TickerVolatility

Show Proto definition

schema.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

The number on the right of each row is the protobuf field number.

tickerTicker1

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

dateDate2

Trading date represented by the realized volatility value.

implied_volatility_dateDate3

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

realized_volatilityDecimal4

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

variance_risk_premiumDecimal5

Difference between 30 day implied volatility and realized volatility.

tape_timeint646

Unix timestamp in milliseconds when this snapshot was published.

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