Message

TickerVolatility

Realized volatility and variance risk premium for a ticker and trading date.

fields6 topicticker-volatility

▶Proto definition.proto

message TickerVolatility {
  Ticker ticker = 1;
  Date date = 2;
  Date implied_volatility_date = 3;
  Decimal realized_volatility = 4;
  Decimal variance_risk_premium = 5;
  int64 tape_time = 6;
}

Fields

ticker Ticker 1

Ticker whose volatility values are represented and the Kafka message key.

date Date 2

Trading date represented by the realized volatility value.

implied_volatility_date Date 3

Earlier trading date whose 30 day implied volatility is used for the variance risk premium.

realized_volatility Decimal 4

Annualized realized volatility calculated over the trading month ending on date.

variance_risk_premium Decimal 5

Difference between 30 day implied volatility and realized volatility.

tape_time int64 6

Unix timestamp in milliseconds when this snapshot was published.