Implied Volatilities & Greeks

Hanweck Options Analytics are computed in real-time and delivered "as-a-service," enabling you to manage risk more efficiently.

Options Analytics are distributed as a data feed to allow for easy integration with your existing environment. Hanweck's offering covers the entire universe of listed equity and futures options products globally. Data inputs are cleaned and unified by Hanweck's team of domain experts to ensure analytic outputs are of the highest quality and integrity.

Hanweck Options Analytics is your “as-a-service” solution for real time, data-enabled, global, risk analytics  covering options on equities, ETFs, indices, and futures.

Learn about the Hanweck value proposition →

Implied Volatilities and Greeks

Hanweck produces real-time implied volatilities and Greeks - Delta, Gamma, Theta, Vega & Rho - on the global listed options markets.

Industry-standard models

• Industry-standard binomial tree with discrete dividends allows for accurate pricing of both European and American exercise styles.
• Intraday time decay more accurately models short-dated options.

Highest quality inputs

• Discrete dividend forecasts from top-tier providers.
• Corporate action adjusted reference data also updated in real-time.
• Implied hard-to-borrow costs to ensure put-call parity.

Real-time

• Hanweck’s hardware-accelerated Volera® calculation engine computes implied volatility data in real-time even for markets as big as OPRA.
• Implied borrow calculation is done in real-time, using a proprietary digital signal filtering process.

Volatility Surfaces

In addition to analytics on individual contracts, Hanweck Options Analytics computes standard volatility surfaces for computing theoretical option prices and more general purpose volatility modeling. Expressed as standard constant maturity tenors with several different money-ness factors, risk managers can be certain to have a continuous set of volatility data points. Our constant maturity approach interpolates volatility points that fall between stated option expiries.

• Volatility points are calculated on both delta-relative and price-relative (e.g., % of spot) perspectives.
• Delta- and price-relative points are also available at listed option expiries.
• Stochastic volatility models such as SABR are also available.

Customizable Instances

If you need a customized volatility model, or prefer to tailor data and model inputs, Hanweck can configure a unique, dedicated instance of Hanweck Options Analytics.

• Customize your option pricing model.
• Customize your model inputs — borrow rates, dividends, etc.
• Customize your surface smoothing, clipping and filtering preferences.
• Choose from calendar-day or business-day time decay.