The Option Analytics Service delivers daily updates and historical data for end-of-day analytics and reference data on U.S. and international exchange-listed options across equities, ETFs, equity indexes, and futures. This service facilitates the simulation of trading strategies, generation of risk and regulatory reports for option portfolios and underlying securities, and in-depth analysis of options positions. It is also utilized by accounting firms for calculating dividend equivalent payments and performing delta tests for IRS Section 871(m) compliance. The service includes end-of-day composite pricing, NBBO bid/ask quotes, and standard Greeks (Delta, Gamma, Vega, Theta, Rho) calculated based on implied volatility. It also provides closing and interpolated implied volatility surfaces, as well as historical volatilities over various time periods. Data is delivered via online, Amazon S3, SFTP, or Snowflake in CSV, XLS, TXT, or XML formats, covering over 10 million option and future contracts from 10,000 issuers.

Features & Benefits

• End-of-Day Options Sensitivities: Provides composite pricing, NBBO quotes, and standard Greeks (Delta, Gamma, Vega, Theta, Rho) for U.S. and international options.
• Implied Volatility Surfaces: Offers closing and interpolated implied volatility surfaces by contract, expiry, strike, and put/call, including price-relative and delta-relative surfaces.
• Historical Volatilities: Calculates time series of historical volatilities from 10 to 180 days, considering open, high, low, close, and opening price jumps.
• Strategy Testing & Reporting: Enables simulation of trading strategies and generation of risk and regulatory reports for portfolios.
• Tax Compliance Support: Assists accounting firms in calculating dividend equivalent payments and delta tests for IRS Section 871(m).