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Field | Description |
|---|---|
Theoretical | The theoretical value or price of the option |
Theta | Theta is a measure of the time decay of an option, the dollar amount that an option will lose each day due to the passage of time |
Vega | Vega measures the sensitivity of the price of an option to changes in volatility |
Gamma | Gamma measures the rate of change in the delta for each one-point increase in the underlying asset |
Delta | Delta measures the sensitivity of an option's theoretical value to a change in the price of the underlying asset |
Implied Volatility | The volatility for the option calculated using the Black 76 Model (for spread options the Bachelier model is used) |
Rho | The rate at which the price of a derivative changes relative to a change in the risk-free rate of interest (US Treasuries Yield and the Canada Bank Rate) |
Volume | The total number of options traded |
Open Int. | Open Interest is the total number of open option contracts that have been traded but not yet liquidated via offsetting trades for that date |
Open | The open price for the options contract for the day |
High | The high price for the options contract for the day |
Low | The low price for the options contract for the day |
Last | The settlement price for the options contract for the day |
View
For ease of use, all of the data fields supported in the lookback can be selected at one time using the ‘Lookback View'.
