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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.

This report provides realized volatility for multiple tenors for optionable underlyers and excludes the variance associated with earnings announcements. The price variance associated with each earnings event that occurred in the respective lookback period of the calculated tenor is excluded from the realized volatility calculation. 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.

This report provides parameters which define the volatility surface per optionclass calculated by a proprietary Volatility Surface Fitter. This proprietary valuation model uses a business day calendar with intraday time decay along with discrete dividend estimates, proprietary implied borrow rates, and a proprietary arbitrage-free smoothed volatility surfaces. Files are labeled with a date-time in Central time.

This report provides the implied price move associated with the upcoming earnings event using a proprietary methodology. In certain cases, market pricing may be such that an implied move cannot be calculated and a value of blank is acceptable. This proprietary valuation model uses a business day calendar with intraday time decay along with discrete dividend estimates, 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.

This report provides the ratio of normal options trading activity currently taking place in an options class when normalizing for vega exposure, time of the day and typical volume distributions throughout the day. A ratio of 1.0 means that activity is exactly typical for the option class given the time of the day. Vega calculations come from a proprietary 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.

This report provides the implied borrow rate per option class as calculated by a proprietary Implied Borrow Solver. The implied borrow rate can reflect hard to borrow conditions in the underlyer, inconsistencies with expected dividends among market participants or other market conditions that might influence put and call pricing for a given strike. 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.

This report is a superset of proprietary volatility analytics including implied volatilities per expiration and constant maturity, realized volatilities, Event free implied and realized volatilities, earnings information and much more. This proprietary valuation model uses a business day calendar with intraday time decay along with discrete dividend estimates, 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.