Derivatives Signal Analytics

The listed options markets are a rich source for market expectations. With their liquidity and transparency, the options markets provide a forward-looking measure of a number of market conditions – from borrowing costs and dividend expectations, to the relationship between equity and credit markets.

Hanweck Signal Analytics delivers a unique set of derived analytics in a concise and readily accessible real-time data feed that can inform trading and risk decisions beyond options trading.

Implied Borrow

By analyzing the put-call parity relationship, Hanweck's Volera engine computes implied hard-to-borrow costs at different forward dates.

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Implied Dividend

By analyzing the forward price assumptions of listed options, Volera implies the timing and size of future dividends.

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Implied Credit

Through an appropriate option pricing model, Volera provides the option market’s estimate of the likelihood of default of a credit at various forward dates.

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Value of Derivatives Signals Data

Transparency

Exchange-traded option markets, with live quotes and tradable prices, are more transparent than many related markets. This affords visibility into related markets that are not exchange traded, and parameters that are more opaque, including securities lending, dividend forecasts, and credit markets.

Market Expectations

Options prices move quickly in response to participant expectations and behavior. This is true of both equity prices generally, and related aspects of equities. For example, market makers in options must adjust pricing in response to borrow pricing they receive from the collateral markets, or they face arbitrage or hedging losses as they transact with other informed participants. Similarly, as expectations of future dividends change, it is quickly reflected in the traded options markets.

Forward Looking

Options prices reflect forward looking, market-based views of volatility, including the short term such as earnings announcements, and the long term such as company and sector forecasts and the anticipated fundamental credit worthiness of a firm.


Derivatives Signal Analytics

Actionable insights on the credit and equities markets.


 

The Hanweck Value Proposition