Derivatives Analytics Datasets (S3)
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 |