Powered by Hanweck's Volera® engine, Option Intervals delivers model-fitted theoretical option prices and Greeks calibrated to real market conditions. Sophisticated stochastic volatility models capture the full dynamics of the options skew — providing stable, arbitrage-free theoretical values across the entire volatility skew, even in the most challenging environments.

Key Features:

• Theo Prices and Greeks via Theo Vol: All theoretical metrics are derived from model-implied volatilities, ensuring consistency and precision across the entire surface

• Arbitrage-Free per Skew: Theoretical prices and volatilities are fully arbitrage-free, calibrated on a per-skew basis

• Advanced Volatility Models: Incorporates SABR, MJD, and model mixtures to reflect complex skew shapes — including "W"-shaped patterns typically observed around earnings events

• Stable and Reliable Volatilities: Maintains theoretical volatility coverage even when market quotes are wide, spotty, or unavailable

• Wing-Sensitive Volatilities: Captures market smiles and skews more accurately, reflecting realistic behavior at the wings

• Bayesian Time-Series Calibration: Model parameters are calibrated via Unscented Kalman Filter, producing stable volatilities less susceptible to noisy or sporadic quotes

Subscriptions

Intraday files are delayed by 15 minutes after each snapshot is recorded. Underlying prices are not included for indices. Intraday subscriptions include coverage for Regular Trading Hours (RTH) and Global Trading Hours (GTH), while overnight subscriptions cover RTH only. 

Historical

Historical data available from May 2025. Historical orders include coverage for RTH only. 

Reference

File Specification

Exchange Codes

Field Comparison Guide