: Order Flow |
None |

otm_calls_on_bid_percent |
Measures the percentage of out-of-the-money calls that have traded at the bid price as compared to all out-of-the-money calls that have traded. |
decimal number |
Category: Order Flow |
None |

otm_puts_on_ask |
Measures the number of out-of-the-money puts that have traded >= ask price. |
unsigned integer |
Category: Order Flow |
None |

otm_puts_on_ask_percent |
Measures the percentage of out-of-the-money puts that have traded at or above the ask price as compared to all out-of-the-money puts that have traded. |
decimal number |
Category: Order Flow |
None |

otm_puts_on_bid |
Measures the number of out-of-the-money puts that have traded <= bid price. |
unsigned integer |
Category: Order Flow |
None |

otm_puts_on_bid_percent |
Measures the percentage of out-of-the-money puts that have traded at the bid price as compared to all out-of-the-money puts that have traded. |
decimal number |
Category: Order Flow |
None |

partial_day_average_call_volume |
Average Call Volume up to the current time of day. Calculated based on intraday trading volumes over the past 30 trading days. |
unsigned integer |
Category: Order Flow |
None |

partial_day_average_option_volume |
Average Option Volume up to the current time of day. Calculated based on intraday trading volumes over the past 30 trading days. |
unsigned integer |
Category: Order Flow |
None |

partial_day_average_put_volume |
Average Put Volume up to the current time of day. Calculated based on intraday trading volumes over the past 30 trading days. |
unsigned integer |
Category: Order Flow |
None |

partial_day_average_underlying_volume |
Average Underlying Volume up to the current time of day. Calculated based on intraday trading volumes over the past 30 trading days. |
unsigned integer |
Category: Order Flow |
None |

percent_average_volume |
Option Volume / Average Option Volume (%) |
unsigned integer |
Category: Order Flow |
None |

percent_avg_call_volume |
Call Volume / Average Option Volume (%) |
unsigned integer |
Category: Order Flow |
None |

percent_avg_put_volume |
Put Volume / Average Option Volume (%) |
unsigned integer |
Category: Order Flow |
None |

percent_partial_day_average_call_volume |
Call Volume / Partial Day Average Call Volume |
unsigned integer |
Category: Order Flow |
None |

percent_partial_day_average_option_volume |
Option Volume / Partial Day Average Option Volume |
unsigned integer |
Category: Order Flow |
None |

percent_partial_day_average_put_volume |
Put Volume / Partial Day Average Put Volume |
unsigned integer |
Category: Order Flow |
None |

percent_partial_day_average_underlying_volume |
Underlying Volume / Partial Day Average Underlying Volume |
unsigned integer |
Category: Order Flow |
None |

put_call_ratio |
Put Volume / Call Volume |
decimal number |
Category: Order Flow |
None |

put_delta |
Cumulative Delta position for puts traded <= bid or >= ask. Put deltas traded on the ask count as negative values |
decimal number |
Category: Order Flow |
None |

put_gamma |
Cumulative Gamma position for puts traded at or below the bid |
decimal number |
Category: Order Flow |
None |

put_oi |
Number of outstanding put contracts for a given underlying security. |
unsigned integer |
Category: Order Flow |
None |

put_oi_1d_ago |
The open interest of all puts for that underlying security as of the prior trading day. |
unsigned integer |
Category: Order Flow |
None |

put_oi_1d_change_percent |
Percentage change in put open interest from one day ago to today. |
decimal number |
Category: Order Flow |
None |

put_premium |
Total dollar value of all puts traded at the ask |
decimal number |
Category: Order Flow |
None |

put_trade_count |
The number of put trades executed. For total number of put contracts traded |
unsigned integer |
Category: Order Flow |
None |

put_vega |
Cumulative Vega position for puts traded at or below the bid |
decimal number |
Category: Order Flow |
None |

put_volume |
Total puts traded today on the underlying. |
unsigned integer |
Category: Order Flow |
None |

put_volume_1d_ago |
Total put volume for the prior trading day. |
unsigned integer |
Category: Order Flow |
None |

put_volume_percent_of_put_oi |
Put Volume / Put Open Interest (%) |
decimal number |
Category: Order Flow |
None |

puts_between_bid_ask |
Measures the number of puts that have traded between the bid and ask price. |
unsigned integer |
Category: Order Flow |
None |

puts_on_ask |
Measures the number of puts that have traded at or above the ask price. |
unsigned integer |
Category: Order Flow |
None |

puts_on_ask_percent |
Measures the percentage of puts that have traded at the ask price as compared to all puts that have traded. |
decimal number |
Category: Order Flow |
None |

puts_on_bid |
Measures the number of puts that have traded at the bid price. |
unsigned integer |
Category: Order Flow |
None |

puts_on_bid_percent |
Measures the percentage of puts that have traded at the bid price as compared to all puts that have traded. |
decimal number |
Category: Order Flow |
None |

sum_call_volume_3d |
Total call volume over the past three trading days. |
unsigned integer |
Category: Order Flow |
None |

sum_call_volume_5d |
Total call volume over the past five trading days. |
unsigned integer |
Category: Order Flow |
None |

sum_call_volume_last_2d |
Sum Call Volume Last 2D |
unsigned integer |
Category: Order Flow |
None |

sum_call_volume_last_4d |
Sum Call Volume Last 4D |
unsigned integer |
Category: Order Flow |
None |

sum_put_volume_3d |
Total put volume over the past three trading days. |
unsigned integer |
Category: Order Flow |
None |

sum_put_volume_5d |
Total put volume over the past five trading days. |
unsigned integer |
Category: Order Flow |
None |

sum_put_volume_last_2d |
Sum Put Volume Last 2D |
unsigned integer |
Category: Order Flow |
None |

sum_put_volume_last_4d |
Sum Put Volume Last 4D |
unsigned integer |
Category: Order Flow |
None |

total_oi |
The total number of outstanding open option contracts for a given underlying security. |
unsigned integer |
Category: Order Flow |
None |

total_oi_1d_change_percent |
The change in open interest of all options for that underlying security between the current and prior trading day |
decimal number |
Category: Order Flow |
None |

total_trade_count |
Total Option Trades On The Day |
decimal number |
Category: Order Flow |
None |

52_week_high |
52 Week High |
decimal number |
Category: Price |
None |

52_week_low |
52 Week Low |
decimal number |
Category: Price |
None |

52_week_percentile |
(Last Price - 52 Week Low) / (52 Week High - 52 Week Low). |
decimal number |
Category: Price SIP subscription is required |
CTA & UTP CSMI |

close |
Close Price |
decimal number |
Category: Price |
None |

high |
High Price Today. |
decimal number |
Category: Price SIP subscription is required |
CTA & UTP CSMI |

implied_percent_change_from_close |
(Implied Midpoint - Close Price) / Close Price (%) |
decimal number |
Category: Price |
None |

implied_underlying_ask |
Underlying ask implied from the underlying's option prices |
decimal number |
Category: Price |
None |

implied_underlying_ask_size |
Implied underlying ask size |
unsigned integer |
Category: Price |
None |

implied_underlying_bid |
Underlying bid implied from the underlying's option prices |
decimal number |
Category: Price |
None |

implied_underlying_bid_size |
Implied underlying bid size |
unsigned integer |
Category: Price |
None |

implied_underlying_mid |
Underlying mid implied from the underlying's option prices |
decimal number |
Category: Price |
None |

last |
Last Price. |
decimal number |
Category: Price SIP subscription is required |
CTA & UTP CSMI |

last_change |
Last Price - Close Price. |
decimal number |
Category: Price SIP subscription is required |
CTA & UTP CSMI |

low |
Low Price Today. |
decimal number |
Category: Price SIP subscription is required |
CTA & UTP CSMI |

open |
Open Price. |
decimal number |
Category: Price SIP subscription is required |
CTA & UTP CSMI |

percent_change_from_close |
(Last Price - Close Price)/Close Price (%). |
decimal number |
Category: Price SIP subscription is required |
CTA & UTP CSMI |

percent_change_from_open |
(Last Price - Open Price)/Open Price (%) |
decimal number |
Category: Price SIP subscription is required |
CTA & UTP CSMI |

price_gain_from_open |
Last Price - Open Price. |
decimal number |
Category: Price SIP subscription is required |
CTA & UTP CSMI |

price_rank_percentile |
Last Price relative rank compared to 1 yr of daily observations. |
decimal number |
Category: Price SIP subscription is required |
CTA & UTP CSMI |

sd_change_from_close |
(Last Price - Close Price)/(One Day Standard Deviation*Close Price / 100). |
decimal number |
Category: Price SIP subscription is required |
CTA & UTP CSMI |

average_historical_earnings_move |
Average Historical Earnings Move |
decimal number |
Category: Events |
None |

average_implied_earnings_move |
Average Implied Earnings Move |
decimal number |
Category: Events |
None |

days_after_earnings |
Days After Earnings |
unsigned integer |
Category: Events |
None |

days_to_next_dividend_date |
Days Until Next Dividend Date |
unsigned integer |
Category: Events |
None |

days_to_next_earnings_date |
Days To Next Earnings Date |
unsigned integer |
Category: Events |
None |

forward_volatility |
Post-earnings volatility implied from expiry1_volatility and expiry2_volatility |
decimal number |
Category: Events |
None |

implied_earnings_move |
Stock price move implied from expiry1_volatility and expiry2_volatility |
decimal number |
Category: Events |
None |

last_earnings_date |
Last Earnings Date |
date |
Category: Events |
None |

last_earnings_time_of_day |
Last Earnings Time Of Day |
string |
Category: Events |
None |

next_dividend_amount |
Next Dividend Amount |
decimal number |
Category: Events |
None |

next_dividend_date |
Next Dividend Date |
date |
Category: Events |
None |

next_earnings_date |
Next Earnings Date |
date |
Category: Events |
None |

next_earnings_status |
Next Earnings Status |
string |
Category: Events |
None |

next_earnings_time |
Next Earnings Time |
string |
Category: Events |
None |

average_underlying_volume |
The average volume of the underlying security over the last 63 trading days (approximately 3 months). |
unsigned integer |
Category: Underlying Volume |
None |

percent_average_underlying_volume |
Underlying Volume / Average Underlying Volume(%) |
unsigned integer |
Category: Underlying Volume |
None |

volume |
Underlying Volume |
unsigned integer |
Category: Underlying Volume |
None |

vwap |
Volume-weighted average price is the ratio of the dollar value traded to the total volume traded for an underlying security over one day. |
decimal number |
Category: Underlying Volume |
None |

average_iv30 |
Average IV30 over the last 63 trading days |
decimal number |
Category: Volatility |
None |

hv10 |
HV10 is the historical volatility of the underlying security over the last 10 trading days. |
decimal number |
Category: Volatility |
None |

hv180 |
HV180 is the historical volatility of the underlying security over the last 180 trading days. |
decimal number |
Category: Volatility |
None |

hv20 |
HV20 is the historical volatility of the underlying security over the last 20 trading days. |
decimal number |
Category: Volatility |
None |

hv30 |
HV30 is the historical volatility of the underlying security over the last 30 trading days. |
decimal number |
Category: Volatility |
None |

hv30_1d_close |
The 30-day historical volatility of an underlying security at the close of the prior trading day. |
decimal number |
Category: Volatility |
None |

hv30_3d_close |
The 30-day historical volatility of an underlying security at the close of trading three trading days earlier. |
decimal number |
Category: Volatility |
None |

hv30_5d_close |
The 30-day historical volatility of an underlying security at the close of trading five trading days earlier. |
decimal number |
Category: Volatility |
None |

hv30_percentile |
(HV30 - HV30 52 Week Low) / (HV30 52 Week High - HV30 52 Week Low) |
decimal number |
Category: Volatility |
None |

hv30_rank_percentile |
HV30 relative rank compared to 1 yr of daily observations. |
decimal number |
Category: Volatility |
None |

hv30_week_ago |
HV30 1 week ago. |
decimal number |
Category: Volatility |
None |

hv360 |
HV360 is the historical volatility of the underlying security over the last 360 trading days. |
decimal number |
Category: Volatility |
None |

hv60 |
HV60 is the historical volatility of the underlying security over the last 60 trading days. |
decimal number |
Category: Volatility |
None |

hv60_1d_close |
The 60-day historical volatility of an underlying security at the close of the prior trading day. |
decimal number |
Category: Volatility |
None |

hv60_3d_close |
The 60-day historical volatility of an underlying security at the close of trading three trading days earlier. |
decimal number |
Category: Volatility |
None |

hv60_5d_close |
The 60-day historical volatility of an underlying security at the close of trading five trading days earlier. |
decimal number |
Category: Volatility |
None |

hv90 |
HV90 is the historical volatility of the underlying security over the last 90 trading days. |
decimal number |
Category: Volatility |
None |

hv90_1d_close |
The 90-day historical volatility of an underlying security at the close of the prior trading day. |
decimal number |
Category: Volatility |
None |

hv90_3d_close |
The 90-day historical volatility of an underlying security at the close of trading three trading days earlier. |
decimal number |
Category: Volatility |
None |

hv90_5d_close |
The 90-day historical volatility of an underlying security at the close of trading five trading days earlier. |
decimal number |
Category: Volatility |
None |

iv180 |
Volatility of the hypothetical 180-calendar-day option. It's a weighted average of surrounding two expiries and 2 strikes surrounding ATM. |
decimal number |
Category: Volatility |
None |

iv180_1d_close |
IV180 One Day Close |
decimal number |
Category: Volatility |
None |

iv30 |
Volatility of the hypothetical 30-calendar-day option. Weighted average of the two surrounding monthly expiries |
decimal number |
Category: Volatility |
None |

iv30_1d_close |
The 30-day implied volatility of an underlying security at the close of the prior trading day. |
decimal number |
Category: Volatility |
None |

iv30_3d_change |
IV30 Three Day Change |
decimal number |
Category: Volatility |
None |

iv30_3d_close |
The 30-day implied volatility of an underlying security at the close of trading three trading days earlier. |
decimal number |
Category: Volatility |
None |

iv30_52_week_high |
The highest value of IV30 over the past 52 weeks. |
decimal number |
Category: Volatility |
None |

iv30_52_week_low |
The lowest value of IV30 over the past 52 weeks. |
decimal number |
Category: Volatility |
None |

iv30_5d_change |
The change in the 30-day implied volatility of an option since the close of trading five days earlier. |
decimal number |
Category: Volatility |
None |

iv30_5d_close |
The 30-day implied volatility at the close of trading five trading days earlier. |
decimal number |
Category: Volatility |
None |

iv30_change |
The change in the 30-day implied volatility of an option since the prior days close. |
decimal number |
Category: Volatility |
None |

iv30_month_ago |
IV30 1-Month Close |
decimal number |
Category: Volatility |
None |

iv30_open |
The IV30 value at the start of the current day's trading. |
decimal number |
Category: Volatility |
None |

iv30_percent_change |
Change in the IV30 measured as a percentage of the prior IV30 close. |
decimal number |
Category: Volatility |
None |

iv30_percentile |
(IV30 - IV30 52 Week Low) / (IV30 52 Week High - IV30 52 Week Low) |
decimal number |
Category: Volatility |
None |

iv30_rank_percentile |
IV30 relative rank compared to 1 yr of daily observations. |
decimal number |
Category: Volatility |
None |

iv30_week_ago |
IV30 1-Week Close |
decimal number |
Category: Volatility |
None |

iv360 |
IV360 is a measure of the volatility of the hypothetical 360-day (calendar days) option. It's a weighted average of two months and several strikes used to compute a volatility index for each stock |
decimal number |
Category: Volatility |
None |

iv360_1d_close |
IV360 One Day Close |
decimal number |
Category: Volatility |
None |

iv60 |
IV60 is a measure of the volatility of the hypothetical 60-day (calendar days) option. It's a weighted average of two months and several strikes used to compute a volatility index for each stock |
decimal number |
Category: Volatility |
None |

iv60_1d_close |
The 60-day implied volatility of an underlying security at the close of the prior trading day. |
decimal number |
Category: Volatility |
None |

iv60_3d_close |
The 60-day implied volatility of an underlying security at the close of trading three trading days earlier. |
decimal number |
Category: Volatility |
None |

iv60_5d_change |
The change in the 60-day implied volatility of an option since the close five trading days earlier. |
decimal number |
Category: Volatility |
None |

iv60_5d_close |
The 60-day implied volatility of an underlying security at the close of trading five trading days earlier. |
decimal number |
Category: Volatility |
None |

iv60_change |
The change in the IV60 since the prior close. |
decimal number |
Category: Volatility |
None |

iv60_percent_change |
Change in the IV60 measured as a percentage of the prior IV60 close. |
decimal number |
Category: Volatility |
None |

iv60_percentile |
Compares the current implied 60-day volatility (IV60) for the underlying security to the IV60 high and low points over the past year. The higher the number |
decimal number |
Category: Volatility |
None |

iv60_rank_percentile |
IV60 relative rank compared to 1 yr of daily observations. |
decimal number |
Category: Volatility |
None |

iv90 |
IV90 is a measure of the volatility of the hypothetical 90-day (calendar days) option. It's a weighted average of two months and several strikes used to compute a volatility index for each stock |
decimal number |
Category: Volatility |
None |

iv90_1d_close |
The 90-day implied volatility of an underlying security at the close of the prior trading day. |
decimal number |
Category: Volatility |
None |

iv90_3d_close |
The 90-day implied volatility of an underlying security at the close of trading three trading days earlier. |
decimal number |
Category: Volatility |
None |

iv90_5d_change |
The change in the IV90 since the close five trading days earlier. |
decimal number |
Category: Volatility |
None |

iv90_5d_close |
The 90-day implied volatility of an underlying security at the close of trading five trading days earlier. |
decimal number |
Category: Volatility |
None |

iv90_change |
The change in the IV90 since the prior close. |
decimal number |
Category: Volatility |
None |

iv90_percent_change |
Change in the IV90 measured as a percentage of the prior IV90 close. |
decimal number |
Category: Volatility |
None |

iv90_percentile |
Compares the current implied 90-day volatility (IV90) for the underlying security to the IV90 high and low points over the past year. The higher the number |
decimal number |
Category: Volatility |
None |

iv90_rank_percentile |
IV90 relative rank compared to 1 yr of daily observations. |
decimal number |
Category: Volatility |
None |

one_day_standard_deviation |
IV30 / sqrt(365) |
decimal number |
Category: Volatility |
None |

percent_average_iv30 |
IV30 / Average IV30 (%) |
decimal number |
Category: Volatility |
None |

sigma1 |
The implied volatility of a weighted basket of the contracts in the first month of expiration. |
decimal number |
Category: Volatility |
None |

sigma1_change |
The change in the implied volatility of a weighted basket of contracts in the first month expiration. |
decimal number |
Category: Volatility |
None |

sigma1_day_ago |
Expiry1 IV 1-Day Close |
decimal number |
Category: Volatility |
None |

sigma1_percent_change |
The percentage change in implied volatility of a weighted basket of contracts in the first month of expiration. |
decimal number |
Category: Volatility |
None |

sigma1_week_ago |
Expiry1 IV 1-Week Close |
decimal number |
Category: Volatility |
None |

sigma2 |
The implied volatility of a weighted basket of the contracts in the second month of expiration. |
decimal number |
Category: Volatility |
None |

sigma2_change |
The change in the implied volatility of a weighted basket of contracts in the second month expiration. |
decimal number |
Category: Volatility |
None |

sigma2_day_ago |
Expiry2 IV 1-Day Close |
decimal number |
Category: Volatility |
None |

sigma2_percent_change |
The percentage change in implied volatility of a weighted basket of contracts in the second month of expiration. |
decimal number |
Category: Volatility |
None |

sigma2_week_ago |
Expiry2 IV 1-Week Close |
decimal number |
Category: Volatility |
None |

sigma3 |
The implied volatility of a weighted basket of the contracts in the third month of expiration. |
decimal number |
Category: Volatility |
None |

sigma3_change |
The change in the implied volatility of a weighted basket of contracts in the third month expiration. |
decimal number |
Category: Volatility |
None |

sigma3_percent_change |
The percentage change in implied volatility of a weighted basket of contracts in the third month of expiration. |
decimal number |
Category: Volatility |
None |

sigma4 |
The implied volatility of a weighted basket of the contracts in the fourth month of expiration. |
decimal number |
Category: Volatility |
None |

sigma5 |
The implied volatility of a weighted basket of the contracts in the fifth month of expiration. |
decimal number |
Category: Volatility |
None |

sigma6 |
The implied volatility of a weighted basket of the contracts in the sixth month of expiration. |
decimal number |
Category: Volatility |
None |

sigma7 |
The implied volatility of a weighted basket of the contracts in the seventh month of expiration. |
decimal number |
Category: Volatility |
None |

sigma8 |
The implied volatility of a weighted basket of the contracts in the eighth month of expiration. |
decimal number |
Category: Volatility |
None |

hv180_vs_iv30 |
hv180 - iv30 |
decimal number |
Category: Volatility Differences |
None |

hv180_vs_iv60 |
hv180 - iv60 |
decimal number |
Category: Volatility Differences |
None |

iv30_hv30_ratio |
IV30 HV30 Ratio |
decimal number |
Category: Volatility Differences |
None |

iv30_vs_hv10 |
iv30 - hv10 |
decimal number |
Category: Volatility Differences |
None |

iv30_vs_hv20 |
iv30 - hv20 |
decimal number |
Category: Volatility Differences |
None |

iv30_vs_hv30 |
iv30 - hv30 |
decimal number |
Category: Volatility Differences |
None |

iv30_vs_iv60 |
iv30 - iv60 |
decimal number |
Category: Volatility Differences |
None |

iv30_vs_iv90 |
iv30 - iv90 |
decimal number |
Category: Volatility Differences |
None |

iv360_vs_hv360 |
iv360 - hv360 |
decimal number |
Category: Volatility Differences |
None |

iv60_hv60_ratio |
IV60 HV60 Ratio |
decimal number |
Category: Volatility Differences |
None |

iv60_vs_hv10 |
iv60 - hv10 |
decimal number |
Category: Volatility Differences |
None |

iv60_vs_hv20 |
iv60 - hv20 |
decimal number |
Category: Volatility Differences |
None |

iv60_vs_hv30 |
iv60 - hv30 |
decimal number |
Category: Volatility Differences |
None |

iv60_vs_hv60 |
iv60 - hv60 |
decimal number |
Category: Volatility Differences |
None |

iv60_vs_iv90 |
iv60 - iv90 |
decimal number |
Category: Volatility Differences |
None |

iv90_vs_hv10 |
iv90 - hv10 |
decimal number |
Category: Volatility Differences |
None |

iv90_vs_hv20 |
iv90 - hv20 |
decimal number |
Category: Volatility Differences |
None |

iv90_vs_hv30 |
iv90 - hv30 |
decimal number |
Category: Volatility Differences |
None |

iv90_vs_hv90 |
iv90 - hv90 |
decimal number |
Category: Volatility Differences |
None |

sigma1_sigma2_ratio |
Expiry1 IV / Expiry2 IV |
decimal number |
Category: Volatility Differences |
None |

sigma1_sigma3_ratio |
Expiry1 IV / Expiry3 IV |
decimal number |
Category: Volatility Differences |
None |

sigma1_vs_sigma2 |
Expiry1 IV - Expiry2 IV |
decimal number |
Category: Volatility Differences |
None |

sigma1_vs_sigma3 |
Expiry1 IV - Expiry3 IV |
decimal number |
Category: Volatility Differences |
None |

sigma1_vs_sigma4 |
Expiry1 IV - Expiry4 IV |
decimal number |
Category: Volatility Differences |
None |

sigma2_sigma3_ratio |
Expiry2 IV / Expiry3 IV |
decimal number |
Category: Volatility Differences |
None |

sigma2_vs_sigma3 |
Expiry2 IV - Expiry3 IV |
decimal number |
Category: Volatility Differences |
None |

sigma2_vs_sigma4 |
Expiry2 IV - Expiry4 IV |
decimal number |
Category: Volatility Differences |
None |

sigma3_vs_sigma4 |
Expiry3 IV - Expiry4 IV |
decimal number |
Category: Volatility Differences |
None |

sigma4_vs_sigma5 |
Expiry4 IV - Expiry5 IV |
decimal number |
Category: Volatility Differences |
None |

sigma5_vs_sigma6 |
Expiry5 IV - Expiry6 IV |
decimal number |
Category: Volatility Differences |
None |

sigma6_vs_sigma7 |
Expiry6 IV - Expiry7 IV |
decimal number |
Category: Volatility Differences |
None |

sigma7_vs_sigma8 |
Expiry7 IV - Expiry8 IV |
decimal number |
Category: Volatility Differences |
None |