Underlying Fields
FieldsTypeDescription
dateyyyy-mm-ddTrading date
usymbolstringUnderlying symbol
amexintNumber of contracts traded on AMEX
arcaintNumber of contracts traded on ARCA
bzxintNumber of contracts traded on BZX
boxintNumber of contracts traded on BOX
bxointNumber of contracts traded on BXO
c2intNumber of contracts traded on C2
cboeintNumber of contracts traded on CBOE
iseintNumber of contracts traded on ISE
nomintNumber of contracts traded on NOM
miaxintNumber of contracts traded on MIAX
pearlintNumber of contracts traded on PEARL
phlxintNumber of contracts traded on PHLX
gemintNumber of contracts traded on GEM
edgxintNumber of contracts traded on EDGX
mercintNumber of contracts traded on MERC
emldintNumber of contracts traded on EMLD
memxintNumber of contracts traded on MEMX
sphrintNumber of contracts traded on SPHR
amex_putsintNumber of put contracts traded on AMEX
arca_putsintNumber of put contracts traded on ARCA
bzx_putsintNumber of put contracts traded on BZX
box_putsintNumber of put contracts traded on BOX
bxo_putsintNumber of put contracts traded on BXO
c2_putsintNumber of put contracts traded on C2
cboe_putsintNumber of put contracts traded on CBOE
ise_putsintNumber of put contracts traded on ISE
miax_putsintNumber of put contracts traded on MIAX
pearl_putsintNumber of put contracts traded on PEARL
nom_putsintNumber of put contracts traded on NOM
phlx_putsintNumber of put contracts traded on PHLX
gem_putsintNumber of put contracts traded on GEM
edgx_putsintNumber of put contracts traded on EDGX
merc_putsintNumber of put contracts traded on MERC
emld_putsintNumber of put contracts traded on EMLD
memx_putsintNumber of put contracts traded on MEMX
sphr_putsintNumber of put contracts traded on SPHR
amex_callsintNumber of call contracts traded on AMEX
arca_callsintNumber of call contracts traded on ARCA
bzx_callsintNumber of call contracts traded on BZX
box_callsintNumber of call contracts traded on BOX
bxo_callsintNumber of call contracts traded on BXO
c2_callsintNumber of call contracts traded on C2
cboe_callsintNumber of call contracts traded on CBOE
ise_callsintNumber of call contracts traded on ISE
miax_callsintNumber of call contracts traded on MIAX
pearl_callsintNumber of call contracts traded on PEARL
nom_callsintNumber of call contracts traded on NOM
phlx_callsintNumber of call contracts traded on PHLX
gem_callsintNumber of call contracts traded on GEM
edgx_callsintNumber of call contracts traded on EDGX
merc_callsintNumber of call contracts traded on MERC
emld_callsintNumber of call contracts traded on EMLD
memx_callsintNumber of call contracts traded on MEMX
sphr_callsintNumber of call contracts traded on SPHR
option_volumeintTotal number of contracts
put_volumeintTotal number of put contracts
call_volumeintTotal number of call contracts
put_pct%Total traded put contracts as percentage
call_pct%Total traded call contracts as percentage
directional_pctrealPercentage of directional volume (no spreads, late, etc)
put_tradesintTotal number of put trades
call_tradesintTotal number of call trades
tradesintTotal number of trades
advintAverage daily contract volume
avg_total_putsintAverage number of put contracts over last 22 trading days
avg_total_callsintAverage number of call contracts over last 22 trading days
equity_volumerealTotal equity share volume
avg_volumerealAverage daily share volume over last 22 trading days
option_open_intintTotal open interest
option_oi_chgintChange in total open interest since previous day
put_open_intintTotal open put interest
call_open_intintTotal open call interest
oi_puts_chgintChange in open put interest since previous day
oi_calls_chgintChange in call open interest since previous day
volume_oi_pctrealTotal traded contracts as percentage of open interest
put_premrealSum of trade size times price for all puts
call_premrealSum of trade size times price for all calls
bullish_c_premrealSum of call premium where trade on ask side
bearish_c_premrealSum of call premium where trade on bid side
bearish_p_premrealSum of put premium where trade on ask side
bullish_p_premrealSum of put premium where trade on bid side
bullish_on_askrealBullish contracts trading on ask
bearish_on_askrealBearish contracts trading on ask
net_deltarealTotal net delta$ on day
net_vegarealTotal net vega$ on day
rolling_net_deltarealNet delta$ traded in last 10 minutes
rolling_putsintPut contracts traded in last 10 minutes
rolling_callsintCall contracts traded in last 10 minutes
rolling_buysintBuy side contracts traded in last 10 minutes
rolling_sellsintSell side contracts traded in last 10 minutes
rolling_bullishintBullish contracts traded in last 10 minutes
rolling_bearishintBearish contracts traded in last 10 minutes
atm_p_buyintAt-the-money puts on the buy side
atm_p_sellintAt-the-money puts on the sell side
atm_p_volintAt-the-money puts total volume
atm_p_oiintAt-the-money put open interest
atm_p_vegarealAt-the-money put net dollar vega
atm_p_delta_buyrealAt-the-money put net dollar delta on the buy side
atm_p_delta_sellrealAt-the-money put net dollar delta on the sell side
atm_c_buyintAt-the-money calls on the buy side
atm_c_sellintAt-the-money calls on the sell side
atm_c_volintAt-the-money calls total volume
atm_c_oiintAt-the-money call open interest
atm_c_vegarealAt-the-money call net dollar vega
atm_c_delta_buyrealAt-the-money call net dollar delta on the buy side
atm_c_delta_sellrealAt-the-money call net dollar delta on the sell side
otm_p_buyintOut-of-the-money puts on the buy side
otm_p_sellintOut-of-the-money puts on the sell side
otm_p_volintOut-of-the-money puts total volume
otm_p_oiintOut-of-the-money put open interest
otm_p_vegarealOut-of-the-money put net dollar vega
otm_p_delta_buyrealOut-of-the-money put net dollar delta on the buy side
otm_p_delta_sellrealOut-of-the-money put net dollar delta on the sell side
otm_c_buyintOut-of-the-money calls on the buy side
otm_c_sellintOut-of-the-money calls on the sell side
otm_c_volintOut-of-the-money calls total volume
otm_c_oiintOut-of-the-money call open interest
otm_c_vegarealOut-of-the-money call net dollar vega
otm_c_delta_buyrealOut-of-the-money call net dollar delta on the buy side
otm_c_delta_sellrealOut-of-the-money call net dollar delta on the sell side
itm_p_buyintIn-the-money puts on the buy side
itm_p_sellintIn-the-money puts on the sell side
itm_p_volintIn-the-money puts total volume
itm_p_oiintIn-the-money put open interest
itm_p_vegarealIn-the-money put net dollar vega
itm_p_delta_buyrealIn-the-money put net dollar delta on the buy side
itm_p_delta_sellrealIn-the-money put net dollar delta on the sell side
itm_c_buyintIn-the-money calls on the buy side
itm_c_sellintIn-the-money calls on the sell side
itm_c_volintIn-the-money calls total volume
itm_c_oiintIn-the-money call open interest
itm_c_vegarealIn-the-money call net dollar vega
itm_c_delta_buyrealIn-the-money call net dollar delta on the buy side
itm_c_delta_sellrealIn-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_edgerealTotal edge for normal trades
spread_edgerealTotal edge for spread trades
size_edgeintTotal size for normal trades
option_multintOption volume multiple compared with ADV
option_tw_multintOption volume multiple compared with time weighted ADV
option_mw_multintOption volume multiple compared with time & market weighted ADV
equity_multintEquity volume multiple compared with avg_volume
pct_advrealOption volume percentage compared with ADV
tw_pct_advrealOption volume percentage compared with time weighted ADV
atmrealAt-the-money strike (can be mid-point of two strikes if spot not near single strike)
atm1realLower at-the-money strike
atm2realUpper at-the-money strike
spotrealCurrent spot reference price
spot_chgrealCurrent spot price change on day
atm_ivolrealATM 30day implied volatility
atm_ivol_chgrealATM 30day implied volatility change-on-day
atm_ivol_chg_pctrealATM 30day implied volatility change-on-day percentage
closerealClosing stock price (historical only)
chgrealStock price change-on-day (historical only)
split_adj_closerealSplit adjusted closing stock price (historical only)
split_adj_multrealMultiplier to calculate split adjusted prices (historical only)
volatility20dayrealHistorical 20 day volatility
sectypeI=Index, E=ETF, S=Stock, C=CryptoUnderlying security type
capS=Small, M=Mid, L=LargeCapitalization category
sectorstringIndustry sector
subsectorstringIndustry sub-sector
ssrboolHas short-sale restriction
ivhighboolATM IV has touched a new 52 week high
ivlowboolATM IV has touched a new 52 week low
newhighboolSpot price has touched a new 52 week high
newlowboolSpot price has touched a new 52 week low
earningsboolStock has pending earnings announcement
post_earningsboolStock is post earnings announcement
exdivboolUnderlying is going ex-dividend tomorrow
nondivboolUnderlying is not going ex-dividend tomorrow
largecapboolCompany is largecap
midcapboolCompany is midcap
smallcapboolCompany is smallcap
etfboolUnderlying is an ETF
stockboolUnderlying is a stock
indexboolUnderlying is an index
cryptoboolUnderlying is a crypto-currency
spot_chg_pctrealCurrent spot price % change on day
commentsstringList of underlying events (Pre-Earnings, ExDiv, 52WeekHigh, etc)
stddevsrealStddevs of historical 20 day volatility
htbboolHard-to-borrow flag
borrow_raterealImplied borrow rate
imp_total_raterealAll in Implied borrow rate
indicative_borrowrealIndicative broker borrow rate
primary_exchstringPrimary exchange for underlying
next_earningsdatetimeDate of next earnings announcement
days_to_earningsintNumber of business days to next earnings announcement
hv_30dayreal30 day historical volatility
hv_60dayreal60 day historical volatility
hv_120dayreal120 day historical volatility
shares_outstandingrealShares outstanding
on_bid_hist_putsintLife-to-date put volume trading on bid side
on_bid_hist_callsintLife-to-date call volume trading on bid side
on_mid_hist_putsintLife-to-date put volume trading on mid
on_mid_hist_callsintLife-to-date call volume trading on mid
on_ask_hist_putsintLife-to-date put volume trading on ask side
on_ask_hist_callsintLife-to-date call volume trading on ask side
next_day_oi_putsintPut open interest on next day
next_day_oi_callsintCall open interest on next day
flex_oi_putsintFlex put open interest
flex_oi_callsintFlex call open interest
flex_oi_puts_chgintChange in flex put open interest from previous day
flex_oi_calls_chgintChange in flex call open interest from previous day
flex_oi_puts_newintNew flex puts
flex_oi_calls_newintNew flex calls
avg_put_prem$22 day average put premium
avg_call_prem$22 day average call premium
avg_oi_putsint22 day average put open interest
avg_oi_callsint22 day average call open interest
avg_pc_ratioreal22 day average put/call ratio
avg_prem_ratioreal22 day average put/call premium ratio
avg_oi_ratioreal22 day average put/call open_interest ratio
avg_isee_ratioreal22 day average put/call ISEE ratio
avg_egapreal22 day average earnings gap
avg_edgereal22 day average edge
avg_oi_puts_52wint52 week average put open interest
avg_oi_calls_52wint52 week average call open interest
w52_iv_low%52 week ATM implied volatility low
w52_iv_low_dateyyyy-mm-ddDate 52 week ATM implied volatility low was reached
w52_iv_high%52 week ATM implied volatility high
w52_iv_high_dateyyyy-mm-ddDate 52 week ATM implied volatility high was reached
w52_close_low$52 week closing spot low
w52_close_low_dateyyyy-mm-ddDate 52 week closing spot low was reached
w52_close_high$52 week closing spot high
w52_close_high_dateyyyy-mm-ddDate 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_chgrealChange in skew adjusted volatility from prior date
ivol60%60 day ATM implied volatility
ivol60_chgrealChange in 60 day ATM implied volatility
ivol90%90 day ATM implied volatility
ivol90_chgrealChange in 90 day ATM implied volatility
ivol120%120 day ATM implied volatility
ivol120_chgrealChange in 120 day ATM implied volatility
ivol180%180 day ATM implied volatility
ivol180_chgrealChange in 180 day ATM implied volatility
ivol360%360 day ATM implied volatility
ivol360_chgrealChange in 360 day ATM implied volatility
ivol720%720 day ATM implied volatility
ivol720_chgrealChange in 720 day ATM implied volatility
d25_30_skewreal30 day 25 delta put call skew
d25_30_skew_prevreal30 day 25 delta for previous day
d25_30_skew_chgrealChange in 30 day 25 delta from previous day
norm_d25_30_skewrealNormalized 30 day 25 delta put call skew
norm_d25_30_skew_prevrealNormalized 30 day 25 delta put call skew from previous day
norm_d25_30_skew_chgrealChange in normalized 30 day 25 delta put call skew from previous day
norm_d25_60_skewrealNormalized 60 day 25 delta put call skew
norm_d25_90_skewrealNormalized 90 day 25 delta put call skew
norm_d25_120_skewrealNormalized 120 day 25 delta put call skew
norm_d25_180_skewrealNormalized 180 day 25 delta put call skew
norm_d25_360_skewrealNormalized 360 day 25 delta put call skew
norm_d25_720_skewrealNormalized 720 day 25 delta put call skew
put_vol_pctlint52 week percentile - put volume
call_vol_pctlint52 week percentile - call volume
opt_vol_pctlint52 week percentile - option volume
stock_vol_pctlint52 week percentile - equity volume
close_pctlint52 week percentile - closing spot
oi_puts_pctlint52 week percentile - put open interest
oi_calls_pctlint52 week percentile - call open interest
total_oi_pctlint52 week percentile - total open interest
atm_ivol_pctlint52 week percentile - ATM implied volatility
pc_ratio_pctlint52 week percentile - put/call ratio
opt_stock_pctlint52 week percentile - option/stock ratio
d25_30_skew_pctlint52 week percentile - 30 day 25 delta put call skew
norm_d25_60_skew_pctlint52 week percentile - normalized 60 day 25 delta put call skew
norm_d25_120_skew_pctlint52 week percentile - normalized 120 day 25 delta put call skew
norm_d25_720_skew_pctlint52 week percentile - normalized 720 day 25 delta put call skew
volatility30day_pctlint52 week percentile - 30 day historical volatility
volatility60day_pctlint52 week percentile - 60 day historical volatility
volatility120day_pctlint52 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_chgrealChange in indicative borrow from previous day
borrow_rate_chgrealChange in implied borrow from previous day
imp_total_rate_chgrealChange in all in rate from previous day
paired_oiintPaired OI
ema10realTen day exponential moving average
ema20realTwenty day exponential moving average
ema50realFifty day exponential moving average
ema100real100 day exponential moving average
ema200real200 day exponential moving average
sma10realTen day simple moving average
sma20realTwenty day exponential moving average
sma50realFifty day exponential moving average
sma100real100 day exponential moving average
sma200real200 day exponential moving average
macdrealMoving average convergence divergence
macd_signalrealMoving average convergence divergence indicator
mfirealMoney flow index
rsirealRelative strength index
aroon_uprealAroon up
aroon_downrealAroon down
vtb_mm_volumeintvolume attibuted to market makers
vtb_firm_volumeintvolume attibuted to firms
vtb_cust_volumeintvolume attibuted to customers