# 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 tick types: * DAY - Daily price and statistical data, e.g. closing price, settlement price, open interest * STAT - Static data, e.g. ISIN, description, security type ### US_OPTIONS_EOD - DAY 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. | ### US_OPTIONS_EOD - STAT 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. |