Option FieldsFields | Type | Description |
date | yyyy-mm-dd | Trading date |
sold | int | Total volume trading on bid side |
bot | int | Total volume trading on ask side |
volume | int | Total volume for day |
trades | int | Total trades for day |
open_int | int | Current open interest |
oichg | int | Change in open interest from previous day |
bid_pct | % | Percent traded on bid side |
mid_pct | % | Percent traded at mid |
ask_pct | % | Percent traded on ask side |
usymbol | string | Underlying symbol |
expiry | yyyy-mm-dd | Expiration date |
strike | real | Strike price |
put_call | P=Put, C=Call | Option type |
shares | int | Shares per contract |
nonstd | int | Non-standard contract indicator |
flex | int | Flex contract indicator |
root | string | Option root |
ex_style | A=American, E=European | Exercise style |
am_pm | A=AM, P=PM | Exercise time |
settle | C=Cash, P=Physical | Settlement type |
dtx | int | Number of days until expiration |
leap | bool | Option is a LEAP |
weekly | bool | Expiry is a weekly |
quarterly | bool | Expiry is a quarterly |
put | bool | Option is a put |
call | bool | Option is a call |
amer | bool | American exercise style |
euro | bool | European exercise style |
asian | bool | Asian Flex |
cliquet | bool | Cliquet Flex |
am | bool | AM settlent |
pm | bool | PM settlent |
cash_settled | bool | Cash Settlement |
physical | bool | Physical Settlement |
option | string | Option type ("Put or "Call") |
mktside | string | Market NBBO side of trade ("AskSide", "BidSide", "MidMkt" ) |
symbol | string | Security symbol |
delta | real | Delta at time of last trade |
vega | real | Vega at time of last trade |
gamma | real | Gamma at time of last trade |
ivol | real | Implied volatility at time of last trade |
ivolchg | real | Implied volatility change on day |
delta_buy | real | Net delta impact for today's trades on buy side (contracts * delta * shares per contract) |
delta_sell | real | Net delta impact for today's trades on sell side (contracts * delta * shares per contract) |
vega_dollar | real | Net vega dollar for today's trades (contracts * vega * shares per contract) |
next_day_oi | int | Next day open interest |
on_bid_hist | int | Life-to-date total volume trading on bid side |
on_mid_hist | int | Life-to-date total volume trading on mid |
on_ask_hist | int | Life-to-date total volume trading on ask side |
comments | string | Comments on trading context (Pre-Earnings, ExDiv, 52WeekHigh, etc) |
jan | bool | Expiry is 3rd Friday in Jan |
feb | bool | Expiry is 3rd Friday in Feb |
mar | bool | Expiry is 3rd Friday in Mar |
apr | bool | Expiry is 3rd Friday in Apr |
may | bool | Expiry is 3rd Friday in May |
jun | bool | Expiry is 3rd Friday in Jun |
jul | bool | Expiry is 3rd Friday in Jul |
aug | bool | Expiry is 3rd Friday in Aug |
sep | bool | Expiry is 3rd Friday in Sep |
oct | bool | Expiry is 3rd Friday in Oct |
nov | bool | Expiry is 3rd Friday in Nov |
dec | bool | Expiry is 3rd Friday in Dec |
itm | bool | Security is in-the-money |
otm | bool | Security is out-of-the-money |
on_mid | int | Total volume trading on mid |
spot | $ | Spot price |
spot_chg | $ | Spot price change |
avg_volume | real | Average volume of underlying |