The ConvexValue Book

Data


Data

Data sources are:

  • OPRA
  • CME

Short descriptions are provided for most parameters. In case a description is absent it is because the parameter name is assumed to be self-explanatory. If it is not, reach out and we will clarify.


underlying

Parameter Description
symbol
kind stock, future, or future underlying
day_open_price
day_high_price
day_low_price
day_close_price
day_close_price_type
prev_day_close_price
prev_day_close_price_type
prev_day_volume
oi open interest
exchange_code
price
change
size last trade size
day_volume
day_turnover
tick_direction
extended_trading_hours
bid_time
bid_exchange_code
bid_price
bid_size
ask_time
ask_exchange_code
ask_price
ask_size
volatility
front_volatility
back_volatility
call_volume
put_volume
put_call_ratio
option_volume
description
short_sale_restriction
trading_status
status_reason
halt_start_time
halt_end_time
high_limit_price
low_limit_price
high_52_week_price
low_52_week_price
value sum of options premium traded
volm sum of options volume traded
deltas sum of options deltas traded
gammas sum of options gammas traded
vegas sum of options vegas traded
thetas sum of options thetas traded
rhos sum of options rhos traded
value_call_buy
volm_call_buy
deltas_call_buy
gammas_call_buy
vegas_call_buy
thetas_call_buy
rhos_call_buy
value_call_sell
volm_call_sell
deltas_call_sell
gammas_call_sell
vegas_call_sell
thetas_call_sell
rhos_call_sell
value_call_und
volm_call_und
deltas_call_und
gammas_call_und
vegas_call_und
thetas_call_und
rhos_call_und
value_put_buy
volm_put_buy
deltas_put_buy
gammas_put_buy
vegas_put_buy
thetas_put_buy
rhos_put_buy
value_put_sell
volm_put_sell
deltas_put_sell
gammas_put_sell
vegas_put_sell
thetas_put_sell
rhos_put_sell
value_put_und
volm_put_und
deltas_put_und
gammas_put_und
vegas_put_und
thetas_put_und
rhos_put_und
value_buy premium of options bought
value_sell premium of options sold
volm_buy volume of options bought
volm_sell volume of options sold
value_bs premium of options buys minus sells
volm_bs volume of options buys minus sells
flowratio premium of calls bought plus puts sold, divided by premium of calls sold plus puts bought
vflowratio volume of calls bought plus puts sold, divided by volume of calls sold plus puts bought
value_call_ratio calls bought divided by sold
value_put_ratio puts bought divided by sold

option

Parameter Description
symbol option symbol
kind call or put
strike strike price
exp_date expiration date
expiration expiration index
multiplier contract multiplier
und underlying
root root underlying (in case of futures)
theo theoretical price
volatility
delta
gamma
theta
rho
vega
day_open_price
day_high_price
day_low_price
day_close_price
day_close_price_type
prev_day_close_price
prev_day_close_price_type
prev_day_volume
oi open interest
price
change
size size of last trade
day_volume
day_turnover
tick_direction
extended_trading_hours
bid_time
bid_exchange_code
bid_price
bid_size
ask_time
ask_exchange_code
ask_price
ask_size
description
short_sale_restriction
trading_status
status_reason
halt_start_time
halt_end_time
high_limit_price
low_limit_price
high_52_week_price
low_52_week_price
value sum of premium traded
volm volume
deltas sum of deltas traded
gammas sum of gammas traded
vegas sum of vegas traded
thetas sum of thetas traded
rhos sum of rhos traded
value_buy sum of buy value
volm_buy sum of buy volume
deltas_buy sum of deltas bought
gammas_buy sum of gammas bought
vegas_buy sum of vegas bought
thetas_buy sum of deltas bought
rhos_buy sum of rhos bought
value_sell sum of sell value
volm_sell sum of sell volume
deltas_sell sum of deltas sold
gammas_sell sum of gammas sold
vegas_sell sum of vegas sold
thetas_sell sum of thetas sold
rhos_sell sum of rhos sold
value_und sum of undefined (not buy nor sell) value
volm_und sum of undefined volume
deltas_und sum of deltas undefined
gammas_und sum of gammas undefined
vegas_und sum of vegas undefined
thetas_und sum of thetas undefined
rhos_und sum of rhos undefined
prev_oi previous day open interest
value_bs premium bought minus sold
volm_bs volume bought minus sold
gxoi gamma multiplied by open interest
vxoi vega multiplied by open interest
txoi theta multiplied by open interest
dxoi delta multiplied by open interest
oi_ch change in open interest
oi_ch_pct percent change in open interest
charm
vanna
vomma
charmxoi charm multiplied by open interest
vannaxoi vanna multiplied by open interest
vommaxoi vomma multiplied by open interest
value_5m premium traded in last 5 minutes
value_10m premium traded in last 10 minutes
value_15m premium traded in last 15 minutes
value_30m premium traded in last 30 minutes
value_60m premium traded in last 60 minutes
volm_5m volume traded in last 5 minutes
volm_10m volume traded in last 10 minutes
volm_15m volume traded in last 15 minutes
volm_30m volume traded in last 30 minutes
volm_60m volume traded in last 60 minutes
volmbs_5m volume of buys minus sells in the last 5 minutes
volmbs_10m volume of buys minus sells in the last 10 minutes
volmbs_15m volume of buys minus sells in the last 15 minutes
volmbs_30m volume of buys minus sells in the last 30 minutes
volmbs_60m volume of buys minus sells in the last 60 minutes
valuebs_5m premium of buys minus sells in the last 5 minutes
valuebs_10m premium of buys minus sells in the last 10 minutes
valuebs_15m premium of buys minus sells in the last 15 minutes
valuebs_30m premium of buys minus sells in the last 30 minutes
valuebs_60m premium of buys minus sells in the last 60 minutes

tas

Parameter Description
symbol
event_flags
index
time
sequence
exchange_code
price
size
bid_price
ask_price
exchange_sale_conditions
trade_through_exempt
aggressor_side
spread_leg
extended_trading_hours
valid_tick
tas_type
value
spot
gamma
delta
vega
theta
rho
volatility
theo

flowchart