Key Benefits

 

Coverage

  • Global Coverage: Over 10 millions options contracts from more than 40 exchanges, 35 countries, and 20 currencies

  • Multiple Asset Classes: Extensive and comprehensive coverage of exchange-listed options on equities (stocks, ETFs, CEFs, DRs, indexes) currencies, and futures.

  • Custom options analytics available on demand for OTC and Exotic options.


Analytics

  • Advanced Analytics: Built using advanced options analytics methodologies with full transparency on all components used in the models.

  • Volatility Analytics: including call and put implied volatilities, interpolated volatility surfaces, volatility indexes, and historical volatilities.

  • Greeks: Over 15 options sensitivities parameters (Greeks) including first, second, and third order Greeks.

  • Scenario Analysis: Theoretical options Greeks and profit/loss scenarios for complex multi-leg options strategies.


Data

  • Reference and Market Data: Extensive and comprehensive reference and market data on options and their underlying securities

  • Security Master: Use the service reference data to keep your local underlying securities, dividend, and options masters synchronized and accurate.

  • Corporate actions: for options and underlying securities


Pricing Model

  • Options Modeling: Industry Standard Partial Differential Equations (PDE) Model for European and American Options.

  • Interest Rates: Term structure of interest rates (spot and forward curves) calculated from US Treasury bond prices.

  • Cost of Carry: Future dividends and stock-borrow rates (together known as “cost of carry”) are implied from put and call options prices.

  • Dividend: Dividend forecast model including ex-dates, frequency, and gross amounts.


Delivery

  • REST API: API available to programmatically download data within client's proprietary algorithms.

  • FTP Download: Bulk file download of options implied volatilities, Greeks, and other analytics.

  • Cloud Drive: Virtual Cloud Drive available for immediate access to data and analytics.

  • Web Interface: Easy to use web interface for options analysis and on-demand data retrieval.

  • Multiple Formats: Files available in TSV, CSV, JSON, and XML formats


Applications

  • Risk: Generate risk reports on portfolios of options and underlying securities.

  • Simulation: Run historical back tests of trading strategies.

  • Trading: Perform in depth analysis of complex options positions.

  • Scanning and Screening: Search for options strategies based on volatility and Greeks.

  • Liquidity: Seamlessly identify liquid and illiquid options based on volume and bid/ask spread.

  • Integration: Easily embed options analytics in your websites, mobile apps, spreadsheets, and other proprietary applications.

  • Development Speed: Dramatically reduce time to market for applications that need options analytics.