# 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 |
| contango | 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 |
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