The Options Analytics Service uses daily updates and historical data to provide end-of-day analytics and reference data for U.S. and international exchange-listed options on equities, exchanged-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

• End-of-Day composite pricing includes open, high, low, close, volume and open interest. NBBO bid/ask quotes are snapped at the close of the market.
• Pricing for equities, ETFs, indexes, and futures with exchange-listed options. End-of-Day composite pricing includes open, high, low, close and volume. Composite bid/ask quotes are snapped at the close of the market.

Standard Greeks: End-of-day Options Sensitivities

The standard Greeks include the more well-known option sensitivities listed below:

• Delta: Sensitivity of options price with respect to underlying price.
• Gamma: Sensitivity of options Delta with respect to underlying price.
• Vega: Sensitivity of options price with respect to implied volatility.
• Theta: Sensitivity of options price with respect to time (per day).
• Rho: Sensitivity of options price with respect to interest rate.

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.

• Closing implied volatilities
• Listed implied volatilities surfaces by contract: expiry, strike and put/call
• Price-Relative (moneyness) Surfaces: Strike relative to underlying price (100 = at the money)
• Delta-Relative Surfaces: Call-equivalent delta (50 = at the money)

Interpolated Volatility Surfaces

The implied volatilities in the previous section are used to build interpolated volatility surfaces.

• Interpolate volatilities uses closing implied volatilities
• Price-Relative (moneyness) Surfaces: Strike relative to underlying price (100 = at the money)
• Delta-Relative Surfaces: Call-equivalent delta (50 = at the money)

Historical Volatilities

• Time series periods from 10 days up to 180 days.
• Close to Close historical volatilities time series.
• Open-High-Low-Close historical volatilities time series, which take into account the underlying opening price jumps and drift.

We also offer Woodseer Dividend Forecasting, to obtain up-to-date information on the dates and payments of thousands of securities across 1000+ indices / 100+ countries.