Crack the Sky

Warehouse → math chain

CLI usage

python -m pricing.from_market --date YYYY-MM-DD [--asof-ns N] [--r 0.04] — --r is optional; without it the landed Treasury curve interpolates per contract.

As-of load

Loads last option_snapshots and forwards at or before that instant.

Own IV

Inverts own IV from last/close (no NBBO mid).
Every price is a traded price. Option NBBO is 403 on this tier — /v3/quotes and the quotes_v1 flat file both — so there is no bid, no ask and no spread anywhere in the warehouse, and Quote.market_price is the last trade else the session close. This is a modelling assumption, not just an ingest limitation, and it propagates into every IV and greek derived from it:
- A trade may print at the bid, at the ask, or inside the spread, so inverted IV carries an offset from the mid that is unknown without NBBO — bounded in the worst case by about half the spread in vol terms, and not safe to assume averages out over a series. The bound is widest exactly where spreads are widest: the OTM wings the skew is made of.
- No spread means no width-based liquidity screen. Volume and open interest are the substitutes the snapshot carries.
- A last trade can be arbitrarily stale. Quote carries the trade's own stamp in last_trade_asof_ns (from option_snapshots.last_trade_sip_timestamp_ns) alongside asof_ns — which still prefers underlying_last_updated_ns, the right clock for spot and rates — and greeks_asof skips last-priced rows whose trade is older than --max-trade-age-min (default 60), counting them as stale in the canary report. There is no day_close fallback: the reprice identity needs a contemporaneous market price and a stale one is not one.

Own greeks

Computes own Greeks. SPX/SPXW → European BSM; SPY → American CRR (default 51 tree steps on the chain).
--spy-atm-pct CRR-prices only ATM SPY and European-prices the rest. --max-rows caps American CRR rows only so an SPX-first concat cannot starve SPY.
Vendor greeks_* / implied_volatility copied as diagnostics with signed diffs (own − vendor). Theta × 365 and vega × 100 for unit alignment. Never inputs.
T is ACT/365 from as-of to the settlement instant (not UTC midnight of the expiry date): SPY/SPXW 16:00 ET, SPX monthlies and VIX/VIXW 09:30 ET.
--r pins a scalar rate; default is the landed Treasury curve via rate_for, interpolated to each maturity.
SPX has no snapshot spot: parity forward → Black-76 via synthetic S = F e^{-rT}.
Exit nonzero on foreign roots, mixed underlyings, required-nulls, empty allowlisted root, schema drift, or (unless --skip-uninvertible) a price outside bounds. --euro-iv pins every invert back to closed-form BSM for an A/B against the American solver.

Skip counts

Rows are omitted rather than written as NaN. ChainCounts is what the canary report echoes. None of these is a FAIL by itself; an empty result after skips is a ChainError.

Count	Omitted because
n_expired	T ≤ 0 at the as-of (settlement instant already passed).
n_no_price	No last and no day close — nothing to invert.
n_stale	Last print older than `--max-trade-age-min` (default 60). No `day_close` fallback. Rows priced off close, and lasts with no trade stamp, are not age-filtered.
n_uninvertible	Price outside no-arbitrage bounds. Default is raise (`--skip-uninvertible` counts and drops). The below-intrinsic subset is also `n_below_intrinsic`.
n_below_intrinsic	Inside uninvertible: a traded price below the style's intrinsic floor. Issue #44's stale-print tail, now mostly caught as `n_stale` first.
n_no_asof	Quote has no snapshot clock — cannot form T.
n_otm	Only when a moneyness filter is set; far-from-the-money names dropped before invert.

What a nonzero exit means

Symptom	What it actually is
foreign root / mixed underlyings / empty allowlisted root	The parquet is not this desk's universe, or `--roots` asked for a name that produced zero rows. Absence is failure.
SchemaError	Extra, missing, or mistyped column vs `ingest.schemas`. The warehouse moved without the reader.
AsOfError	No snapshot/forward file at or before the instant, or an unstamped filename. Wrong `--date` / `--asof-ns`, or the sweep never ran.
ValueError / ChainError on invert	A price outside bounds with the default raise policy — not a NaN. Pass `--skip-uninvertible` only to survey the tail.
empty table	Everything was skipped. Look at the counts above before assuming the partition is missing.