Analytics catalogue

32-column per-trade decoration: notional, premium, dollar Greeks, hedge quantity, market-side, NBBO flags, moneyness, GTH, and ISO day-of-week. Composes Greeks via a Greeks provider trait.

Methodology

Lee-Ready 1991

Inputs

Option TradeTick + QuoteTick + Greeks provider + spot-price cache

Per-print Lee-Ready+ aggressor classifier with confidence-tier reporting. Three tiers: at-quote (~70% of prints), post-quote-revision (~25%), and the tick-rule fallback.

Methodology

Lee-Ready 1991

Inputs

Option TradeTick + pre-trade and post-trade NBBO

Premium-tier block-trade detector. Fires when an admitted option print exceeds the configured size or premium threshold (defaults 100 contracts or $25,000 premium).

Methodology

Options trade conditions

Inputs

Option TradeTick, per-subscription thresholds

Inter-exchange same-side print-burst detector. Emits one cluster when N consecutive prints on the same aggressor side land across at least K distinct venues within a T-ms window, with the per-venue breakdown.

Methodology

Reg NMS Rule 611 / Hendershott 2013

Inputs

Option TradeTick + venue tags

Z-score-based unusual-volume detector over daily stock volume. Maintains a rolling N-session baseline and emits one tick per session rollover.

Methodology

Sample-statistics baseline

Inputs

Stock TradeTick, rolling N-day baseline accumulator

Session-level aggregator: call / put volume split, per-side premium in USD, and cumulative contracts on the running tape window.

Methodology

Options trade conditions

Inputs

Option TradeTick

Per-contract open-interest stream with session-delta tracking. Sourced from the OI snapshot file dropped daily by the upstream tape.

Methodology

Options trade conditions

Inputs

open-interest cache (daily snapshot)

Per-bucket aggregated option buy / sell / mid volume + premium, side-classified through Lee-Ready against the pre-trade NBBO.

Methodology

Lee-Ready 1991

Inputs

Option TradeTick + pre-trade NBBO + open-interest cache

Per-bucket aggregated stock buy / sell / mid volume + dollar value with the same Lee-Ready side classification used by OptionFlow.

Methodology

Lee-Ready 1991

Inputs

Stock TradeTick + pre-trade NBBO

Per-underlying put / call activity ratio with running volume + premium counts, per-side aggregation, and a signed-imbalance directional indicator. Premium-weighted and contract-count variants emit per tick.

Methodology

Options trade conditions

Inputs

Option TradeTick per chain strike

Aggregate dealer gamma exposure at the underlying spot, decomposed by strike. Reads the OI snapshot at boot and emits the per-strike dollar-gamma contribution plus zero-gamma flip strike on every quote.

Methodology

SqueezeMetrics 2017

Inputs

Option QuoteTick per strike, open-interest cache, spot-price cache

Per-expiration max-pain strike — the listed strike minimising the total writer payout (sum of `OI × |K - spot|` per leg). Each tick carries one leg per expiration with the max-pain strike and total writer payout.

Methodology

Options trade conditions

Inputs

open-interest cache + spot-price cache

Synchronised-fill complex-structure detector: verticals, calendars, diagonals, straddles, strangles, butterflies, condors, ratios. Per-emission shape label with the typed per-leg breakdown and aggressor lean.

Methodology

Options trade conditions

Inputs

Option TradeTick (synchronised-timestamp window)

Six-component composite (premium · spread · aggressor · OI · venue · DTE) producing a 0-100 score and a classifier band per admitted print.

Methodology

Lee-Ready 1991

Inputs

Option TradeTick + NBBO + open-interest cache

Gaussian-weighted gamma-exposure concentration: the strikes the surface is pinning into expiration on, ranked by dominance and surfaced ahead of OPEX.

Methodology

SqueezeMetrics 2017

Inputs

Option QuoteTick per strike + open-interest cache + spot-price cache

Call-OI / float × short-interest composite identifying setups for a dealer-driven gamma squeeze. Outputs a composite score and a setup flag.

Methodology

SqueezeMetrics 2017

Inputs

open-interest cache + fundamentals spec (float, short interest)

LULD and regulatory halt detector. Identifies trade-tape gaps consistent with a halt and resumes, surfacing halt type and resume time.

Methodology

SEC NMS LULD Plan

Inputs

Stock TradeTick (continuity check)

RSI / MACD / Bollinger bundle on the trade tape — a single subscription emits the three indicator panels per bar boundary.

Methodology

Sample-statistics baseline

Inputs

TradeTick (option or stock)

Per-contract Black-Scholes-Merton delta, gamma, vega, theta, and rho on every option NBBO update, solved with the per-chain implied-volatility cache and the underlying spot.

Methodology

Black-Scholes / Hull

Inputs

Option QuoteTick, stock TradeTick, rates service, DividendYield

CBOE-methodology variance-strip integral over a live option chain with a CUSUM + EWMA regime filter. Bit-exact CBOE VIX on SPX / SPXW, the same variance-strip integral on every other liquid symbol.

Methodology

CBOE VIX White Paper

Inputs

Option QuoteTick per chain strike, rates service, market calendar

Per-expiration 25-delta risk-reversal + 25-delta butterfly + put-wing skew slope ladder. Each leg carries the ATM call strike / IV plus the per-side 25-delta strikes and IVs.

Methodology

Black-Scholes / Hull

Inputs

Option QuoteTick per chain strike, rates service, market calendar

Per-underlying ATM implied-volatility ladder across a fixed-slot tenor grid (30 / 60 / 90 / 120 / 180 / 360 / 720d). Each tick carries one leg per tenor with the parity-anchored ATM IV and chain depth.

Methodology

Black-Scholes / Hull

Inputs

Option QuoteTick per chain strike, rates service, market calendar

52-week implied-volatility percentile rank per tenor (IV-history cache-backed). Surfaces the current reading versus its rolling 252-session high, low, and median.

Methodology

Black-Scholes / Hull

Inputs

IV-history cache (per-tenor 252-session window)

Per-contract first-derivative IV stream — change in implied volatility over a configurable emission cadence — tracking the reading from an upstream IV provider.

Methodology

Black-Scholes / Hull

Inputs

IV provider (typically drained from Greeks)

Percentile rank per lookback `{252, 60, 20, 5}` sessions. Outputs one rank per lookback so the surface position reads against multiple horizons in one tick.

Methodology

Black-Scholes / Hull

Inputs

IV-history cache

Trailing-window realised volatility — Parkinson / Garman-Klass / close-to-close estimators — annualised by sqrt(252). Recomputed on session rollover from cached daily closes.

Methodology

Sample-statistics baseline

Inputs

daily-close cache

Realised-volatility percentile cone at `{1, 5, 10, 20, 60}d` windows. One percentile rank per window so a tick captures the position across the term structure of realised vol.

Methodology

Sample-statistics baseline

Inputs

daily-close cache

Derman (1999) regime classifier — sticky-strike, sticky-delta, or mixed — with a stickiness score per emission.

Methodology

Derman 1999

Inputs

Option QuoteTick per chain strike (smile snapshots)

First-derivative of the 25-delta risk-reversal: d(RR25)/dt annualised on a 5.9M-second-per-year basis with a direction enum.

Methodology

Black-Scholes / Hull

Inputs

IvSkew output stream (RR25 sequence)

Carr-Madan (1998) model-free variance strip across the full chain. Outputs implied variance, implied volatility, and the forward used by the inversion.

Methodology

Carr-Madan 1998

Inputs

Option QuoteTick per chain strike, rates service

GARCH(1,1) forecast with Hansen-Lunde loadings (α=0.10 / β=0.85). Emits 1d / 30d / 60d projected variance and a vol-premium signal versus current IV.

Methodology

Engle 1982 / Hansen-Lunde 2005

Inputs

daily-close cache

Barndorff-Nielsen / Shephard (2004) bipower-variation jump test with the Huang-Tauchen (2005) finite-sample guard. Outputs RV, BV, jump z-score, and jump probability per intraday bar.

Methodology

Barndorff-Nielsen / Shephard 2004

Inputs

Intraday TradeTick (5m bars)

Rolling 252-session high / low per symbol with current-price percentile rank and `newhigh` / `newlow` flags fired by live trades crossing either extreme.

Methodology

Sample-statistics baseline

Inputs

daily-close cache, stock TradeTick

Volume-synchronised probability of informed trading (López de Prado 2012). Equal-volume buckets classified via tick-rule or Bulk-Volume Classification with EWMA-smoothed dispersion.

Methodology

Easley / Lopez de Prado 2012

Inputs

Stock TradeTick, per-spec bucket_volume / window_size

Cumulative volume delta with Lee-Ready aggressor classification — per-tick cumulative buy / sell, signed CVD, and per-bar delta. Sub-15 ns hot path.

Methodology

Lee-Ready 1991

Inputs

TradeTick + pre-trade NBBO

Welford weighted-recurrence VWAP + TWAP with NaN-warmup gating. Outputs current VWAP, TWAP, deviation %, and a z-score of the deviation across the trailing window.

Methodology

Sample-statistics baseline

Inputs

TradeTick

Cont-Kukanov-Stoikov (2014) NBBO event-imbalance: per-window and per-session order-flow imbalance with the bid / ask pressure decomposition. Rolling-window FIFO bookkeeping on the hot path.

Methodology

Cont-Kukanov-Stoikov 2014

Inputs

QuoteTick (NBBO event stream)

Kyle (1985) OLS price-impact regression of signed volume against price change. Outputs λ, R², and N for the trailing window.

Methodology

Kyle 1985

Inputs

TradeTick + Lee-Ready aggressor sign

Easley-Kiefer-O'Hara-Paperman (1996) moment-based PIN estimator. Outputs α, μ, ε_b, and the PIN level for the day's tape.

Methodology

Easley-Kiefer-O'Hara-Paperman 1996

Inputs

TradeTick (daily buy / sell counts)

Bacry-Mastromatteo-Muzy (2015) Hawkes-process intensity tracker on trade arrival times. Outputs current λ, α, branching ratio, and a stability flag.

Methodology

Bacry-Mastromatteo-Muzy 2015

Inputs

TradeTick (arrival times)

Hasbrouck (1995) variance-decomposition price-discovery share per venue. Surfaces the percent of efficient-price innovation attributable to each market.

Methodology

Hasbrouck 1995

Inputs

Multi-venue TradeTick stream

OCC Standard Portfolio Analysis of Risk (SPAN) 16-scenario grid over coordinated price and volatility moves. Outputs scanning risk and total initial margin per contract.

Methodology

OCC SPAN 16-scenario grid

Inputs

Contract + spot-price cache + IV reading

RiskMetrics historical-simulation Value-at-Risk at 95% / 99% with Acerbi-Tasche Expected Shortfall. Outputs VaR and ES in USD per position basket.

Methodology

RiskMetrics / Acerbi-Tasche 2002

Inputs

daily-close cache (position basket)

Distance-to-band tracker against the SEC NMS LULD Plan, including the last-25-minute band-doubling provision. Surfaces percent-to-upper / lower with a 5-minute Neumaier VWAP reference.

Methodology

SEC NMS LULD Plan

Inputs

TradeTick (5m VWAP reference)

Distance-to-trigger tracker for the market-wide circuit-breaker levels (-7% L1, -13% L2, -20% L3) per NYSE Rule 7.12 / Cboe Rule 6.32. Outputs percent-to-each-level and breach-level enum.

Methodology

NYSE Rule 7.12 / Cboe Rule 6.32

Inputs

daily-close cache + intraday TradeTick

Per-underlying implied spot from put-call parity at the strike of minimum |C_mid - P_mid|. Each tick carries the per-expiration leg ladder + parity-anchored consensus + cash-vs-implied basis.

Methodology

Put-call parity

Inputs

Option QuoteTick per chain strike, rates service, market calendar

Four-leg synthetic funding rate from the listed box spread. Outputs the implied risk-free rate r_box and the box width across the strike pair.

Methodology

Box-spread funding rate

Inputs

Option QuoteTick per strike pair (call/put × two strikes)

Parity-implied present value of the forthcoming dividend. Outputs dividend PV in USD and the annualised dividend yield consistent with the chain.

Methodology

Put-call parity

Inputs

Option QuoteTick + spot-price cache + rates service

`C − P − S + (K + D) · e^(−rT)` edge detector for the conversion and reverse-conversion structures. Outputs per-direction edge with a directional indicator.

Methodology

Put-call parity

Inputs

Option QuoteTick + spot-price cache + rates service + dividend stream

Sharpe (1964) OLS regression of the symbol's daily returns against SPY. Outputs β, α, and R² over the configured trailing window.

Methodology

Sharpe 1964 / CAPM

Inputs

daily-close cache (symbol + SPY)

Engle-Granger (1987) two-step cointegration test with MacKinnon (1991) ADF critical value −3.34. Outputs hedge ratio, ADF statistic, and cointegration flag for the pair.

Methodology

Engle-Granger 1987 / MacKinnon 1991

Inputs

daily-close cache (symbol pair)

Bins every admitted print into a 6-cell (ATM / OTM / ITM) × (Put / Call) stratum with delta-weighted buy / sell loads and a vega total per cell.

Methodology

Lee-Ready 1991

Inputs

Option TradeTick + NBBO snapshot + Greeks cache

Bid-ask spread anomaly detector with a rolling baseline. Surfaces spread widening and clamping events per contract.

Methodology

Sample-statistics baseline

Inputs

Option QuoteTick

Open / high / low / close / volume / condition bars on a configurable timeframe (1s through 1d). Condition tracking surfaces regular RTH, late, and extended-hours prints per bar.

Methodology

Options trade conditions

Inputs

TradeTick (option or stock), condition policy, exchange filter