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OptionSurfaceDatum

Properties

Name Type Description
strike_price float The actual strike price. Present when the requesting surface type is raw.  
unix_timestamp float The expiration DateTime. Present when the requesting surface type is raw.  
forward_natural_log_moneyness float The natural logarithm of forward moneyness, calculated as ln(F / K), where F is the forward underlying price adjusted for risk-free rate and dividend yield over time to expiration, and K is the option strike. Present when the requesting surface type is something other than raw.  
square_root_tau float The square root of tau, where tau is the option’s time to expiration in years using a 365.25-day year basis. Present when the requesting surface type is something other than raw.  
implied_volatility float The implied volatility of the contract calculated using the Black-Scholes Model, and smoothed if the requesting surface type was logarithmic_smoothed. Always present.