Implied Dividend

Family: Stat-arb

What it computes

Emits ImpliedDividendTick ticks carrying dividend_pv, dividend_yield off chain + spot + r.

Available on the live, historical, and replay drives.

Methodology

Parity-implied PV(div).

See the methodology overview for the citation index.

Inputs

Chain + spot + r.

Key outputs

Dividend_pv, dividend_yield. The full field set is in the tick table below.

Output schema (ImpliedDividendTick)

The field / type / description table below is regenerated from the ImpliedDividendTick Rust source by docs-site/scripts/inject-doc-tables.ts on every npm run docs:build. Do not hand-edit between the sentinels.

Field	Type	Description
root	Arc<str>	Underlying symbol.
date	i32	Trading session date (YYYYMMDD).
ms_of_day	i32	Milliseconds since midnight at emission time.
expiration	i32	Expiration date (YYYYMMDD).
dte	i32	Calendar days from date to expiration.
spot	f64	Spot price used in the parity arithmetic. f64::NAN when no underlying trade has landed yet on the session.
rate	f64	Risk-free rate used in the parity arithmetic. f64::NAN when the rate provider returned None.
t_years	f64	Year-fraction time-to-expiry.
k_star	f64	K* — strike at which `
n_strikes_avg	u32	Number of strikes admitted into the band average. 1 means only K* itself contributed (sparse chain).
implied_dividend_pv	f64	Implied present-value of dividends paid between date and expiration (USD). Median of the per-strike parity readings inside the ATM band. f64::NAN when no strike admitted.
implied_dividend_yield	f64	Annualised continuous dividend yield: q = D / (S · T). f64::NAN when spot / T are non-positive or the PV reading is itself NaN.

Configuration (ImpliedDividendParams)

Regenerated from the ImpliedDividendParams Rust source — see the note above.

Field	Type	Description
contracts	SecurityFilter	Contracts the subscription tracks.
rate	Arc<dyn RateService>	Risk-free rate provider — used in the parity discount factor.
venues	ExchangeFilter	Exchange / venue admission policy.
emit	EmitPolicy	Emission policy. Defaults to [EmitPolicy::OnExchangeInterval] at one row per second per (symbol, expiration): the parity-implied dividend curve is a property of the whole chain snapshot, so the per-second event-time cadence carries the full signal without paying a chain sweep per inbound quote. OnEveryTick fires per admitted Quote; OnClose accumulates and fires on watermark.
band_radius	u8	Half-width of the ATM strike band, in listed strikes either side of K*. Default [DEFAULT_BAND_RADIUS] (2 → up to 5 strikes contribute).
spot_cache	SpotPriceCache	Shared spot price cache.
calendar	Arc<dyn MarketCalendar>	Market calendar provider.

Example

Python

import kairos_thetadata as kt

client = kt.Client.connect(kt.Credentials.from_env())

def on_event(row):
    print(row)

sub = client.live().implied_dividend(["SPX"]).on_event(on_event)
sub.wait(timeout_seconds=60.0)

TypeScript

import { Client, Credentials } from "kairos-thetadata";

const client = await Client.connect(Credentials.fromEnv());

await client
  .live()
  .impliedDividend(["SPX"])
  .onEvent((tick) => {
    console.log(tick);
  });

Rust

// Cargo.toml:
//   kairos = "0.1"

use kairos::{Client, ImpliedDividendRow};

# fn run() -> Result<(), Box<dyn std::error::Error>> {
let client = Client::connect(("me@example.com", "secret"))?;

let sub = client
    .live()
    .implied_dividend(["SPX"])
    .on_event(|row: &ImpliedDividendRow| println!("implied_dividend_yield={} k_star={}", row.implied_dividend_yield, row.k_star))?;
// ... later ...
sub.unsubscribe();
# Ok(())
# }