getOptionClosingMarks
getOptionClosingMarks records are created immediately after the market close and when exchanges publish official marks. These records contain closing quotes and prices as well as markup details for all outright options. SpiderRock includes their own algorithms that create estimates of the correct theoretical price, creating the SpiderRock closing mark. Data available starting from 1/1/2016.
| Order | Data Name | Description | Data Type | Comments |
|---|---|---|---|---|
| 1 | okey_tk* | Option symbol | varchar(12) | |
| 2 | okey_yr* | Option expiration year | smallint(5) unsigned | |
| 3 | okey_mn* | Option expiration month | tinyint(3) unsigned | |
| 4 | okey_dy* | Option expiration day | tinyint(3) unsigned | |
| 5 | okey_xx* | Option strike | double | |
| 6 | okey_cp* | Option call/put indicator | enum | ('Call','Put','Pair') |
| 7 | clsMarkState* | LastPrt = last print received; SRClose = SpiderRock snapshot; ExchClose = official exchange close price; Final = Final close mark | enum | ('None','LastPrt','SRClose','ExchClose','Final') |
| 8 | uSrCls* | SpiderRock underlier closing mark (C - 1m) | double | |
| 9 | uClose* | Exchange underlier closing mark | double | |
| 10 | srClsPrc* | SpiderRock close mark (close - 1min) | double | |
| 11 | closePrc* | Official exchange closing mark (last print;then official close) | double | |
| 12 | srPrc* | SpiderRock surface price (always within bidPx/askPx) (C - 1m) | float | |
| 13 | srVol* | SpiderRock surface volatility (C - 1m) | float | |
| 14 | srSrc* | SpiderRock price source [NbboMid, SRVol, LoBound, HiBound, SRPricer, SRQuote, CloseMark] | enum | ('None','NbboMid','SRVol','LoBound','HiBound','SRPricer','SRQuote','CloseMark') |
| 15 | timestamp* | YYYY-MM-DD HH:mm:ss | datetime | |
| 16 | uBid | SpiderRock closing underlier bid (C - 1m) | double | |
| 17 | uAsk | SpiderRock closing underlier ask (C – 1m) | double | |
| 18 | bidPrc | SpiderRock closing option bid (C - 1m) | float | |
| 19 | askPrc | SpiderRock closing option ask (C - 1m) | float | |
| 20 | bidIV | Implied vol of SpiderRock closing bid price (C - 1m) | float | |
| 21 | askIV | Implied vol of SpiderRock closing ask price (C - 1m) | float | |
| 22 | de | Delta (SR surface) | float | |
| 23 | ga | Gamma (SR surface) | float | |
| 24 | th | Theta (SR surface) | float | |
| 25 | ve | Vega (SR surface) | float | |
| 26 | rh | Rho (SR surrface) | float | |
| 27 | ph | Phi (SR surface) | float | |
| 28 | sdiv | SpiderRock sdiv rate | float | |
| 29 | ddiv | SpiderRock ddiv rate (sum of discrete dividend amounts) | float | |
| 30 | rate | SpiderRock interest rate | float | |
| 31 | years | Years to expiration | float | |
| 32 | error | SpiderRock pricing library calculation error code | tinyint(3) unsigned | |
| 33 | openInterest | Open Interest | int(11) | |
| 34 | prtCount | Print count | int(11) | |
| 35 | prtVolume | Total printed volume | int(11) |
- Indicates the content of basic version of the file.
About the Vendor
SpiderRock is a technology provider that creates and deploys some of the most innovative algorithmic execution and risk management solutions commercially available to service large hedge funds, bank trading desks and proprietary trading firms around the world. The platform is a high-performance, cloud-based trading system empowering institutional clients with tools to construct, manage, and scale equity, futures and option strategies.
SpiderRock is also a market data vendor specializing in low latency data and analytics services. In addition, they offer electronic execution and market access services via SpiderRock EXS, an agency broker dealer regulated by FINRA and NFA.