Underlying Fields| Fields | Type | Description |
|---|
| date | yyyy-mm-dd | Trading date |
| usymbol | string | Underlying symbol |
| amex | int | Number of contracts traded on AMEX |
| arca | int | Number of contracts traded on ARCA |
| bzx | int | Number of contracts traded on BZX |
| box | int | Number of contracts traded on BOX |
| bxo | int | Number of contracts traded on BXO |
| c2 | int | Number of contracts traded on C2 |
| cboe | int | Number of contracts traded on CBOE |
| ise | int | Number of contracts traded on ISE |
| nom | int | Number of contracts traded on NOM |
| miax | int | Number of contracts traded on MIAX |
| pearl | int | Number of contracts traded on PEARL |
| phlx | int | Number of contracts traded on PHLX |
| gem | int | Number of contracts traded on GEM |
| edgx | int | Number of contracts traded on EDGX |
| merc | int | Number of contracts traded on MERC |
| emld | int | Number of contracts traded on EMLD |
| memx | int | Number of contracts traded on MEMX |
| sphr | int | Number of contracts traded on SPHR |
| amex_puts | int | Number of put contracts traded on AMEX |
| arca_puts | int | Number of put contracts traded on ARCA |
| bzx_puts | int | Number of put contracts traded on BZX |
| box_puts | int | Number of put contracts traded on BOX |
| bxo_puts | int | Number of put contracts traded on BXO |
| c2_puts | int | Number of put contracts traded on C2 |
| cboe_puts | int | Number of put contracts traded on CBOE |
| ise_puts | int | Number of put contracts traded on ISE |
| miax_puts | int | Number of put contracts traded on MIAX |
| pearl_puts | int | Number of put contracts traded on PEARL |
| nom_puts | int | Number of put contracts traded on NOM |
| phlx_puts | int | Number of put contracts traded on PHLX |
| gem_puts | int | Number of put contracts traded on GEM |
| edgx_puts | int | Number of put contracts traded on EDGX |
| merc_puts | int | Number of put contracts traded on MERC |
| emld_puts | int | Number of put contracts traded on EMLD |
| memx_puts | int | Number of put contracts traded on MEMX |
| sphr_puts | int | Number of put contracts traded on SPHR |
| amex_calls | int | Number of call contracts traded on AMEX |
| arca_calls | int | Number of call contracts traded on ARCA |
| bzx_calls | int | Number of call contracts traded on BZX |
| box_calls | int | Number of call contracts traded on BOX |
| bxo_calls | int | Number of call contracts traded on BXO |
| c2_calls | int | Number of call contracts traded on C2 |
| cboe_calls | int | Number of call contracts traded on CBOE |
| ise_calls | int | Number of call contracts traded on ISE |
| miax_calls | int | Number of call contracts traded on MIAX |
| pearl_calls | int | Number of call contracts traded on PEARL |
| nom_calls | int | Number of call contracts traded on NOM |
| phlx_calls | int | Number of call contracts traded on PHLX |
| gem_calls | int | Number of call contracts traded on GEM |
| edgx_calls | int | Number of call contracts traded on EDGX |
| merc_calls | int | Number of call contracts traded on MERC |
| emld_calls | int | Number of call contracts traded on EMLD |
| memx_calls | int | Number of call contracts traded on MEMX |
| sphr_calls | int | Number of call contracts traded on SPHR |
| option_volume | int | Total number of contracts |
| put_volume | int | Total number of put contracts |
| call_volume | int | Total number of call contracts |
| put_pct | % | Total traded put contracts as percentage |
| call_pct | % | Total traded call contracts as percentage |
| directional_pct | real | Percentage of directional volume (no spreads, late, etc) |
| put_trades | int | Total number of put trades |
| call_trades | int | Total number of call trades |
| trades | int | Total number of trades |
| adv | int | Average daily contract volume |
| avg_total_puts | int | Average number of put contracts over last 22 trading days |
| avg_total_calls | int | Average number of call contracts over last 22 trading days |
| equity_volume | real | Total equity share volume |
| avg_volume | real | Average daily share volume over last 22 trading days |
| option_open_int | int | Total open interest |
| option_oi_chg | int | Change in total open interest since previous day |
| put_open_int | int | Total open put interest |
| call_open_int | int | Total open call interest |
| oi_puts_chg | int | Change in open put interest since previous day |
| oi_calls_chg | int | Change in call open interest since previous day |
| volume_oi_pct | real | Total traded contracts as percentage of open interest |
| put_prem | real | Sum of trade size times price for all puts |
| call_prem | real | Sum of trade size times price for all calls |
| bullish_c_prem | real | Sum of call premium where trade on ask side |
| bearish_c_prem | real | Sum of call premium where trade on bid side |
| bearish_p_prem | real | Sum of put premium where trade on ask side |
| bullish_p_prem | real | Sum of put premium where trade on bid side |
| bullish_on_ask | real | Bullish contracts trading on ask |
| bearish_on_ask | real | Bearish contracts trading on ask |
| net_delta | real | Total net delta$ on day |
| net_vega | real | Total net vega$ on day |
| rolling_net_delta | real | Net delta$ traded in last 10 minutes |
| rolling_puts | int | Put contracts traded in last 10 minutes |
| rolling_calls | int | Call contracts traded in last 10 minutes |
| rolling_buys | int | Buy side contracts traded in last 10 minutes |
| rolling_sells | int | Sell side contracts traded in last 10 minutes |
| rolling_bullish | int | Bullish contracts traded in last 10 minutes |
| rolling_bearish | int | Bearish contracts traded in last 10 minutes |
| atm_p_buy | int | At-the-money puts on the buy side |
| atm_p_sell | int | At-the-money puts on the sell side |
| atm_p_vol | int | At-the-money puts total volume |
| atm_p_oi | int | At-the-money put open interest |
| atm_p_vega | real | At-the-money put net dollar vega |
| atm_p_delta_buy | real | At-the-money put net dollar delta on the buy side |
| atm_p_delta_sell | real | At-the-money put net dollar delta on the sell side |
| atm_c_buy | int | At-the-money calls on the buy side |
| atm_c_sell | int | At-the-money calls on the sell side |
| atm_c_vol | int | At-the-money calls total volume |
| atm_c_oi | int | At-the-money call open interest |
| atm_c_vega | real | At-the-money call net dollar vega |
| atm_c_delta_buy | real | At-the-money call net dollar delta on the buy side |
| atm_c_delta_sell | real | At-the-money call net dollar delta on the sell side |
| otm_p_buy | int | Out-of-the-money puts on the buy side |
| otm_p_sell | int | Out-of-the-money puts on the sell side |
| otm_p_vol | int | Out-of-the-money puts total volume |
| otm_p_oi | int | Out-of-the-money put open interest |
| otm_p_vega | real | Out-of-the-money put net dollar vega |
| otm_p_delta_buy | real | Out-of-the-money put net dollar delta on the buy side |
| otm_p_delta_sell | real | Out-of-the-money put net dollar delta on the sell side |
| otm_c_buy | int | Out-of-the-money calls on the buy side |
| otm_c_sell | int | Out-of-the-money calls on the sell side |
| otm_c_vol | int | Out-of-the-money calls total volume |
| otm_c_oi | int | Out-of-the-money call open interest |
| otm_c_vega | real | Out-of-the-money call net dollar vega |
| otm_c_delta_buy | real | Out-of-the-money call net dollar delta on the buy side |
| otm_c_delta_sell | real | Out-of-the-money call net dollar delta on the sell side |
| itm_p_buy | int | In-the-money puts on the buy side |
| itm_p_sell | int | In-the-money puts on the sell side |
| itm_p_vol | int | In-the-money puts total volume |
| itm_p_oi | int | In-the-money put open interest |
| itm_p_vega | real | In-the-money put net dollar vega |
| itm_p_delta_buy | real | In-the-money put net dollar delta on the buy side |
| itm_p_delta_sell | real | In-the-money put net dollar delta on the sell side |
| itm_c_buy | int | In-the-money calls on the buy side |
| itm_c_sell | int | In-the-money calls on the sell side |
| itm_c_vol | int | In-the-money calls total volume |
| itm_c_oi | int | In-the-money call open interest |
| itm_c_vega | real | In-the-money call net dollar vega |
| itm_c_delta_buy | real | In-the-money call net dollar delta on the buy side |
| itm_c_delta_sell | real | In-the-money call net dollar delta on the sell side |
| put_ask_pct | % | Percentage of put contracts traded on ask side |
| put_bid_pct | % | Percentage of put contracts traded on bid side |
| put_mid_pct | % | Percentage of put contracts traded mid |
| call_ask_pct | % | Percentage of call contracts traded on ask side |
| call_bid_pct | % | Percentage of call contracts traded on bid side |
| call_mid_pct | % | Percentage of call contracts traded mid |
| bearish_pct | % | Percentage of bearish contracts |
| bullish_pct | % | Percentage of bullish contracts |
| neutral_pct | % | Percentage of neutral contracts |
| total_edge | real | Total edge for normal trades |
| spread_edge | real | Total edge for spread trades |
| size_edge | int | Total size for normal trades |
| option_mult | int | Option volume multiple compared with ADV |
| option_tw_mult | int | Option volume multiple compared with time weighted ADV |
| option_mw_mult | int | Option volume multiple compared with time & market weighted ADV |
| equity_mult | int | Equity volume multiple compared with avg_volume |
| pct_adv | real | Option volume percentage compared with ADV |
| tw_pct_adv | real | Option volume percentage compared with time weighted ADV |
| atm | real | At-the-money strike (can be mid-point of two strikes if spot not near single strike) |
| atm1 | real | Lower at-the-money strike |
| atm2 | real | Upper at-the-money strike |
| spot | real | Current spot reference price |
| spot_chg | real | Current spot price change on day |
| atm_ivol | real | ATM 30day implied volatility |
| atm_ivol_chg | real | ATM 30day implied volatility change-on-day |
| atm_ivol_chg_pct | real | ATM 30day implied volatility change-on-day percentage |
| close | real | Closing stock price (historical only) |
| chg | real | Stock price change-on-day (historical only) |
| split_adj_close | real | Split adjusted closing stock price (historical only) |
| split_adj_mult | real | Multiplier to calculate split adjusted prices (historical only) |
| volatility20day | real | Historical 20 day volatility |
| sectype | I=Index, E=ETF, S=Stock, C=Crypto | Underlying security type |
| cap | S=Small, M=Mid, L=Large | Capitalization category |
| sector | string | Industry sector |
| subsector | string | Industry sub-sector |
| naics_code | string | NAICS code |
| ssr | bool | Has short-sale restriction |
| ivhigh | bool | ATM IV has touched a new 52 week high |
| ivlow | bool | ATM IV has touched a new 52 week low |
| newhigh | bool | Spot price has touched a new 52 week high |
| newlow | bool | Spot price has touched a new 52 week low |
| earnings | bool | Stock has pending earnings announcement |
| post_earnings | bool | Stock is post earnings announcement |
| exdiv | bool | Underlying is going ex-dividend tomorrow |
| nondiv | bool | Underlying is not going ex-dividend tomorrow |
| largecap | bool | Company is largecap |
| midcap | bool | Company is midcap |
| smallcap | bool | Company is smallcap |
| etf | bool | Underlying is an ETF |
| stock | bool | Underlying is a stock |
| index | bool | Underlying is an index |
| crypto | bool | Underlying is a crypto-currency |
| spot_chg_pct | real | Current spot price % change on day |
| comments | string | List of underlying events (Pre-Earnings, ExDiv, 52WeekHigh, etc) |
| stddevs | real | Stddevs of historical 20 day volatility |
| htb | bool | Hard-to-borrow flag |
| borrow_rate | real | Implied borrow rate |
| imp_total_rate | real | All in Implied borrow rate |
| indicative_borrow | real | Indicative broker borrow rate |
| primary_exch | string | Primary exchange for underlying |
| next_earnings | datetime | Date of next earnings announcement |
| days_to_earnings | int | Number of business days to next earnings announcement |
| hv_30day | real | 30 day historical volatility |
| hv_60day | real | 60 day historical volatility |
| hv_120day | real | 120 day historical volatility |
| shares_outstanding | real | Shares outstanding |
| on_bid_hist_puts | int | Life-to-date put volume trading on bid side |
| on_bid_hist_calls | int | Life-to-date call volume trading on bid side |
| on_mid_hist_puts | int | Life-to-date put volume trading on mid |
| on_mid_hist_calls | int | Life-to-date call volume trading on mid |
| on_ask_hist_puts | int | Life-to-date put volume trading on ask side |
| on_ask_hist_calls | int | Life-to-date call volume trading on ask side |
| next_day_oi_puts | int | Put open interest on next day |
| next_day_oi_calls | int | Call open interest on next day |
| flex_oi_puts | int | Flex put open interest |
| flex_oi_calls | int | Flex call open interest |
| flex_oi_puts_chg | int | Change in flex put open interest from previous day |
| flex_oi_calls_chg | int | Change in flex call open interest from previous day |
| flex_oi_puts_new | int | New flex puts |
| flex_oi_calls_new | int | New flex calls |
| avg_put_prem | $ | 22 day average put premium |
| avg_call_prem | $ | 22 day average call premium |
| avg_oi_puts | int | 22 day average put open interest |
| avg_oi_calls | int | 22 day average call open interest |
| avg_pc_ratio | real | 22 day average put/call ratio |
| avg_prem_ratio | real | 22 day average put/call premium ratio |
| avg_oi_ratio | real | 22 day average put/call open_interest ratio |
| avg_isee_ratio | real | 22 day average put/call ISEE ratio |
| avg_egap | real | 22 day average earnings gap |
| avg_edge | real | 22 day average edge |
| avg_oi_puts_52w | int | 52 week average put open interest |
| avg_oi_calls_52w | int | 52 week average call open interest |
| w52_iv_low | % | 52 week ATM implied volatility low |
| w52_iv_low_date | yyyy-mm-dd | Date 52 week ATM implied volatility low was reached |
| w52_iv_high | % | 52 week ATM implied volatility high |
| w52_iv_high_date | yyyy-mm-dd | Date 52 week ATM implied volatility high was reached |
| w52_close_low | $ | 52 week closing spot low |
| w52_close_low_date | yyyy-mm-dd | Date 52 week closing spot low was reached |
| w52_close_high | $ | 52 week closing spot high |
| w52_close_high_date | yyyy-mm-dd | Date 52 week closing spot high was reached |
| d25_30p_vol | % | 30 day 25 delta put volatility |
| d25_30c_vol | % | 30 day 25 delta call volatility |
| skew_adj_vol | % | Skew adjusted volatility |
| skew_adj_chg | real | Change in skew adjusted volatility from prior date |
| ivol60 | % | 60 day ATM implied volatility |
| ivol60_chg | real | Change in 60 day ATM implied volatility |
| ivol90 | % | 90 day ATM implied volatility |
| ivol90_chg | real | Change in 90 day ATM implied volatility |
| ivol120 | % | 120 day ATM implied volatility |
| ivol120_chg | real | Change in 120 day ATM implied volatility |
| ivol180 | % | 180 day ATM implied volatility |
| ivol180_chg | real | Change in 180 day ATM implied volatility |
| ivol360 | % | 360 day ATM implied volatility |
| ivol360_chg | real | Change in 360 day ATM implied volatility |
| ivol720 | % | 720 day ATM implied volatility |
| ivol720_chg | real | Change in 720 day ATM implied volatility |
| d25_30_skew | real | 30 day 25 delta put call skew |
| d25_30_skew_prev | real | 30 day 25 delta for previous day |
| d25_30_skew_chg | real | Change in 30 day 25 delta from previous day |
| norm_d25_30_skew | real | Normalized 30 day 25 delta put call skew |
| norm_d25_30_skew_prev | real | Normalized 30 day 25 delta put call skew from previous day |
| norm_d25_30_skew_chg | real | Change in normalized 30 day 25 delta put call skew from previous day |
| norm_d25_60_skew | real | Normalized 60 day 25 delta put call skew |
| norm_d25_90_skew | real | Normalized 90 day 25 delta put call skew |
| norm_d25_120_skew | real | Normalized 120 day 25 delta put call skew |
| norm_d25_180_skew | real | Normalized 180 day 25 delta put call skew |
| norm_d25_360_skew | real | Normalized 360 day 25 delta put call skew |
| norm_d25_720_skew | real | Normalized 720 day 25 delta put call skew |
| put_vol_pctl | int | 52 week percentile - put volume |
| call_vol_pctl | int | 52 week percentile - call volume |
| opt_vol_pctl | int | 52 week percentile - option volume |
| stock_vol_pctl | int | 52 week percentile - equity volume |
| close_pctl | int | 52 week percentile - closing spot |
| oi_puts_pctl | int | 52 week percentile - put open interest |
| oi_calls_pctl | int | 52 week percentile - call open interest |
| total_oi_pctl | int | 52 week percentile - total open interest |
| atm_ivol_pctl | int | 52 week percentile - ATM implied volatility |
| pc_ratio_pctl | int | 52 week percentile - put/call ratio |
| opt_stock_pctl | int | 52 week percentile - option/stock ratio |
| d25_30_skew_pctl | int | 52 week percentile - 30 day 25 delta put call skew |
| norm_d25_60_skew_pctl | int | 52 week percentile - normalized 60 day 25 delta put call skew |
| norm_d25_120_skew_pctl | int | 52 week percentile - normalized 120 day 25 delta put call skew |
| norm_d25_720_skew_pctl | int | 52 week percentile - normalized 720 day 25 delta put call skew |
| volatility30day_pctl | int | 52 week percentile - 30 day historical volatility |
| volatility60day_pctl | int | 52 week percentile - 60 day historical volatility |
| volatility120day_pctl | int | 52 week percentile - 120 day historical volatility |
| indicative_borrow_prev | % | Indicative borrow on previous day |
| borrow_rate_prev | % | Implied borrow on previous day |
| imp_total_rate_prev | % | All in rate on previous day |
| indicative_borrow_chg | real | Change in indicative borrow from previous day |
| borrow_rate_chg | real | Change in implied borrow from previous day |
| imp_total_rate_chg | real | Change in all in rate from previous day |
| paired_oi | int | Paired OI |
| ema10 | real | Ten day exponential moving average |
| ema20 | real | Twenty day exponential moving average |
| ema50 | real | Fifty day exponential moving average |
| ema100 | real | 100 day exponential moving average |
| ema200 | real | 200 day exponential moving average |
| sma10 | real | Ten day simple moving average |
| sma20 | real | Twenty day exponential moving average |
| sma50 | real | Fifty day exponential moving average |
| sma100 | real | 100 day exponential moving average |
| sma200 | real | 200 day exponential moving average |
| macd | real | Moving average convergence divergence |
| macd_signal | real | Moving average convergence divergence indicator |
| mfi | real | Money flow index |
| rsi | real | Relative strength index |
| aroon_up | real | Aroon up |
| aroon_down | real | Aroon down |
| vtb_mm_volume | int | volume attibuted to market makers |
| vtb_firm_volume | int | volume attibuted to firms |
| vtb_cust_volume | int | volume attibuted to customers |