Fields
The number on the right of each row is the protobuf field number.tickerstring1
The underlying ticker.
timestampint642
Unix timestamp of the latest update of day.
gamma_per_one_percent_move_oidouble3
The sum of every call and put contract of (open interest * gamma * price * price), with put gamma negated.
delta_per_one_percent_move_oidouble4
The sum of every call and put contract of (open interest * delta * price * price).
charm_per_one_percent_move_oidouble5
The sum of every call and put contract of (open interest * charm * price * 365), with put charm negated.
vanna_per_one_percent_move_oidouble6
The sum of every call and put contract of (open interest * vanna * price * iv), with put vanna negated.
pricestring7
The price of the underlying
gamma_per_one_percent_move_voldouble8
The sum of every call and put contract of (volume * gamma * price * price), with put gamma negated.
delta_per_one_percent_move_voldouble9
The sum of every call and put contract of (volume * delta * price * price).
charm_per_one_percent_move_voldouble10
The sum of every call and put contract of (volume * charm * price * 365), with put charm negated.
vanna_per_one_percent_move_voldouble11
The sum of every call and put contract of (volume * vanna * price * iv), with put vanna negated.
gamma_per_one_percent_move_dirdouble12
The directional sum of every call and put contract of (volume * gamma * price * price), with volume traded closer to the ask negated. Put gamma is not negated.
charm_per_one_percent_move_dirdouble13
The directional sum of every call and put contract of (volume * charm * price * 365), with volume traded closer to the ask negated. Put charm is not negated.
vanna_per_one_percent_move_dirdouble14
The directional sum of every call and put contract of (volume * vanna * price * iv), with volume traded closer to the ask negated. Put vanna is not negated.