Derivatives Analytics
Advanced derivatives analytics data including enhanced options trades with market context, implied volatility surfaces, and comprehensive option chain data delivered via Amazon S3 and Snowflake.
Derivatives Analytics Datasets (S3)
| Dataset Type | Sample Files |
|---|---|
| Decorated Trades | Download |
| Delta Surface Constant | Download |
| Delta Surface Floating | Download |
| Level 1 Quote | Download |
Snowflake Tables
| Feature Type | Snowflake Table Name |
|---|---|
| Level 1 Pre/Post Trade Data | DERIVATIVES_DECORATED_TRADE |
| Delta Surface Constant | DERIVATIVES_DELTA_SURFACE_CONSTANT |
| Delta Surface Floating | DERIVATIVES_DELTA_SURFACE_FLOATING |
| Gamma Exposure (GEX) | DERIVATIVES_GAMMA_EXPOSURE_SNAPSHOT |
| Level 1 Option Chain | DERIVATIVES_LEVEL_1_QUOTE |
Data Field Descriptions
Decorated Trades
Enhanced trade data with comprehensive pre/post trade market context:| Field | Description |
|---|---|
| tradeId | The id of the trade |
| instrumentNormalized | The name of the instrument in Amberdata format |
| blockTradeId | The id of the block trade |
| currency | The currency |
| delta | The greek delta value of the underlying option |
| gamma | The greek gamma value of the underlying option |
| theta | The greek theta value of the underlying option |
| vega | The greek vega value of the underlying option |
| rho | The greek rho value of the underlying option |
| exchangeTimestamp | The date & time as provided by the exchange |
| expirationTimestamp | The expiration timestamp |
| indexPrice | The index price (spot) |
| instrument | The name of the instrument as provided by exchange |
| isBuySide | Indicates whether the trade was on the buy side (true) or sell side (false) |
| liquidation | True if the trade is the result of a liquidation |
| numberOfLegs | The number of legs in the block trade |
| openInterestChange | The change in open interest |
| postTradeAskIv | The post-trade ask implied volatility |
| postTradeAskPrice | The post-trade ask price |
| postTradeAskVolume | The post-trade ask size |
| postTradeBidIv | The post-trade bid implied volatility |
| postTradeBidPrice | The post-trade bid price |
| postTradeBidVolume | The post-trade bid size |
| postTradeMarkIv | The post-trade mark implied volatility |
| postTradeMarkPrice | The post-trade mark price |
| postTradeMidIv | The post-trade mid implied volatility |
| postTradeMidPrice | The post-trade mid price |
| postTradeOpenInterest | The post-trade open interest |
| preTradeAskIv | The pre-trade ask implied volatility |
| preTradeAskPrice | The pre-trade ask price |
| preTradeAskVolume | The pre-trade ask size |
| preTradeBidIv | The pre-trade bid implied volatility |
| preTradeBidPrice | The pre-trade bid price |
| preTradeBidVolume | The pre-trade bid size |
| preTradeMarkIv | The pre-trade mark implied volatility |
| preTradeMarkPrice | The pre-trade mark price |
| preTradeMidIv | The pre-trade mid implied volatility |
| preTradeMidPrice | The pre-trade mid price |
| preTradeOpenInterest | The pre-trade open interest |
| price | The trade price |
| priceHigh24h | The highest trade price in the past 24 hours |
| priceLow24h | The lowest trade price in the past 24 hours |
| priceUsd | The trade price (notional value) |
| putCall | Whether this record is a put or a call |
| strike | The strike price |
| tickDirection | The direction of the tick |
| tradeAmount | The trade size |
| tradeIv | The trade implied volatility |
| underlyingPrice | The underlying price (for Deribit options: futures price, not spot) |
| volume24h | The 24hr rolling volume |
Delta Surface Constant
Implied volatility surfaces for fixed, standardized maturities:| Field | Description |
|---|---|
| hifiTimestamp | The data timestamp |
| daysToExpiration | Remaining days to expiration (DTE) |
| currency | The currency |
| atm | The “at-the-money” implied volatility, weighted between closest OTM put and call based on strike distance vs underlying price |
| delta50 | The IV for 50 delta (at-the-money) |
| deltaCall05 | The IV for 5 delta call options |
| deltaCall10 | The IV for 10 delta call options |
| deltaCall15 | The IV for 15 delta call options |
| deltaCall20 | The IV for 20 delta call options |
| deltaCall25 | The IV for 25 delta call options |
| deltaCall30 | The IV for 30 delta call options |
| deltaCall35 | The IV for 35 delta call options |
| deltaCall40 | The IV for 40 delta call options |
| deltaCall45 | The IV for 45 delta call options |
| deltaPut05 | The IV for 5 delta put options |
| deltaPut10 | The IV for 10 delta put options |
| deltaPut15 | The IV for 15 delta put options |
| deltaPut20 | The IV for 20 delta put options |
| deltaPut25 | The IV for 25 delta put options |
| deltaPut30 | The IV for 30 delta put options |
| deltaPut35 | The IV for 35 delta put options |
| deltaPut40 | The IV for 40 delta put options |
| deltaPut45 | The IV for 45 delta put options |
| expirationTimestamp | The option expiration date |
| indexPrice | The index price (spot) |
| multiplier | The contract multiplier |
| openInterest | The open interest at the time of this record |
| underlyingPrice | Underlying futures price with the corresponding DTE |
Delta Surface Floating
Implied volatility surfaces for actual option expiration dates:| Field | Description |
|---|---|
| hifiTimestamp | The data timestamp |
| expirationTimestamp | The option expiration date |
| currency | The currency |
| atm | The “at-the-money” implied volatility, weighted between closest OTM put and call |
| daysToExpiration | Remaining days to expiration (DTE) |
| delta50 | The IV for 50 delta (at-the-money) |
| deltaCall05-45 | The IV for call options at 5-45 delta levels (see Delta Surface Constant for individual field descriptions) |
| deltaPut05-45 | The IV for put options at 5-45 delta levels (see Delta Surface Constant for individual field descriptions) |
| indexPrice | The index price (spot) |
| multiplier | The contract multiplier |
| openInterest | The open interest at the time of this record |
| underlyingPrice | Underlying futures price with the corresponding DTE |
Level 1 Quote
Real-time comprehensive option chain data with Greeks:| Field | Description |
|---|---|
| ask | The ask price |
| askIv | The ask implied volatility |
| askVolume | The ask size |
| bid | The bid price |
| bidIv | The bid implied volatility |
| bidVolume | The bid size |
| currency | The currency |
| delta | The greek delta value of the underlying option |
| gamma | The greek gamma value of the underlying option |
| theta | The greek theta value of the underlying option |
| vega | The greek vega value of the underlying option |
| rho | The greek rho value of the underlying option |
| exchangeTimestamp | The date & time as provided by the exchange |
| expirationTimestamp | The expiration timestamp |
| hifiTimestamp | The date & time of the aggregated record |
| indexPrice | The index price (spot) |
| instrument | The name of the instrument as provided by exchange |
| instrumentNormalized | The name of the instrument in Amberdata format |
| isAtm | Flag indicating if this is the at-the-money option for the given expiration cycle |
| isCarryForward | Whether this record was carried forward from the previous data point (when no quote updates occur) |
| isExchangeProvidedGreeks | Whether the Greeks were provided by the exchange or calculated by Amberdata |
| markIv | The mark implied volatility |
| markPrice | The mark price |
| multiplier | The contract multiplier |
| openInterest | The open interest at the time of this record |