Documentation

List of Option Queries KPIs

An option contract can either be of the type put or call. A put allows the buyer to sell 100 shared of the underlying stock to the option writer (or: option seller) at the strike price, when the strike price is reached. A call allows the buyer of the call to buy 100 shares of the underlying stock at the strike price, when the strike price is reached. In both cases, the buyer gives the option seller some premium (cash) for the risk.

Next, a list of Option Query KPIs that are supported by the platform is shown. All these KPIs can be used in different types of Queries to find interesting options or to alert when interesting events happen (such as unusual options activity). These KPIs are available for all query types.


KPIs Description
ASK Ask price of the option. This is the price people selling the option want. It is higher than the mid price.
BID Bid price of the option. This is the price people buying the option offer. It is lower than the mid price.
ASKSIZE The size of the ask, i.e. how many option contracts are on the ask.
BIDSIZE The size of the bid, i.e. how many option contracts are on the bid.
AVERAGE_VOLUME The average daily volume since the specific contract (e.g. AMZN210507C03400000) was first introduced.
CHANGE Last day's price change in Dollars (e.g. -1.14$).
CHANGE_PERCENTAGE Last day's change in percent (e.g. -4.5%).
CLOSE Last (yesterday or today after end of trading hours) closing price.
HIGH Highest price of today.
LOW Lowest price of today.
LAST Price of today's last trade.
LAST_VOLUME Volume of today's last trade.
OPEN Sometimes same as close - overnight prices may change too. Thus, this is the opening price of today.
OPEN_INTEREST Total number of contracts written for the specific contract (e.g. AMZN210507C03400000) since it was first introduced.
VOLUME Total volume of today thus far.
STRIKE The fixed (strike) price at which the buyer of an option can buy or sell the underlying stock.
DELTA Compares the change in the price of the underlying stock with the change in the price of the option. This is the call delta. Put delta is DELTA - 1.
GAMMA Rate of change in an options delta per 1-point move in the underlying stock price.
THETA Rate of decline in the value of an option over time (also called time decay of an option).
VEGA Change in the options price for a 1-point move in implied volatility (measures the sensitivity to Implied Volatility).
RHO Sensitivity of an option to a change in the risk-free interest rate.
PHI Sensitivity of an option to Dividends.
BID_IV Implied Volatility of the bid price.
MID_IV Implied Volatility of the mid price (average of bid and ask price).
ASK_IV Implied Volatility of the ask price.
SMV_VOL ORATS Smooth Market Implied Volatility


Below is a list of special option query KPIs. These KPIs are not available for division, multiplication or subtraction queries (so all the non-trivial ones).


KPIs Description
EQUITY_PCR Equity Put/Call Ratio
EXPIRATION_DAYS Days until contract expiration.