# Generated by tools/build_contracts.py from tools/algoseek_catalog.py -- do not edit by hand. # Open Data Contract Standard v3.2.0 (https://bitol-io.github.io/open-data-contract-standard/). apiVersion: v3.2.0 kind: DataContract id: urn:alphaswarm:datacontract:algoseek:us-options-daily-analytics name: AlgoSeek US Options Daily Analytics version: 0.1.0 status: draft domain: market-data tags: - algoseek - licensed-data - options - opra - us - analytics description: purpose: 'One row per option contract per trading day with end-of-day model values computed from the last-minute NBBO mid-price: implied volatility, theoretical price and delta, gamma, theta, vega and rho, plus the underlying mid and the last option quote used, and a code saying how the implied vol was obtained.' usage: Options pricing, volatility, and flow research on US-listed equity and index options. limitations: 'Delivered as recorded from the source feed: AlgoSeek does not remove crossed or locked quotes, bad prints, or out-of-sequence packets unless contracted to. Consumers own cleaning. Contract identity per row = Ticker + CallPut + Strike + Expiration (+ OptionStyle as attribute). No OSI/OCC symbol column; Strike is USD per share (one decimal in sample), Expiration is yyyymmdd. Whether Ticker is the option root or underlying (SPX vs SPXW) is not stated. Pricing model: Black-Scholes-Merton family. American options use QuantLib FdBlackScholesVanillaEngine (finite difference, implicit time stepping, uniform grid of 300 time steps by 900 price steps) with projected discrete dividends. European options use the closed-form Black-Scholes with dividend yield (Haug 2007). Greeks: delta, gamma and theta come from the QuantLib grid for American options; rho and vega are central finite differences (rate bumped 10 bp, volatility bumped 100 bp). Units are not stated: sample matches vega per 1 vol point, rho per 1 percentage point, theta per calendar day (one-day price decay). Underlying price input: underlying NBBO mid-price at the last minute traded (UnderLastMidPrice, minute stamped in UnderLastMidTime, 15:59 in the sample). Option price input: option NBBO mid at the last minute traded (LastBid/LastAsk/LastMid with their own timestamps).' authoritativeDefinitions: - type: businessDefinition url: https://algoseek.com/dataset/us-options-daily-analytics/ - type: implementation url: https://algoseek.com/data-docs/options-market-data/algoseek.US.Options.Daily.Analytics.pdf - type: implementation url: https://algoseek.com/docs/rest-api/reference context: instructions: 'Identify a contract by underlying, expiration, strike and call/put. Most options tick files carry no underlying/root column: the underlying comes from the file path or API identifier, so keep it alongside every row you land. Strikes and prices are plain decimals (not scaled). EventType is a bit field: low 4 bits message type, 16 cancel, 32 call, 64 NBBO, 128 buy/bid side. Check OCC special settlements before comparing prices across a corporate action.' constraints: - id: c1 constraint: 'Licensed vendor data: never export raw rows to a tenant-local destination or include them verbatim in a public artifact; serve only through entitlement-checked platform reads.' - id: c3 constraint: Do not treat the vendor's `Ticker` as a stable identity across time; join on an AlgoSeek security key (SecId or ASID, which are distinct) or the platform symbol mapping. servers: - server: algoseek-s3 type: s3 environment: vendor description: AlgoSeek flat-file delivery (the layout the schema below describes). location: s3://${ALGOSEEK_S3_BUCKET_OPT_GREEKS_DAILY}/ format: csv encoding: UTF-8 customProperties: - property: layout value: Plain-text CSV with fixed header row; by default one file per symbol per trading day (e.g. all AAPL data for one date in one CSV). Compression and bucket/path naming not stated. - property: compression value: gzip - property: header value: true - property: entitlement value: Bucket access is granted per subscription; bucket names arrive with license provisioning. - server: algoseek-rest-api type: api environment: vendor description: AlgoSeek Datasets REST API (X-API-KEY header; JSON, CSV or gzipped CSV). Returns AlgoSeek's normalized API layout, which differs from the flat-file columns in this contract's schema. location: https://api.algoseek.com/v1/data/us-equity-opt/greeks-daily/:identifier customProperties: - property: auth value: X-API-KEY header issued by AlgoSeek - property: columnsEndpoint value: https://api.algoseek.com/v1/meta/datasets/{dataset_id}/columns - property: statusEndpoint value: https://api.algoseek.com/v1/meta/datasets/{dataset_id}/status - property: responseFormats value: - json - csv - csv_gzip - property: pagination value: offset + limit; tick endpoints take trade_date and identifier (Ticker or ASID) in the path schema: - name: us_options_daily_analytics physicalName: opt_greeks_daily physicalType: file logicalType: object businessName: US Options Daily Analytics description: 'One row per option contract per trading day with end-of-day model values computed from the last-minute NBBO mid-price: implied volatility, theoretical price and delta, gamma, theta, vega and rho, plus the underlying mid and the last option quote used, and a code saying how the implied vol was obtained.' dataGranularityDescription: one option contract (Ticker x CallPut x Strike x Expiration) x one TradeDate properties: - name: TradeDate logicalType: date logicalTypeOptions: format: yyyymmdd physicalType: string (yyyymmdd) (csv text) description: Trading date of the calculation primaryKey: true primaryKeyPosition: 1 required: true customProperties: - property: nullMeaning value: Never - property: evidence value: guide+sample - name: Ticker logicalType: string physicalType: string (csv text) description: Symbol name; sample shows the underlying/root (AAPL) primaryKey: true primaryKeyPosition: 2 required: true customProperties: - property: nullMeaning value: Never - property: evidence value: guide+sample - name: CallPut logicalType: string physicalType: string (csv text) description: Option contract type, C = Call or P = Put primaryKey: true primaryKeyPosition: 3 required: true enum: - value: C label: Call - value: P label: Put customProperties: - property: nullMeaning value: Never - property: evidence value: guide+sample - name: OptionStyle logicalType: string physicalType: string (csv text) description: Exercise style, A = American or E = European required: true enum: - value: A label: American - value: E label: European customProperties: - property: nullMeaning value: Never - property: evidence value: guide+sample - name: Strike logicalType: number physicalType: decimal (csv text) description: Fixed price at which the option can be exercised, quoted per share of underlying primaryKey: true primaryKeyPosition: 4 required: true customProperties: - property: unit value: USD - property: nullMeaning value: Never - property: evidence value: guide+sample - name: Expiration logicalType: date logicalTypeOptions: format: yyyymmdd physicalType: string (yyyymmdd) (csv text) description: Expiration date of the option contract primaryKey: true primaryKeyPosition: 5 required: true customProperties: - property: nullMeaning value: Never - property: evidence value: guide+sample - name: YearsToMaturity logicalType: number physicalType: decimal (csv text) description: Time until expiry in years; sample equals DaysToMaturity/365 required: true customProperties: - property: nullMeaning value: Never - property: evidence value: guide+sample - name: DaysToMaturity logicalType: integer logicalTypeOptions: format: i64 physicalType: integer (csv text) description: Calendar days from TradeDate until the contract expires required: true customProperties: - property: nullMeaning value: Never - property: evidence value: guide+sample - name: UnderLastMidPrice logicalType: number physicalType: decimal (csv text) description: Underlying NBBO mid-price at the last minute traded; model spot input required: true customProperties: - property: unit value: USD - property: nullMeaning value: Never - property: evidence value: guide+sample - name: UnderLastMidTime logicalType: time logicalTypeOptions: format: HH:MM (e.g. 15:59) physicalType: decimal (csv text) description: Minute bar used for UnderLastMidPrice; guide doc type says decimal but sample is HH:MM text customProperties: - property: nullMeaning value: Never - property: evidence value: guide+sample - name: LastBidPrice logicalType: number physicalType: decimal (csv text) description: Option NBBO bid at the last minute traded customProperties: - property: unit value: USD - property: nullMeaning value: Blank - property: evidence value: guide+sample - name: LastBidTime logicalType: time logicalTypeOptions: format: HH:MM:SS.mmm physicalType: string (csv text) description: Timestamp of LastBidPrice; sample shows values from 09:30 to 15:59, so it can be hours stale customProperties: - property: nullMeaning value: Blank - property: evidence value: guide+sample - name: LastMidPrice logicalType: number physicalType: decimal (csv text) description: Option NBBO mid-price at the last minute traded; (LastBid+LastAsk)/2 in sample; input price for implied vol customProperties: - property: unit value: USD - property: nullMeaning value: Blank - property: evidence value: guide+sample - name: LastAskPrice logicalType: number physicalType: decimal (csv text) description: Option NBBO ask at the last minute traded customProperties: - property: unit value: USD - property: nullMeaning value: Blank - property: evidence value: guide+sample - name: LastAskTime logicalType: time logicalTypeOptions: format: HH:MM:SS.mmm physicalType: string (csv text) description: Timestamp of LastAskPrice customProperties: - property: nullMeaning value: Blank - property: evidence value: guide+sample - name: MidImpliedVol logicalType: number physicalType: decimal (csv text) description: Implied volatility solved from LastMidPrice, or estimated per ImpliedVolConvergence required: true customProperties: - property: nullMeaning value: Never - property: evidence value: guide+sample - name: MidTheoPrice logicalType: number physicalType: decimal (csv text) description: Model theoretical price corresponding to LastMidPrice required: true customProperties: - property: unit value: USD - property: nullMeaning value: Never - property: evidence value: guide+sample - name: MidDelta logicalType: number physicalType: decimal (csv text) description: Change in option price per unit change in underlying price required: true customProperties: - property: nullMeaning value: Never - property: evidence value: guide+sample - name: MidGamma logicalType: number physicalType: decimal (csv text) description: Change in delta per unit change in underlying price required: true customProperties: - property: nullMeaning value: Never - property: evidence value: guide+sample - name: MidTheta logicalType: number physicalType: decimal (csv text) description: Change in option value with time; guide says decay per day; sample negative for long options required: true customProperties: - property: nullMeaning value: Never - property: evidence value: guide+sample - name: MidVega logicalType: number physicalType: decimal (csv text) description: Change in option price per volatility change; sample scale matches 1 vol point (0.01) required: true customProperties: - property: nullMeaning value: Never - property: evidence value: guide+sample - name: MidRho logicalType: number physicalType: decimal (csv text) description: Change in option price per risk-free rate change; sample scale matches 1 percentage point required: true customProperties: - property: nullMeaning value: Never - property: evidence value: guide+sample - name: ImpliedVolConvergence logicalType: string physicalType: string (csv text) description: 'Code for how MidImpliedVol was obtained: converged, interpolated, put-call pair, extrapolated or failed' required: true enum: - value: Converged label: IV solved within the pricing model - value: IntrVal_LinInterp label: Bid below intrinsic value; IV linearly interpolated from nearby strikes - value: SmallBid_LinInterp label: Bid <= $0.01; IV linearly interpolated - value: Failed_LinInterp label: IV solve failed; IV linearly interpolated - value: IntrVal_PutCallPair label: Bid below intrinsic value; IV estimated from put-call parity pair - value: SmallBid_PutCallPair label: Bid <= $0.01; IV estimated from put-call pair - value: Failed_PutCallPair label: IV solve failed; IV estimated from put-call pair - value: IntrVal_FlatExtrapol label: Bid below intrinsic value; IV from constant extrapolation - value: SmallBid_FlatExtrapol label: Bid <= $0.01; IV from constant extrapolation - value: Failed_FlatExtrapol label: IV solve failed; IV from constant extrapolation - value: Failed label: IV could not be calculated or estimated customProperties: - property: nullMeaning value: Never - property: evidence value: guide+sample quality: - id: row_count_positive metric: rowCount mustBeGreaterThan: 0 dimension: completeness severity: error description: Every delivered partition (trade date, or snapshot) carries at least one row. - id: primary_key_unique metric: duplicateValues mustBe: 0 arguments: properties: - TradeDate - Ticker - CallPut - Strike - Expiration dimension: uniqueness severity: error description: The declared primary key is unique within each delivered partition (one file or table snapshot). support: - channel: algoseek-support tool: email url: mailto:support@algoseek.com scope: issues description: Vendor support for data defects, missing days, and entitlement problems. team: name: AlphaSwarm data engineering slaProperties: - id: retention property: retention value: license-term description: Retention of landed copies is bounded by the AlgoSeek license; purge on termination. driver: regulatory customProperties: - property: vendor value: AlgoSeek - property: vendorDataGroup value: us-equity-opt - property: vendorDatasetTextId value: opt_greeks_daily - property: vendorSampleUrl value: https://as-metadata-services-assets.s3.amazonaws.com/sample_data/cloud_storage/opt_greeks_daily.csv - property: assetClass value: option - property: venues value: - OPRA consolidated feed (derived data) - property: coverage value: US listed options on stocks, ETFs and indexes (American and European styles), derived from algoseek equity and options market data. Excludes VIXW options, FX options and options on OTC underlyings. Non-standard deliverables are not modelled (relevant fields set to zero). History start is not stated. - property: timezone value: America/New_York - property: timestampFormat value: LastBidTime/LastAskTime HH:MM:SS.mmm; UnderLastMidTime HH:MM - property: sessionHours value: 'End-of-day: inputs are the last-minute bars of the regular session (underlying minute 15:59 in every sample row); exact definition of ''last minute traded'' for 16:15-close index options not stated' - property: priceAdjustment value: n/a - property: licensedData value: true - property: evidenceGrade value: vendor-doc - property: knownIssues value: - Primary key is inferred; AlgoSeek's guide does not name one. - Update cadence and publication latency are not stated in the guide; confirm with AlgoSeek (or GET /v1/meta/datasets/{id}/status). - 'Doc discrepancy: UnderLastMidTime: guide doc type is ''decimal'' but the description is ''the minute bar'' and the sample is text ''HH:MM'' (15:59).' - 'Doc discrepancy: Guide text says the convergence field flags ''root convergence, capping, interpolation, or extrapolation'' but Table 2 lists 11 codes and none is a capping code.' - 'Doc discrepancy: Product page says metrics use the ''last-minute mid-price of each trading session''; the guide says ''last minute traded'' for each contract. Sample LastBidTime ranges from 09:30 to 15:59 while UnderLastMidTime is always 15:59, so option quotes can be older than the underlying quote.' - 'Doc discrepancy: Product page says ''each listed US options contract''; guide says ''each traded contract''.' - 'Doc discrepancy: Guide describes Theta only as decay per day and gives no scaling for Vega/Rho; sample magnitudes imply vega per 1 vol point and rho per 1 percentage point (verified against Black-Scholes for the first sample row), which the guide text (10 bp rate bump, 100 bp vol bump) does not state as the reporting scale.' - 'Doc discrepancy: Guide says rows correspond to ''individual events'' (boilerplate); each row is a contract-day.' - 'Doc discrepancy: Guide cover says ''US Options Daily Analytics Guide'' but the running header says ''US Options Analytics EOD Guide''.' - 'Doc discrepancy: Guide columns match the 23-column sample header exactly, in the same order. Column is named Expiration here, ExpirationDate in the bar datasets.' contractCreatedTs: '2026-11-02T00:00:00Z'