The Options Analytics Service uses daily updates and historical data to provide end-of-day analytics and reference data for the U.S. and international exchange-listed options on equities, exchange-traded funds (ETFs), equity indexes and futures
This service can run tests simulation of trading strategies, generate risk and regulatory reports on portfolios of options and underlying securities, perform an in-depth analysis of options positions. Accounting firms can also use this service to their advantage, to help to calculate the amount of dividend equivalent payment and delta test for the IRS Section 871(m).
End-of-Day Options Sensitivities
Standard Greeks: End-of-day Options Sensitivities
The standard Greeks include the more well-known option sensitivities listed below:
All options sensitivities can be calculated based on one of three volatility measures: implied volatility, interpolated implied.
Implied Volatilities
The implied volatilities are also available, which can be used to build an implied volatility service.
Interpolated Volatility Surfaces
The implied volatilities in the previous section are used to build interpolated volatility surfaces.
Historical Volatilities