US Consolidated Options - Volume, OI, Greeks Schemas#

Daily data providing Option Greek calculations and Open Interest and Closing Trade

US_OPTIONS_EOD#

Database includes the following Tables:

DAY - Daily price and statistical data, e.g. closing price, settlement price, open interest
STAT - Static data, e.g. ISIN, description, security type

Daily price and statistical data, e.g. closing price, settlement price, open interest

US_OPTIONS_EOD - DAY Table Schema#
Field	Data Type	Description
SYMBOL_NAME	string	Symbol Name (Exchange Symbol for Equities & ETFs, and Starting with Exchange Product Code for Derivative Markets followed by expiry and strike as appropriate)
TIMESTAMP	nsectime	Event Timestamp (typically at a nano-second resolution)
VOLUME	long	DAY: Total volume traded on the current trading day TRD_1M, VWAP_1H: Total volume of eligible trades in the current bar interval
OPEN_INT	double	Open interest for futures / options
UNDERLYING_PRICE	double	Last price of the underlying instrument
BID_CLOSE	double	Closing bid price
ASK_CLOSE	double	Closing ask price
IMP_VOLATILITY	double	Implied volatility of an option
DELTA	double	Option delta, i.e. the rate of change of an option’s price relative to its underlying
GAMMA	double	Option gamma, i.e. the rate of change of an option’s delta relative to the underlying asset price
THETA	double	Option theta, i.e. the rate of time decay in the value of an option or its premium
VEGA	double	Option vega, i.e. the rate of change of an option’s price relative to the implied volatility of its underlying
OMDSEQ	uint	Sequence number allowing ticks of different types at the same timestamp to be sorted into the correct chronological order. e.g. if a trade and a quote have the same timestamp, the one with the lower value of OMDSEQ arrived first.

Static data, e.g. ISIN, description, security type

US_OPTIONS_EOD - STAT Table Schema#
Field	Data Type	Description
SYMBOL_NAME	string	Symbol Name (Exchange Symbol for Equities & ETFs, and Starting with Exchange Product Code for Derivative Markets followed by expiry and strike as appropriate)
TIMESTAMP	nsectime	Event Timestamp (typically at a nano-second resolution)
UNDERLYING_SYMBOL	string[8]	Symbol of the underlying instrument
EXPIRATION_DATE	string[8]	Date when a derivative expires (YYYYMMDD)
STRIKE_PRICE	double	Exercise price for options / warrants
CALL_PUT_IND	string[1]	C - Call option, P - Put option
OMDSEQ	uint	Sequence number allowing ticks of different types at the same timestamp to be sorted into the correct chronological order. e.g. if a trade and a quote have the same timestamp, the one with the lower value of OMDSEQ arrived first.