The financial data can help risk managers, options traders and derivative strategists assess portfolio exposure to risk, trade volatility and model a variety of volatility scenarios.
Options Analytics is designed to calculate real-time, low-latency options analytics (such as ‘greeks’ and volatility measures) on the full universe of Options Price Reporting Authority (OPRA) data, which consists of more than 335,000 options on over 3,500 underlying stocks. The service is designed to perform the calculations in less than 10 milliseconds per option chain, at a rate of approximately 12,000 messages per second.
Options Analytics is based on widely used methodologies and provides users with related data elements including bid, mid and ask option prices as well as underlying stock prices that are utilized in the calculations. The service’s real-time options analytics are powered by the Volera engine, a low-latency, hardware-accelerated solution from Hanweck Associates.
The service is available to clients via PlusFeed, Interactive Data’s low-latency, consolidated global datafeed, through various delivery formats. These formats include: as a deployed service; in a hosted environment in which clients can access the data they subscribe to via leased line or internet; as a co-located service in which firms co-locate their application at one or more data centers; or in an XML feed for integration into and display on clients’ web pages.
Jay Kilberg, managing director of feed solutions at Interactive Data, said: “The process of calculating options analytics can often be highly time consuming and accompanied by a significant investment in technology resources. Options Analytics is an automated service that leverages hardware acceleration to help options traders, risk managers and portfolio managers obtain analytical data that is necessary to assess risk as well as model and trade volatility.”
Gerald Hanweck, founder and principal partner of Hanweck Associates, said: “Interactive Data’s service, which combines its depth of market data coverage with our high-performance computing technology for options, can provide the ideal options analytics capabilities for traders, risk managers and strategists.”
