Message

IvTermStructure

IvTermStructure is the ATM implied volatility and expected move for a single real option expiry. These entries form the term structure that InterpolatedIv interpolates onto fixed horizons.

fields6 topiciv-term-structure

▶Proto definition.proto

message IvTermStructure {
  string ticker = 1;
  string date = 2;
  string volatility = 3;
  string expiry = 4;
  string implied_move = 5;
  string implied_move_perc = 6;
}

Fields

ticker string 1

The ticker of the underlying

date string 2

The trading date in YYYY-MM-DD format

volatility string 3

The ATM implied volatility for this expiry as a decimal string, taken as the average of the ATM call and put implied volatilities.

expiry string 4

The expiry of the chain in YYYY-MM-DD

implied_move string 5

The expected absolute move of the underlying in dollars by this expiry as a decimal string.

implied_move_perc string 6

The expected move as a fraction of the underlying price by this expiry as a decimal string.