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Exchange Data International (EDI) is pleased to announce the launch of its new service: Option Analytics.
Covering over 10 million options and futures contracts and 10,000 issuers, 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, exchange traded funds (ETFs), equity indexes, and futures.
The service includes daily calculations of nine End of Day Options Sensitivities (Greeks - Delta, Gamma, Vega, Theta, Rho, Vanna, Volga, Speed, Lambda) and five End of Day Implied Volatilities and Interpolated Volatility Surfaces. It also provides Historical Volatilities time series for periods from 10 to 180 days.
Clients with access to this service will be able to run back tests simulation of trading strategies, generate risk and regulatory reports on portfolios of options and underlying securities, and perform in depth analysis of options positions.
In addition to implied volatilities and Greeks, the service also provides stock borrow rates implied from options prices for each options expiry. We further use a proprietary process on the implied borrow rates to generate time-series of constant maturity implied borrow curves for each stock.
Custodian banks, hedge funds, and asset managers can use the implied borrow curves to manage risk, make informed decisions on how to manage their equity financing costs, and create alpha generating trading strategies. Long term traders and securities financing desks can use the implied borrow curves to determine what financing rates look like 30, 90, 180, 360 days or longer into the future.
To learn more, you can read through EDI's brochure here.
