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Message

OptionState

Daily stats for Option contracts for the given date. Contracts are being pushed any time there is a volume or open interest update is available.

fields45 topicoption-states
▶Proto definition.proto 
message OptionState {
  string option_symbol = 1;
  int32 channel_id = 2;
  string nbbo_ask = 3;
  int64 nbbo_ask_size = 4;
  string nbbo_bid = 5;
  int64 nbbo_bid_size = 6;
  int64 last_tape_time = 7;
  string date = 8;
  int32 open_interest = 9;
  int64 volume = 10;
  string expires = 11;
  string option_type = 12;
  string underlying_symbol = 13;
  string strike = 14;
  string high_price = 15;
  string low_price = 16;
  string last_price = 17;
  string implied_volatility = 18;
  string delta = 19;
  string theta = 20;
  string gamma = 21;
  string vega = 22;
  string rho = 23;
  string theo = 24;
  string iv_low = 25;
  string iv_high = 26;
  int64 floor_volume = 27;
  int64 multi_leg_volume = 28;
  int64 stock_multi_leg_volume = 29;
  int64 cross_volume = 30;
  int64 sweep_volume = 31;
  int64 trades = 32;
  int64 ask_volume = 33;
  int64 bid_volume = 34;
  int64 mid_volume = 35;
  int64 neutral_volume = 36;
  int64 total_bid_changes = 37;
  int64 total_ask_changes = 38;
  int64 canceled_volume = 39;
  string total_premium = 40;
  string avg_price = 41;
  string open_price = 42;
  int32 option_symbol_id = 43;
  int32 ticker_id = 44;
  int32 root_ticker_id = 45;
}
Fields
option_symbol string 1
The option symbol in OSI format SPY241227C00480000
channel_id int32 2
Internal, ignore.
nbbo_ask string 3
Current ask
nbbo_ask_size int64 4
Current ask size
nbbo_bid string 5
Current bid
nbbo_bid_size int64 6
Current bid size
last_tape_time int64 7
Timestamp in milliseconds that this data represents
date string 8
The trading date in YYYY-MM-DD format
open_interest int32 9
The OI of the chain
volume int64 10
The cumulative volume for the day till this tape time. Note the volume between 2 ticks can be lower and does not necessary increase all the time if there was a cancel. A chain might have 10,000 volume at 9:32 and then at 9:33 it might have 8,000 volume as a transaction with the size of 2,000 had been canceled. The canceled volume is also tracked in the canceled field.
expires string 11
The expiry of the chain in YYYY-MM-DD
option_type string 12
The option type either call or put
underlying_symbol string 13
The ticker of the chain. Note this is not the root symbol: For instance for NDXP260116C25250000 the underlying symbol would be NDXP and not NDX.
strike string 14
The strike as a decimal number.
high_price string 15
The highest price at which there was a trade for the chain for the current trading day
low_price string 16
The lowest price at which there was a trade for the chain for the current trading day
last_price string 17
The last price at which a trade executed for this chain
implied_volatility string 18
Iv for the contract
delta string 19
Delta for the contract
theta string 20
Theta for the contract
gamma string 21
Gamma for the contract
vega string 22
Vega for the contract
rho string 23
Rho for the contract
theo string 24
Theo for the contract
iv_low string 25
Iv low for the contract for the session
iv_high string 26
Iv high for the contract for the session
floor_volume int64 27
Total amount of volume that came based on trade codes from the floor. If there is a canceled transaction this field is as of now not being adjusted.
multi_leg_volume int64 28
Total amount of volume that based on trade codes was part of a multi leg trade. If there is a canceled transaction this field is as of now not being adjusted.
stock_multi_leg_volume int64 29
Total amount of volume that based on trade codes was part of a stock multi leg trade. If there is a canceled transaction this field is as of now not being adjusted.
cross_volume int64 30
Total amount of volume that based on trade codes was part of a cross trade. If there is a canceled transaction this field is as of now not being adjusted.
sweep_volume int64 31
Total amount of volume that based on trade codes was based on sweep transactions. If there is a canceled transaction this field is as of now not being adjusted.
trades int64 32
Count of all transactions
ask_volume int64 33
Total amount of volume that transacted on the ask side of the spread. If there is a canceled transaction this field is as of now not being adjusted.
bid_volume int64 34
Total amount of volume that transacted on the bid side of the spread. If there is a canceled transaction this field is as of now not being adjusted.
mid_volume int64 35
Total amount of volume that transacted on the mid side of the spread. If there is a canceled transaction this field is as of now not being adjusted.
neutral_volume int64 36
Total amount of volume that has been marked as neutral (cross, out of sequence, late) If there is a canceled transaction this field is as of now not being adjusted.
total_bid_changes int64 37
Total amount of NBBO bid changes of this chain. This can be used as a potential volatility proxy.
total_ask_changes int64 38
Total amount of NBBO ask changes of this chain. This can be used as a potential volatility proxy.
canceled_volume int64 39
Total amount of volume of transactions that had been canceled
total_premium string 40
Total amount of premium that transacted
avg_price string 41
Volume weighted avg price of all transactions
open_price string 42
The first price at which a trade transacted for this chain.
option_symbol_id int32 43
Unique id for the option symbol
ticker_id int32 44
Unique id for the underlying symbol. These IDs are consistent across different topics and can be used to merge data together.
root_ticker_id int32 45
Unique ID for the root ticker. In most cases root_ticker_id will be the same as ticker_id but for chains like SPXW260109P06810000 ticker_id would be the ID for SPXW and root_ticker_id would be the id for SPX.