This report will provide the maximum theoretical call strike price that is financially beneficial for early exercise and the minimum theoretical put strike price that is financially beneficial for early exercise on the current trading day according to a proprietary theoretical valuation model.
This proprietary valuation model uses a business day calendar with intraday time decay along with discrete dividend estimates, proprietary implied borrow rates, and proprietary arbitrage-free smoothed volatility surfaces. Files are labeled with a date-time in Central time.
One file will be delivered at the end of the day, if End of Day interval is chosen. If 15 min interval is selected, files will be delivered every 15 minutes during the day with 15 minutes delayed data.
Fields Include:
- Underlyer
- OptionRoot
- Expiration
- CallExerciseMaxStrike
- PutExerciseMaxStrike
- Updated
File Layout: Specification
Pricing:
| Subscription Period | ||
| Interval | Monthly | Annual |
15-Minute (Intraday) | $1,500 | $18,000 |
| EOD | $1,000 | $12,000 |
Pricing reflects internal usage, please contact [email protected] if you would like to inquire about redistribution.
