Underlying FieldsFields | 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 |
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 |