Option Analytics Service

Coverage

Global

Frequency

Daily

Historical Data

Customization

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 in depth analysis of options positions. Accounting firms can also use this service to their advantage, to help calculating the amount of dividend equivalent payment and delta test for the IRS Section 871(m).

End-of-Day Pricing

  • 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.

Implied Dividend Yield and Implied Borrow Rate

In addition to implied volatilities and Greeks, the Options Analytics Service also provides implied dividend yields and implied borrow rates derived from US and International exchange-listed options on stocks, ETFs, and equity indexes.

  • Extensive coverage of US and International markets of exchange-listed options on stocks, ETFs, and equity indexes.
  • End-of-day and historical time-series available.
  • Security master that includes discrete dividend data and updates for corporate actions are used to support the calculations.

 

Data Delivery

Delivery options

Online
Amazon S3
FTP

Delivery format

CSV
XLS
TXT

Coverage

  • Over 10 million option and future contracts and 10,000 issuers .
  • Pricing for U.S and international exchange-listed equity, ETFs, index and futures options

For the Frequently Asked Questions on Options Pricing and Settlement, click here