This report provides the ratio of normal options trading activity currently taking place in an options class when normalizing for vega exposure, time of the day and typical volume distributions throughout the day.
A ratio of 1.0 means that activity is exactly typical for the option class given the time of the day. Vega calculations come from a proprietary valuation model. This proprietary valuation model uses a business day calendar with intraday time decay along with discrete dividend estimates, proprietary implied borrow rates, and proprietary arbitrage-free smoothed volatility surfaces. Files are labeled with a date-time in Central time.
One file will be delivered at the end of the day, if End of Day interval is chosen. If 15 min interval is selected, files will be delivered every 15 minutes during the day with 15 minutes delayed data.
File Layout: Specification
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