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A History link can contain any of the following fields:

Field

Description

High

The highest price paid during the current trading session.

Last

The last price paid during the current trading session.

Low

The lowest price paid during the current trading session.

Open

The first price paid during the current trading session.

Open Interest

The total number of futures contracts traded that have not yet been liquidated either by an offsetting futures transaction or by delivery.

Symbol

The ticker symbol.

Volume

The total number of contracts traded during the current trading session.

Volatility

Implied Volatility is the estimated volatility of the underlying stock over the term of the option (only available for equity options).

Theoretical Value

The hypothetical value of the options, calculated by the Black-Scholes Option Pricing Model (only available for equity options).

Delta

Measures the sensitivity of an option’s theoretical value to a change in the underlying price (only available for equity options).

Gamma

Measures the rate of change in the delta for every one point move in the underlying (only available for equity options).

Theta

The measure of the time decay of an option, the dollar amount that an option will lose each day due to the passage of time (only available for equity options).

Vega

Measures the sensitivity of the price of an option to changes in volatility (only available for equity options).

Rho

The rate at which the price of an option changes relative to a change in the risk-free rate of interest (only available for equity options).

History aggregations

History aggregation / Period

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