Name | Description | Type | Additional information | SIP Provider |
---|---|---|---|---|
root |
Option root |
string |
None |
None |
expiry |
Option expiration date |
string |
None |
None |
strike |
Option strike |
decimal number |
None |
None |
option_type |
Option type |
string |
'C' for Call, 'P' for Put |
None |
condition_id | byte |
None |
None |
|
exchange_id | byte |
None |
None |
|
exchange_seq_no |
Exchange sequence number |
integer |
None |
None |
cancel_flag |
Cancel flag |
integer |
0=normal, 1=canceled trade, 2=cancel trade message |
None |
option_ask |
NBBO ask |
decimal number |
SIP subscription is required; otherwise, returns |
OPRA |
option_ask_size |
NBBO ask size |
integer |
SIP subscription is required; otherwise, returns |
OPRA |
option_bid |
NBBO bid |
decimal number |
SIP subscription is required; otherwise, returns |
OPRA |
option_bid_size |
NBBO bid size |
integer |
SIP subscription is required; otherwise, returns |
OPRA |
option_trade_price |
Option trade price |
decimal number |
SIP subscription is required; otherwise, returns |
OPRA |
cboe_theo |
Theoretical price at the computed theoretical implied volatility |
decimal number |
None |
None |
option |
Option OSI Symbol |
string |
None |
None |
seq_no |
Sequence number |
integer |
None |
None |
option_trade_size |
Option trade size |
integer |
None |
None |
timestamp |
Timestamp |
string |
None |
None |
option_trade_at |
Trade price in relation to options market |
string |
Possible values are [Below Bid, On Bid, Mid Market, On Ask, Above Ask, Crossed Market, No Market] |
None |
delta |
Trade Delta |
decimal number |
None |
None |
gamma |
Trade Gamma |
decimal number |
None |
None |
vega |
Trade Vega |
decimal number |
None |
None |
theta |
Trade Theta |
decimal number |
None |
None |
rho |
Trade Rho |
decimal number |
None |
None |
iv |
Theoretical implied volatility of the option, computed utilizing the volatility surface of the option chain |
decimal number |
None |
None |
trade_iv |
Implied volatility at the option trade price |
decimal number |
None |
None |
underlying_bid |
Underlying bid |
decimal number |
SIP subscription is required; otherwise, returns |
CTA & UTP CSMI |
underlying_ask |
Underlying ask |
decimal number |
SIP subscription is required; otherwise, returns |
CTA & UTP CSMI |
implied_underlying_bid |
Option Implied Underlying Bid |
decimal number |
None |
None |
implied_underlying_ask |
Option Implied Underlying Ask |
decimal number |
None |
None |
implied_underlying_bid_size |
Option Implied Underlying Bid Size |
integer |
None |
None |
implied_underlying_ask_size |
Option Implied Underlying Ask Size |
integer |
None |
None |
implied_underlying_mid |
Option Implied Underlying Mid-point |
decimal number |
None |
None |
implied_underlying_indicator |
Implied Underlying Indicator: green/yellow/red |
string |
Indicates the width of the implied bid ask spread relative to implied price. If the implied bid-ask spread < 0.01, returns 'green'; If between 0.01 and 0.02, returns ‘yellow’; If > 0.02, returns ‘red’. |
None |