Option Analytics Service
The Options Analytics Service uses daily updates and historical data to provide end-of-day analytics and reference data for U.S and international exchange-listed options on equities, exchanged traded funds (ETFs), equity indexes, and futures. The service can be used to run back tests simulation of trading strategies, generate risk and regulatory reports on portfolios of options and underlying securities, perform in depth analysis of options positions.
Data
Standard Greeks - Delta, Gamma, Vega, Theta and Rho
Extended Greeks - Vanna, Volga, Speed and Lambda
Implied Volatilities - listed implied volatilities surfaces by contract: expiry, strike, and put/call
Interpolated Volatility Surfaces - interpolated volatility surfaces built from implied volatilities
Exchange Data International
The Options Analytics Service is offered and delivered by our data partner Exchange Data International.