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Exchange Data International Announces Options Analytics Service

The new service gives users nine End of Day Options Sensitivities, five End of Day Implied Volatilities and Interpolated Volatility Surfaces.

London, 8th February 2018:

Exchange Data International (EDI), is pleased to announce the release of a new service Options Analytics. Serge Tchikanda, Ph.D. Options Analytics Analyst says: The Options Analytics Service is an institutional quality, end of day feed for options implied volatilities, volatility indexes, volatility surfaces, and options sensitivity parameters (Greeks) on global markets of exchange-listed options on equities, indexes, currencies, and futures. As an “Analytics as a Service” feed, the Options Analytics Service eliminates the costly investment in hardware infrastructure and labour typically associated with developing options analytics. Covering over 10 million options and futures contracts and 10,000 issuers, 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, exchange traded funds (ETFs), equity indexes, and futures.

The service includes daily calculations of nine End of Day Options Sensitivities (Greeks – Delta, Gamma, Vega, Theta, Rho, Vanna, Volga, Speed, Lambda) and five End of Day Implied Volatilities and Interpolated Volatility Surfaces. It also provides Historical Volatilities time series for periods from 10 to 180 days. Clients with access to this service will be able to run back tests simulation of trading strategies, generate risk and regulatory reports on portfolios of options and underlying securities, and perform in depth analysis of options positions. In addition to implied volatilities and Greeks, the service also provides stock borrow rates implied from options prices for each options expiry. We further use a proprietary process on the implied borrow rates to generate time-series of constant maturity implied borrow curves for each stock.

Jonathan Bloch, CEO of EDI says: “Custodian banks, hedge funds, and asset managers can use the implied borrow curves to manage risk, make informed decisions on how to manage their equity financing costs, and create alpha generating trading strategies. Long term traders and securities financing desks can use the implied borrow curves to determine what financing rates look like 30, 90, 180, 360 days or longer into the future.”

Media Contact: Melissa Pereira, Dario Caputo [email protected] [email protected] Tel: 0 207 324 0020

About Exchange Data International: Exchange Data International (EDI) helps the global financial and investment community make informed decisions through the provision of fast, accurate timely and affordable data reference services. EDI’s extensive content database includes worldwide equity and fixed income corporate actions, dividends, static reference data, closing prices and shares outstanding, delivered via data feeds and the Internet. The firm covers all major markets with special emphasis on emerging and frontier markets that are Africa, Asia, Far East, Latin America and Middle East. Headquartered in the United Kingdom, EDI has staff in Canada, India, Morocco, South Africa and the United States. For more information about EDI visit www.exchange-data.com.