Data Field Definitions

Strikes

Verbose strike definitions.

Field Definition
ticker underlying symbol
tradeDate trade date
expirDate expiration date
dte days to expiration
strike option strike
stockPrice stock price
callVolume call option volume
callOpenInterest call open interest
callBidSize call bid size
callAskSize call ask size
putVolume put option volume
putOpenInterest put open interest
putBidSize put bid size
putAskSize put ask size
callBidPrice call bid price
callValue call theoretical value based on smooth volatility
callAskPrice call ask price
putBidPrice put bid price
putValue put theoretical value
putAskPrice put ask price
callBidIv call bid implied volatility
callMidIv call mid implied volatility
callAskIv call ask implied volatility
smvVol ORATS final implied Volatility
putBidIv put bid implied volatility
putMidIv put mid implied volatility
putAskIv put ask implied volatility
residualRate implied interest rate data
delta delta
gamma gamma
theta theta
vega vega
rho rho
phi phi
driftlessTheta time decay without taking in drift in underlying
extSmvVol external volatility
extCallValue external call theoretical price
extPutValue external put theoretical price
spotPrice spot price of the index
updatedAt date and time of data updated

Monies Implied

Monthly implied money definitions.

Field Definition
ticker underlying symbol
tradeDate trade date
expirDate expiration date
stockPrice stock price
riskFreeRate continuous interest (risk-free) rate
yieldRate continuous dividend yield of discrete dividend’s NPV
residualYieldRate adjustment amount for the dividend yield at the .50 call delta -0.055 Implied rate means -5.5%.
residualRateSlp slope of the residual rate linear regression. A particular call delta total div yield = div yield + (cdelta - .5) * slope.
residualR2 r^2 of the residual rate linear regression
confidence portion of the delta range "covered" by market data (dependent on the "width")
mwVol ATM weighted market width in implied volatility terms
vol100 seed volatility at the 100 call delta
vol95 seed volatility at the 95 call delta
vol90 seed volatility at the 90 call delta
vol85 seed volatility at the 85 call delta
vol80 seed volatility at the 80 call delta
vol75 seed volatility at the 75 call delta
vol70 seed volatility at the 70 call delta
vol65 seed volatility at the 65 call delta
vol60 seed volatility at the 60 call delta
vol55 seed volatility at the 55 call delta
vol50 seed volatility at the 50 call delta
vol45 seed volatility at the 45 call delta
vol40 seed volatility at the 40 call delta
vol35 seed volatility at the 35 call delta
vol30 seed volatility at the 30 call delta
vol25 seed volatility at the 25 call delta
vol20 seed volatility at the 20 call delta
vol15 seed volatility at the 15 call delta
vol10 seed volatility at the 10 call delta
vol5 seed volatility at the 5 call delta
vol0 seed volatility at the 0 call delta
atmiv implied volatility for month 1
slope best-fit regression line through the strike. volatilities adjusted to the tangent slope at the 50 delta.
deriv derivative or curvature of the monthly strikes at 28 day interpolated
fit the at the money monthly fit volatility
spotPrice spot price of the index
calVol smoothed at-the-money term structure implied volatility
unadjVol smoothed at-the-money term structure implied volatility taking out the earnings effect
earnEffect market implied earnings effect
updatedAt date and time of data updated

Monies Forecast

Monthly forecast money definitions.

Field Definition
ticker underlying symbol
tradeDate trade date
expirDate expiration date
stockPrice stock price
riskFreeRate continuous interest (risk-free) rate
vol100 seed volatility at the 100 call delta
vol95 seed volatility at the 95 call delta
vol90 seed volatility at the 90 call delta
vol85 seed volatility at the 85 call delta
vol80 seed volatility at the 80 call delta
vol75 seed volatility at the 75 call delta
vol70 seed volatility at the 70 call delta
vol65 seed volatility at the 65 call delta
vol60 seed volatility at the 60 call delta
vol55 seed volatility at the 55 call delta
vol50 seed volatility at the 50 call delta
vol45 seed volatility at the 45 call delta
vol40 seed volatility at the 40 call delta
vol35 seed volatility at the 35 call delta
vol30 seed volatility at the 30 call delta
vol25 seed volatility at the 25 call delta
vol20 seed volatility at the 20 call delta
vol15 seed volatility at the 15 call delta
vol10 seed volatility at the 10 call delta
vol5 seed volatility at the 5 call delta
vol0 seed volatility at the 0 call delta
updatedAt date and time of data updated

SMV Summaries

SMV Summary data definitions.

Field Definition
ticker underlying symbol
tradeDate trade date
stockPrice stock price
annActDiv annual dividend from the next year of expected dividends
annIdiv annual implied dividend given options prices put call parity
borrow30 implied hard-to-borrow interest rate at 30 days to expiration given options prices put call parity
borrow2y implied hard-to-borrow interest rate at two years to expiration given options prices put call parity
confidence total weighted confidence from the monthly implied volatilities derived from each month’s number of options and bid ask width of the options markets
exErnIv10d implied 10 calendar day interpolated implied volatility with earnings effect out
exErnIv20d implied 20 calendar day interpolated implied volatility with earnings effect out
exErnIv30d implied 30 calendar day interpolated implied volatility with earnings effect out
exErnIv60d implied 60 calendar day interpolated implied volatility with earnings effect out
exErnIv90d implied 90 calendar day interpolated implied volatility with earnings effect out
exErnIv6m implied 6 month interpolated implied volatility with earnings effect out
exErnIv1y implied one year interpolated implied volatility with earnings effect out
ieeEarnEffect implied earnings effect (percentage of expected normal move) to make the best-fit term structure of the month implied volatilities
impliedMove percentage stock move in the implied earnings effect to make the best-fit term structure of the month implied volatilities
impliedNextDiv next implied dividend given options prices put call parity
iv10d 10 calendar day interpolated implied volatility
iv20d 20 calendar day interpolated implied volatility
iv30d 30 calendar day interpolated implied volatility
iv60d 60 calendar day interpolated implied volatility
iv90d 90 calendar day interpolated implied volatility
iv6m 6 month interpolated implied volatility
iv1y one year interpolated implied volatility
mwAdj30 ATM weighted market width in implied volatility terms interpolated to 30 calendar days to expiration
mwAdj2y ATM weighted market width in implied volatility terms interpolated to 2 years to expiration
nextDiv next dividend amount
rDrv30 derivative or curvature of the monthly strikes at 30 day interpolated. The derivative is the change in the slope for every 10 delta increase in the call delta
rDrv2y derivative infinite implied
rSlp30 best-fit regression line through the strike volatilities adjusted to the tangent slope at the 50 delta. The slope is the change in the implied volatility for every 10 delta increase in the call delta
rSlp2y implied infinite slope
rVol30 implied volatility at 30 days interpolated
rVol2y implied volatility at 2 year interpolated
rip dollar amount of options to start ignoring in delta calculation
riskFree30 continuous interest (risk-free) rate interpolated to 30 calendar days to expiration
riskFree2y continuous interest (risk-free) rate interpolated to 2 years to expiration
contago short-term contango of at-the-money implied volatilities ex-earnings
totalErrorConf total weighted squared error times the confidence in the monthly implied volatility
dlt5Iv10d 10 calendar day interpolated implied volatility at the 5 delta
dlt5Iv20d 20 calendar day interpolated implied volatility at the 5 delta
dlt5Iv30d 30 calendar day interpolated implied volatility at the 5 delta
dlt5Iv60d 60 calendar day interpolated implied volatility at the 5 delta
dlt5Iv90d 90 calendar day interpolated implied volatility at the 5 delta
dlt5Iv6m 180 calendar day interpolated implied volatility at the 5 delta
dlt5Iv1y 365 calendar day interpolated implied volatility at the 5 delta
exErnDlt5Iv10d 10 calendar day interpolated implied volatility at the 5 delta with earnings effects removed
exErnDlt5Iv20d 20 calendar day interpolated implied volatility at the 5 delta with earnings effects removed
exErnDlt5Iv30d 30 calendar day interpolated implied volatility at the 5 delta with earnings effects removed
exErnDlt5Iv60d 60 calendar day interpolated implied volatility at the 5 delta with earnings effects removed
exErnDlt5Iv90d 90 calendar day interpolated implied volatility at the 5 delta with earnings effects removed
exErnDlt5Iv6m 180 calendar day interpolated implied volatility at the 5 delta with earnings effects removed
exErnDlt5Iv1y 365 calendar day interpolated implied volatility at the 5 delta with earnings effects removed
dlt25Iv10d 10 calendar day interpolated implied volatility at the 25 delta
dlt25Iv20d 20 calendar day interpolated implied volatility at the 25 delta
dlt25Iv30d 30 calendar day interpolated implied volatility at the 25 delta
dlt25Iv60d 60 calendar day interpolated implied volatility at the 25 delta
dlt25Iv90d 90 calendar day interpolated implied volatility at the 25 delta
dlt25Iv6m 180 calendar day interpolated implied volatility at the 25 delta
dlt25Iv1y 365 calendar day interpolated implied volatility at the 25 delta
exErnDlt25Iv10d 10 calendar day interpolated implied volatility at the 25 delta with earnings effects removed
exErnDlt25Iv20d 20 calendar day interpolated implied volatility at the 25 delta with earnings effects removed
exErnDlt25Iv30d 30 calendar day interpolated implied volatility at the 25 delta with earnings effects removed
exErnDlt25Iv60d 60 calendar day interpolated implied volatility at the 25 delta with earnings effects removed
exErnDlt25Iv90d 90 calendar day interpolated implied volatility at the 25 delta with earnings effects removed
exErnDlt25Iv6m 180 calendar day interpolated implied volatility at the 25 delta with earnings effects removed
exErnDlt25Iv1y 365 calendar day interpolated implied volatility at the 25 delta with earnings effects removed
dlt75Iv10d 10 calendar day interpolated implied volatility at the 75 delta
dlt75Iv20d 20 calendar day interpolated implied volatility at the 75 delta
dlt75Iv30d 30 calendar day interpolated implied volatility at the 75 delta
dlt75Iv60d 60 calendar day interpolated implied volatility at the 75 delta
dlt75Iv90d 90 calendar day interpolated implied volatility at the 75 delta
dlt75Iv6m 180 calendar day interpolated implied volatility at the 75 delta
dlt75Iv1y 365 calendar day interpolated implied volatility at the 75 delta
exErnDlt75Iv10d 10 calendar day interpolated implied volatility at the 75 delta with earnings effects removed
exErnDlt75Iv20d 20 calendar day interpolated implied volatility at the 75 delta with earnings effects removed
exErnDlt75Iv30d 30 calendar day interpolated implied volatility at the 75 delta with earnings effects removed
exErnDlt75Iv60d 40 calendar day interpolated implied volatility at the 75 delta with earnings effects removed
exErnDlt75Iv90d 50 calendar day interpolated implied volatility at the 75 delta with earnings effects removed
exErnDlt75Iv6m 180 calendar day interpolated implied volatility at the 75 delta with earnings effects removed
exErnDlt75Iv1y 365 calendar day interpolated implied volatility at the 75 delta with earnings effects removed
dlt95Iv10d 10 calendar day interpolated implied volatility at the 95 delta
dlt95Iv20d 20 calendar day interpolated implied volatility at the 95 delta
dlt95Iv30d 30 calendar day interpolated implied volatility at the 95 delta
dlt95Iv60d 60 calendar day interpolated implied volatility at the 95 delta
dlt95Iv90d 90 calendar day interpolated implied volatility at the 95 delta
dlt95Iv6m 180 calendar day interpolated implied volatility at the 95 delta
dlt95Iv1y 365 calendar day interpolated implied volatility at the 95 delta
exErnDlt95Iv10d 10 calendar day interpolated implied volatility at the 95 delta with earnings effects removed
exErnDlt95Iv20d 20 calendar day interpolated implied volatility at the 95 delta with earnings effects removed
exErnDlt95Iv30d 30 calendar day interpolated implied volatility at the 95 delta with earnings effects removed
exErnDlt95Iv60d 60 calendar day interpolated implied volatility at the 95 delta with earnings effects removed
exErnDlt95Iv90d 90 calendar day interpolated implied volatility at the 95 delta with earnings effects removed
exErnDlt95Iv6m 180 calendar day interpolated implied volatility at the 95 delta with earnings effects removed
exErnDlt95Iv1y 365 calendar day interpolated implied volatility at the 95 delta with earnings effects removed
fwd30_20 The forward volatility extracted from the 30 day and 20 day implied volatility
fwd60_30 The forward volatility extracted from the 60 day and 30 day implied volatility
fwd90_60 The forward volatility extracted from the 90 day and 60 day implied volatility
fwd180_90 The forward volatility extracted from the 180 day and 90 day implied volatility
fwd90_30 The forward volatility extracted from the 90 day and 30 day implied volatility
fexErn30_20 The forward ex-earnings volatility extracted from the 30 day and 20 day implied ex-earnings volatility
fexErn60_30 The forward ex-earnings volatility extracted from the 60 day and 30 day implied ex-earnings volatility
fexErn90_60 The forward ex-earnings volatility extracted from the 90 day and 60 day implied ex-earnings volatility
fexErn180_90 The forward ex-earnings volatility extracted from the 180 day and 90 day implied ex-earnings volatility
fexErn90_30 The forward ex-earnings volatility extracted from the 90 day and 30 day implied ex-earnings volatility
ffwd30_20 The flat forward volatility extracted from the 30 day and 20 day implied volatility
ffwd60_30 The flat forward volatility extracted from the 60 day and 30 day implied volatility
ffwd90_60 The flat forward volatility extracted from the 90 day and 60 day implied volatility
ffwd180_90 The flat forward volatility extracted from the 180 day and 90 day implied volatility
ffwd90_30 The flat forward volatility extracted from the 90 day and 30 day implied volatility
ffexErn30_20 The flat forward ex-earnings volatility extracted from the 30 day and 20 day implied ex-earnings volatility
ffexErn60_30 The flat forward ex-earnings volatility extracted from the 60 day and 30 day implied ex-earnings volatility
ffexErn90_60 The flat forward ex-earnings volatility extracted from the 90 day and 60 day implied ex-earnings volatility
ffexErn180_90 The flat forward ex-earnings volatility extracted from the 180 day and 90 day implied ex-earnings volatility
ffexErn90_30 The flat forward ex-earnings volatility extracted from the 90 day and 30 day implied ex-earnings volatility
fbfwd30_20 The flat forward volatility divided by the forward volatility both extracted from the 30 day and 20 day implied volatility
fbfwd60_30 The flat forward volatility divided by the forward volatility both extracted from the 60 day and 30 day implied volatility
fbfwd90_60 The flat forward volatility divided by the forward volatility both extracted from the 90 day and 60 day implied volatility
fbfwd180_90 The flat forward volatility divided by the forward volatility both extracted from the 180 day and 90 day implied volatility
fbfwd90_30 The flat forward volatility divided by the forward volatility both extracted from the 90 day and 30 day implied volatility
fbfexErn30_20 The flat forward ex-earnings volatility divided by the forward ex-earnings volatility both extracted from the 30 day and 20 day implied ex-earnings volatility
fbfexErn60_30 The flat forward ex-earnings volatility divided by the forward ex-earnings volatility both extracted from the 60 day and 30 day implied ex-earnings volatility
fbfexErn90_60 The flat forward ex-earnings volatility divided by the forward ex-earnings volatility both extracted from the 90 day and 60 day implied ex-earnings volatility
fbfexErn180_90 The flat forward ex-earnings volatility divided by the forward ex-earnings volatility both extracted from the 180 day and 90 day implied ex-earnings volatility
fbfexErn90_30 The flat forward ex-earnings volatility divided by the forward ex-earnings volatility both extracted from the 90 day and 30 day implied ex-earnings volatility
impliedEarningsMove percentage stock move in the implied earnings effect to make the best-fit term structure of the month implied volatilities
updatedAt date and time of data updated

Core General

Core general definitions.

Field Definition
ticker underlying symbol
tradeDate trade date
assetType characterizes stock as easy-to-borrow (ETB), hard-to-borrow (HTB), dividend paying, stock ETF or Index with these codes: 0 - ETB_NO_DIV 1 - HTB 2 - HTB_DIV_PAYING 3 - ETB_DIV_PAYING 4 - INDEX 5 - ETF 6 - VIX_STYLE_EX 7 - ETF_QDIV_ON_EX 8 - ETF_MDIV_ON_EX 9 - INDEX_AMER_EX
priorCls closing price on the prior trading day
pxAtmIv stock price taken at time of IV calculation
mktCap market capitalization (shares outstanding * stock price) (in 000s)
cVolu today’s call option volume for all strikes for the current trading day
cOi total call open interest
pVolu today’s put option volume for all strikes
pOi total put open interest
orFcst20d ORATS forecast of stock volatility for the next 20 days based on data with earnings taken out. The forecasts of the next 20 trading days of statistical/historical volatility are developed using short term ex-earnings historical volatility; ex earnings implied volatility and the IV HV relationships, related ETF HV IV relationships
orIvFcst20d ORATS forecast of implied volatility in 20 days with earnings taken out. Could be compared to ORATS 20d IV implied volatility.The forecasts of the implied volatility in 20 trading days are developed using ex-earnings historical volatility; ex earnings implied volatility and the IV HV relationships, related ETF HV IV relationships
orFcstInf ORATS forecast of the infinite implied volatility. Could be compared to actual implied volatility or actual infinite. The forecasts of the two year implied volatility are developed using long term ex-earnings historical volatility, ex-earnings implied volatility and the IV HV relationships, related ETF HV IV relationships
orIvXern20d 20 day interpolated implied option volatility with earnings effect taken out
orIvXernInf infinite implied option volatility
iv200Ma 200 day moving average of the ORATS 20day ex-earn implied volatility
atmIvM1 implied volatility for the first standard expiration
atmFitIvM1 the at-the-money monthly fit volatility for month 1 using the term structure of the forecast and the implied at-the-money volatility
atmFcstIvM1 forecast of volatility for month 1 using the ex-earnings forecast plus the earnings effect at this days to expiration
dtExM1 days to expiration in month 1 standard expiration (not weekly or quarterly expirations)
atmIvM2 implied volatility for month 2
atmFitIvM2 at-the-money monthly fit volatility for month 2
atmFcstIvM2 forecast of volatility for month 2
dtExM2 days to expiration in month 2
atmIvM3 implied volatility for month 3
atmFitIvM3 at-the-money monthly fit volatility for month 3
atmFcstIvM3 forecast of volatility for month 3
dtExM3 days to expiration in month 3
atmIvM4 implied volatility for month 4
atmFitIvM4 at-the-money monthly fit volatility for month 4
atmFcstIvM4 forecast of volatility for month 4
dtExM4 days to expiration in month 4
iRate5wk short term risk-free interest rate from treasuries
iRateLt long term risk-free interest rate from treasuries
px1kGam estimated cost of 1000 gamma per day for 30-day options
volOfVol annualized standard deviation of daily (1day ORATS intraday vol) statistical volatility for one year
volOfIvol annualized standard deviation of the ORATS ex-earnings 30 day implied.
slope best-fit regression line through the strike volatilities adjusted to the tangent slope at the 50 delta. The slope is the change in the implied volatility for every 10 delta increase in the call delta
slopeInf implied infinite slope
slopeFcst ORATS forecast of the slope of implied volatility skew. Could be compared to the actual slope
slopeFcstInf slope forecast infinite
deriv derivative or curvature of the monthly strikes at 30 day interpolated. The derivative is the change in the slope for every 10 delta increase in the call delta
derivInf derivative infinite implied
derivFcst forecast derivative at 30 day interpolated
derivFcstInf forecast infinite derivative
mktWidthVol market width in implied vol points at the interpolated 30 days to expiration
mktWidthVolInf market width in implied vol points at the interpolated 2 years to expiration
cAddPrem deprecated item.
pAddPrem deprecated item.
rip dollar amount of options to start ignoring in delta calculation
ivEarnReturn average of the volatility day of and day after earnings / implied day before divided by implied day before / implied day after
fcstR2 goodness of fit of the 20-day forecast to the 20-day future statistical volatility
fcstR2Imp goodness of fit of the implied forecast vs actual implied in 20 days
hiHedge deprecated item
loHedge deprecated item
stkVolu total stock volume for an underlyer
avgOptVolu20d average for the last 20 days of total options volume for the symbol
sector sector as derived by cusip number
orHv1d 1-day historical intraday volatility
orHv5d 5-day historical intraday volatility
orHv10d 10-day historical intraday volatility
orHv20d 20-day historical intraday volatility
orHv60d 60-day historical intraday volatility
orHv90d 90-day historical intraday volatility
orHv120d 120-day historical intraday volatility
orHv252d 252-day historical intraday volatility
orHv500d 500-day historical intraday volatility
orHv1000d 1000-day historical intraday volatility
clsHv5d 5-day historical close to close volatility
clsHv10d 10-day historical close to close volatility
clsHv20d 20-day historical close to close volatility
clsHv60d 60-day historical close to close volatility
clsHv90d 90-day historical close to close volatility
clsHv120d 120-day historical close to close volatility
clsHv252d 252-day historical close to close volatility
clsHv500d 500-day historical close to close volatility
clsHv1000d 1000-day historical close to close volatility
iv20d 20 calendar day interpolated implied volatility
iv30d 30 calendar day interpolated implied volatility
iv60d 60 calendar day interpolated implied volatility
iv90d 90 calendar day interpolated implied volatility
iv6m 6 month interpolated implied volatility
clsPx1w stock price at the prior week (5 trading days ago)
stkPxChng1wk stock price change over the prior week (5 trading days)
clsPx1m stock price at the prior month (21 trading days ago)
stkPxChng1m stock price change over the prior month (21 trading days)
clsPx6m stock price at the prior 6 months (252/2) trading days ago
stkPxChng6m stock price change over the prior 6 months (252/2) trading days
clsPx1y stock price at the prior year (252 trading days ago)
stkPxChng1y stock price change over the prior year (252 trading days)
divFreq number of dividends per year
divYield annualized dividends divided by stock price
divGrwth slope of the forecasted dividends annualized
divDate next dividend date is available through another subscription
divAmt dividend amount.
nextErn next earnings date is available through another subscription
nextErnTod deprecated item
lastErn last earnings date
lastErnTod time of day earnings released: Before-2, After-3, During-4, Unknown-1
absAvgErnMv average Earnings Move percentage: an average of the absolute values of the stock price moves corresponding to the time of the next earnings announcement
impliedIee market implied earnings effect is found by solving for a term structure equation where the earnings effects adjust the months affected by earnings
daysToNextErn deprecated item.
tkOver 0 - Not a takeover. 1 - A takeover or rumored takeover stock
etfIncl ETFs where the symbol is a component pipe delimited if multiple
bestEtf closest SPDR Sector ETF (default to SPY or RUT if none)
sectorName short name of the sector
correlSpy1m ORATS 30 day implied volatility ex-earnings (ORiv) correlation with SPY one month
correlSpy1y ORATS 30 day implied volatility ex-earnings (ORiv) correlation with SPY one year
correlEtf1m orIv correlation with the Best ETF 30 day IV over the last month
correlEtf1y orIv correlation with the SPDR Sector ETF 30 day IV over the last year
beta1m short term price beta with SPY for 30 calendar days
beta1y long term price beta, 365 calendar days
ivPctile1m percentile of the current orIv vs. month range
ivPctile1y percentile of the current orIv vs. year range
ivPctileSpy percentile of the current orIv / SPY vs. year range
ivPctileEtf percentile of the current ETF orIv vs. year range
ivStdvMean number of stdevs the orIv is away from mean for the year
ivStdv1y standard deviation of the orIv for the year
ivSpyRatio orIv divided by SPY 30 day ORATS implied volatility
ivSpyRatioAvg1m orIv divided by SPY 30 day ORATS implied volatility 30 day average
ivSpyRatioAvg1y orIv divided by SPY 30 day ORATS implied volatility one year average
ivSpyRatioStdv1y orIv divided by SPY 30 day ORATS implied volatility one year standard deviation
ivEtfRatio orIv divided by ETF 30 day ORATS implied volatility
ivEtfRatioAvg1m orIv divided by ETF 30 day ORATS implied volatility 30 day average
ivEtfRatioAvg1y orIv divided by ETF 30 day ORATS implied volatility one year average
ivEtFratioStdv1y orIv divided by ETF 30 day ORATS implied volatility one year standard deviation
ivHvXernRatio orIv / orHvXern20d Ratio
ivHvXernRatio1m orIv / orHvXern20d Ratio vs monthly average
ivHvXernRatio1y orIv / orHvXern20d Ratio vs yearly average
ivHvXernRatioStdv1y orIv / orHvXern20d Ratio vs yearly range standard deviation
etfIvHvXernRatio orIv / orHvXern20d Ratio divided by ETF 30day implied / orHv20d ratio.
etfIvHvXernRatio1m orIv / orHvXern20d Ratio divided by ETF 30day implied / orHv20d ratio month average.
etfIvHvXernRatio1y orIv / orHvXern20d Ratio divided by ETF 30day implied / orHv20d ratio year average
etfIvHvXernRatioStdv1y orIv / orHvXern20d Ratio divided by ETF 30day implied / orHv20d ratio year standard deviation
slopepctile one-year percentile for the slope
slopeavg1m slope average for trailing month
slopeavg1y slope average for trailing year
slopeStdv1y standard deviation of the Slope
etfSlopeRatio slope divided by ETF slope current
etfSlopeRatioAvg1m slope divided by ETF slope month average
etfSlopeRatioAvg1y slope divided by ETF slope year average
etfSlopeRatioAvgStdv1y slope divided by ETF slope year standard deviation
impliedR2 regression formula goodness of fit of the 30 day ORATS implied volatility to the 20 day future statistical ex-earnings volatility
contango short-term contango of at-the-money implied volatilities ex-earnings
nextDiv next dividend amount
impliedNextDiv next implied dividend given options prices put call parity
annActDiv annual dividend from the next year of expected dividends
annIdiv annual implied dividend given options prices put call parity
borrow30 implied hard-to-borrow interest rate at 30 days to expiration given options prices put call parity
borrow2yr implied hard-to-borrow interest rate at two years to expiration given options prices put call parity
error total weighted squared error times the confidence in the monthly implied volatility
confidence total weighted confidence from the monthly implied volatilities derived from each month’s number of options and bid ask width of the options markets
updatedAt date and time of data updated

Core Earn

Core earn definitions.

Field Definition
ticker underlying symbol
tradeDate date of the skew reading for market prices
pxCls underlying price at the last close
wksNextErn weeks to the next earnings is available through another subscription
nextErnTod deprecated item
ernMnth deprecated item
avgOptVolu20d average option volume for all strikes over the last 20 days
oi total open interest for all strikes.
atmIvM1 at-the-money implied volatility for month 1 interpolated using strikes weighted to at-the-money
dtExM1 days to expiration for month 1
atmIvM2 at-the-money implied volatility for month 2
dtExm2 Days to expiration for month 2
atmIvM3 at-the-money implied volatility for month 3
dtExM3 days to expiration for month 3
atmIvM4 at-the-money implied volatility for month 4
dtExM4 days to expiration for month 4
straPxM1 straddle price for month 1 closest to the money strikes
straPxM2 straddle price for month 2
smoothStraPxM1 straddle ORATS smooth theo for month 1 based on a smoothed line through all strikes
smoothStrPxM2 straddle ORATS smooth theo for month 2
fcstStraPxM1 straddle ORATS Forecast theo for month 1
fcstStraPxM2 straddle ORATS Forecast theo for month 2
loStrikeM1 low strike of the straddle or strangle for month 1
hiStrikeM1 high strike of the straddle or strangle for month 1
loStrikeM2 low strike of the straddle or strangle for month 2
hiStrikeM2 high strike of the straddle or strangle for month 2
ernDate1 historical earnings date back 1
ernDate2 historical earnings date back 2
ernDate3 historical earnings date back 3
ernDate4 historical earnings date back 4
ernDate5 historical earnings date back 5
ernDate6 historical earnings date back 6
ernDate7 historical earnings date back 7
ernDate8 historical earnings date back 8
ernDate9 historical earnings date back 9
ernDate10 historical earnings date back 10
ernDate11 historical earnings date back 11
ernDate12 historical earnings date back 12
ernMv1 percentage move for earnings date back 1
ernMv2 percentage move for earnings date back 2
ernMv3 percentage move for earnings date back 3
ernMv4 percentage move for earnings date back 4
ernMv5 percentage move for earnings date back 5
ernMv6 percentage move for earnings date back 6
ernMv7 percentage move for earnings date back 7
ernMv8 percentage move for earnings date back 8
ernMv9 percentage move for earnings date back 9
ernMv10 percentage move for earnings date back 10
ernMv11 percentage move for earnings date back 11
ernMv12 percentage move for earnings date back 12
ernStraPct1 earn straddle price as a percent of the stock price for earnings date number 1
ernStraPct2 earn straddle price as a percent of the stock price for earnings date number 2
ernStraPct3 earn straddle price as a percent of the stock price for earnings date number 3
ernStraPct4 earn straddle price as a percent of the stock price for earnings date number 4
ernStraPct5 earn straddle price as a percent of the stock price for earnings date number 5
ernStraPct6 earn straddle price as a percent of the stock price for earnings date number 6
ernStraPct7 earn straddle price as a percent of the stock price for earnings date number 7
ernStraPct8 earn straddle price as a percent of the stock price for earnings date number 8
ernStraPct9 earn straddle price as a percent of the stock price for earnings date number 9
ernStraPct10 earn straddle price as a percent of the stock price for earnings date number 10
ernStraPct11 earn straddle price as a percent of the stock price for earnings date number 11
ernStraPct12 earn straddle price as a percent of the stock price for earnings date number 12
ernEffct1 earn effect for earnings date number 1
ernEffct2 earn effect for earnings date number 2
ernEffct3 earn effect for earnings date number 3
ernEffct4 earn effect for earnings date number 4
ernEffct5 earn effect for earnings date number 5
ernEffct6 earn effect for earnings date number 6
ernEffct7 earn effect for earnings date number 7
ernEffct8 earn effect for earnings date number 8
ernEffct9 earn effect for earnings date number 9
ernEffct10 earn effect for earnings date number 10
ernEffct11 earn effect for earnings date number 11
ernEffct12 earn effect for earnings date number 12
orHv5d 5-day historical intraday volatility
orHv10d 10-day historical intraday volatility
orHv20d 20-day historical intraday volatility
orHv60d 60-day historical intraday volatility
orHv90d 90-day historical intraday volatility
orHv120d 120-day historical intraday volatility
orHv252d 252-day historical intraday volatility
orHv500d 500-day historical intraday volatility
orHv1000d 1000-day historical intraday volatility
orHvXern5d 5-day historical intraday volatility excluding day of and after earnings (5 observations less day of or day after earnings if applicable)
orHvXern10d 10-day historical intraday volatility excluding day of and after earnings
orHvXern20d 20-day historical intraday volatility excluding day of and after earnings
orHvXern60d 60-day historical intraday volatility excluding day of and after earnings
orHvXern90d 90-day historical intraday volatility excluding day of and after earnings
orHvXern120d 120-day historical intraday volatility excluding day of and after earnings
orHvXern252d 252-day historical intraday volatility excluding day of and after earnings
orHvXern500d 500-day historical intraday volatility excluding day of and after earnings
orHvXern1000d 1000-day historical intraday volatility excluding day of and after earnings
clsHv5d 5-day historical close to close volatility
clsHv10d 10-day historical close to close volatility
clsHv20d 20-day historical close to close volatility
clsHv60d 60-day historical close to close volatility
clsHv90d 90-day historical close to close volatility
clsHv120d 120-day historical close to close volatility
clsHv252d 252-day historical close to close volatility
clsHv500d 500-day historical close to close volatility
clsHv1000d 1000-day historical close to close volatility
clsHvXern5d 5-day historical close to close volatility excluding day of and after earnings
clsHvXern10d 10-day historical close to close volatility excluding day of and after earnings
clsHvXern20d 20-day historical close to close volatility excluding day of and after earnings
clsHvXern60d 60-day historical close to close volatility excluding day of and after earnings
clsHvXern90d 90-day historical close to close volatility excluding day of and after earnings
clsHvXern120d 120-day historical close to close volatility excluding day of and after earnings
clsHvXern252d 252-day historical close to close volatility excluding day of and after earnings
clsHvXern500d 500-day historical close to close volatility excluding day of and after earnings
clsHvXern1000d 1000-day historical close to close volatility excluding day of and after earnings
iv10d 10 calendar day interpolated implied volatility
iv20d 20 calendar day interpolated implied volatility
iv30d 30 calendar day interpolated implied volatility
iv60d 60 calendar day interpolated implied volatility
iv90d 90 calendar day interpolated implied volatility
iv6m 6 month interpolated implied volatility
iv1yr 1 year interpolated implied volatility
orIvXern20d ORATS short term implied volatility parameter solve of term structure at 30 calendar day with an 2 year IV parameter and earnings effect out
orIvXernInf ORATS long term implied volatility parameter solve of term structure at 2 year out with 30 calendar day parameter and earnings effect out
slope put call slope at the interpolated 30 calendar days of the tangent at 50 delta
fcstSlope ORATS forecasted 30 calendar day put/call slope
fcstErnEffct ORATS forecasted earnings effect considers day of and day after earnings, seasonality, recentness, median and average of move divided by expected move
absAvgErnMv absolute average percent earnings move 12 observations at the time of the historical earnings announcement
ernMvStdv standard deviation of the 12 earnings moves absolute values
impliedEe The implied earnings effect (percentage of expected normal move) to make the best-fit term structure of the month implied volatilities
impErnMv percentage stock move in the implied earnings effect to make the best-fit term structure of the month implied volatilities
impMth2ErnMv percentage stock move in the implied earnings effect to make the best-fit term structure of the month implied volatilities
fairVol90d IV of the first earnings month
fairXieeVol90d smoothed term structure ex-earnings Ivs at the front earnings month plus the solved earnings effect
fairMth2XieeVol90d 30 calendar day interpolated implied volatility with earnings effect out plus the additional IV earnings effect from the first earnings month
impErnMv90d additional IV the front earnings month has over its ex-earnings IV
impErnMvMth290d additional IV the second earnings month has over its ex-earnings IV
exErnIv10d implied 10 calendar day interpolated implied volatility with earnings effect out
exErnIv20d implied 20 calendar day interpolated implied volatility with earnings effect out
exErnIv30d implied 30 calendar day interpolated implied volatility with earnings effect out
exErnIv60d implied 60 calendar day interpolated implied volatility with earnings effect out
exErnIv90d implied 90 calendar day interpolated implied volatility with earnings effect out
exErnIv6m implied 6 month interpolated implied volatility with earnings effect out
exErnIv1yr implied 1 year interpolated implied volatility with earnings effect out
updatedAt date and time of data updated

Daily Price

Daily price definitions.

Field Definition
ticker underlying symbol
tradeDate trade date
clsPx closing stock price adjusted for splits and dividends
hiPx high of day stock price adjusted for splits and dividends
loPx low of day stock price adjusted for splits and dividends
open opening stock price adjusted for splits and dividends
stockVolume total stock volume of the day adjusted for splits and dividends
unadjClsPx unadjusted closing stock price
unadjHiPx unadjusted high of day stock price
unadjLoPx unadjusted low of day stock price
unadjOpen unadjusted opening stock price
unadjStockVolume unadjusted total stock volume of the day
updatedAt date and time of data updated

Historical Volatility

Historical volatility definitions.

Field Definition
ticker underlying symbol
tradeDate trade date
orHv1d 1-day historical intraday volatility
orHv5d 5-day historical intraday volatility
orHv10d 10-day historical intraday volatility
orHv20d 20-day historical intraday volatility
orHv30d 30-day historical intraday volatility
orHv60d 60-day historical intraday volatility
orHv90d 90-day historical intraday volatility
orHv100d 100-day historical intraday volatility
orHv120d 120-day historical intraday volatility
orHv252d 252-day historical intraday volatility
orHv500d 500-day historical intraday volatility
orHv1000d 1000-day historical intraday volatility
clsHv5d 5-day historical close to close volatility
clsHv10d 10-day historical close to close volatility
clsHv20d 20-day historical close to close volatility
clsHv30d 30-day historical close to close volatility
clsHv60d 60-day historical close to close volatility
clsHv90d 90-day historical close to close volatility
clsHv100d 100-day historical close to close volatility
clsHv120d 120-day historical close to close volatility
clsHv252d 252-day historical close to close volatility
clsHv500d 500-day historical close to close volatility
clsHv1000d 1000-day historical close to close volatility
orHvXern5d 5-day historical intraday volatility excluding day of and after earnings
orHvXern10d 10-day historical intraday volatility excluding day of and after earnings
orHvXern20d 20-day historical intraday volatility excluding day of and after earnings
orHvXern30d 30-day historical intraday volatility excluding day of and after earnings
orHvXern60d 460-day historical intraday volatility excluding day of and after earnings
orHvXern90d 90-day historical intraday volatility excluding day of and after earnings
orHvXern100d 100-day historical intraday volatility excluding day of and after earnings
orHvXern120d 120-day historical intraday volatility excluding day of and after earnings
orHvXern252d 252-day historical intraday volatility excluding day of and after earnings
orHvXern500d 500-day historical intraday volatility excluding day of and after earnings
orHvXern1000d 1000-day historical intraday volatility excluding day of and after earnings
clsHvXern5d 5-day historical close to close volatility excluding day of and after earnings
clsHvXern10d 10-day historical close to close volatility excluding day of and after earnings
clsHvXern20d 20-day historical close to close volatility excluding day of and after earnings
clsHvXern30d 30-day historical close to close volatility excluding day of and after earnings
clsHvXern60d 60-day historical close to close volatility excluding day of and after earnings
clsHvXern90d 90-day historical close to close volatility excluding day of and after earnings
clsHvXern100d 100-day historical close to close volatility excluding day of and after earnings
clsHvXern120d 120-day historical close to close volatility excluding day of and after earnings
clsHvXern252d 252-day historical close to close volatility excluding day of and after earnings
clsHvXern500d 500-day historical close to close volatility excluding day of and after earnings
clsHvXern1000d 1000-day historical close to close volatility excluding day of and after earnings

Dividend History

Dividend History definitions.

Field Definition
ticker underlying symbol
exDate ex-dividend date
divAmt dividend amount
divFreq dividend frequency per year
declaredDate declared dividend date

Earnings History

Earnings history definitions.

Field Definition
ticker underlying symbol
earnDate earnings date
anncTod time of day earnings released: Before=900, After=1630, During=1200, Unknown=2359
updatedAt date and time of data updated

Stock Split History

Stock split history definitions.

Field Definition
ticker underlying symbol
splitDate stock split date
divisor ratio of stock split

IV Rank

IV Rank definitions.

Field Definition
ticker underlying symbol
tradeDate trade date
iv implied volatility at 30 days interpolated
ivRank1m A measure of implied volatility vs its past 1 month values, but it looks only at the highest and lowest values. Formula is (Current IV - 1 month Low IV) / (1 month Max - 1 month Min)
ivPct1m A measure of implied volatility vs its past 1 month values. If IV percentile is 36% – It means that current IV value is higher than 36% of previous 1 month values (and lower than 64% of them).
ivRank1y A measure of implied volatility vs its 1 year past values, but it looks only at the highest and lowest values. Formula is (Current IV - 1 yr Low IV) / (1 yr Max - 1 yr Min)
ivPct1y A measure of implied volatility vs its past 1 year values. If IV percentile is 36% – It means that current IV value is higher than 36% of previous 1 year values (and lower than 64% of them).
updatedAt date and time of data updated