Exchange Data International (EDI) has announced the release of anew service Options Analytics.
Serge Tchikanda,Ph.D.Options AnalyticsAnalystsays: The Options Analytics Service is an institutional quality, end of day feed for options implied volatilities, volatility indexes, volatility surfaces, and options sensitivity parameters (Greeks) on global markets of exchange-listed options on equities, indexes, currencies, and futures. As an Analytics as a Service feed, the Options Analytics Service eliminates the costly investment in hardware infrastructure and labour typically associated with developing options analytics.
Covering over10 million options and futures contractsand10,000 issuers, the Options Analytics service uses daily updates and historical data to provide end-of-day analytics and reference data forU.Sand international exchange-listed options on equities,exchangetradedfunds (ETFs), equity indexes, and futures.
The serviceincludes daily calculations ofnineEnd of Day Options Sensitivities (Greeks – Delta, Gamma, Vega, Theta, Rho, Vanna, Volga, Speed, Lambda)andfive End of Day Implied Volatilitiesand Interpolated Volatility Surfaces.It also providesHistorical Volatilitiestime seriesfor periods from 10 to 180 days.
Clients with access to this service will be able to runback tests simulation of trading strategies, generate risk and regulatory reportson portfolios of options and underlying securities, andperformin depthanalysisof options positions.
In addition to implied volatilities and Greeks, the service also providesstock borrow ratesimplied from options prices for each options expiry.We further use a proprietary process on the implied borrow rates to generatetime-series of constant maturity implied borrow curvesfor each stock.
Jonathan Bloch, CEO of EDI says: Custodian banks, hedge funds, and asset managerscan use the implied borrow curves to manage risk, make informed decisions on how to manage theirequity financing costs, andcreate alpha generating trading strategies.Long termtraders and securities financing desks can use the implied borrow curves to determine what financing rates looklike 30, 90, 180, 360days or longerinto the future.
