By SpiderRock

    getOptionClosingMarks records are created immediately after the market close and when exchanges publish official marks. These records contain closing quotes and prices as well as markup details for all outright options. SpiderRock includes their own algorithms that create estimates of the correct theoretical price, creating the SpiderRock closing mark. Data available starting from 1/1/2016.

    Order Data Name Description Data Type Comments
    1 okey_tk* Option symbol varchar(12)
    2 okey_yr* Option expiration year smallint(5) unsigned
    3 okey_mn* Option expiration month tinyint(3) unsigned
    4 okey_dy* Option expiration day tinyint(3) unsigned
    5 okey_xx* Option strike double
    6 okey_cp* Option call/put indicator enum ('Call','Put','Pair')
    7 clsMarkState* LastPrt = last print received; SRClose = SpiderRock snapshot; ExchClose = official exchange close price; Final = Final close mark enum ('None','LastPrt','SRClose','ExchClose','Final')
    8 uSrCls* SpiderRock underlier closing mark (C - 1m) double
    9 uClose* Exchange underlier closing mark double
    10 srClsPrc* SpiderRock close mark (close - 1min) double
    11 closePrc* Official exchange closing mark (last print;then official close) double
    12 srPrc* SpiderRock surface price (always within bidPx/askPx) (C - 1m) float
    13 srVol* SpiderRock surface volatility (C - 1m) float
    14 srSrc* SpiderRock price source [NbboMid, SRVol, LoBound, HiBound, SRPricer, SRQuote, CloseMark] enum ('None','NbboMid','SRVol','LoBound','HiBound','SRPricer','SRQuote','CloseMark')
    15 timestamp* YYYY-MM-DD HH:mm:ss datetime
    16 uBid SpiderRock closing underlier bid (C - 1m) double
    17 uAsk SpiderRock closing underlier ask (C – 1m) double
    18 bidPrc SpiderRock closing option bid (C - 1m) float
    19 askPrc SpiderRock closing option ask (C - 1m) float
    20 bidIV Implied vol of SpiderRock closing bid price (C - 1m) float
    21 askIV Implied vol of SpiderRock closing ask price (C - 1m) float
    22 de Delta (SR surface) float
    23 ga Gamma (SR surface) float
    24 th Theta (SR surface) float
    25 ve Vega (SR surface) float
    26 rh Rho (SR surrface) float
    27 ph Phi (SR surface) float
    28 sdiv SpiderRock sdiv rate float
    29 ddiv SpiderRock ddiv rate (sum of discrete dividend amounts) float
    30 rate SpiderRock interest rate float
    31 years Years to expiration float
    32 error SpiderRock pricing library calculation error code tinyint(3) unsigned
    33 openInterest Open Interest int(11)
    34 prtCount Print count int(11)
    35 prtVolume Total printed volume int(11)
    • Indicates the content of basic version of the file.

    About the Vendor

    SpiderRock is a technology provider that creates and deploys some of the most innovative algorithmic execution and risk management solutions commercially available to service large hedge funds, bank trading desks and proprietary trading firms around the world. The platform is a high-performance, cloud-based trading system empowering institutional clients with tools to construct, manage, and scale equity, futures and option strategies.

    SpiderRock is also a market data vendor specializing in low latency data and analytics services. In addition, they offer electronic execution and market access services via SpiderRock EXS, an agency broker dealer regulated by FINRA and NFA.