Coverage: To compliment our end-of-day options prices, DIH offers derived analytics for options from the Options Price Reporting Authority (OPRA). Our options analytics include...
End-of-Day Pricing Information
Options Sensitivities (Option Greeks):
Implied Volatility and Interpolated Volatility Surfaces:
Historical Volatility:
Implied Dividend Yield & Implied Borrow Rate:
We generate our Options Analytics using the industry standard Partial Differential Equations (PDE) Model for European and American Options. The term structure of interest rates is calculated from US Treasury bond prices. Also, future dividends and stock-borrow rates (together known as “cost of carry”) are implied from put and call options prices.
In addition to end-of-day pricing and options analytics, DIH also provides the relevant options contract & underlying reference data, including:
End-of-Day Pricing Information
- Options pricing includes open, high, low, close, volume and open interest
- Underlying pricing includes open, high, low, close, and volume
- Bid / ask quotes are snapped at the close of the market
Options Sensitivities (Option Greeks):
- 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
- Vanna: Sensitivity of options Delta with respect to implied volatility
- Volga: Sensitivity of options Vega with respect to implied volatility
- Speed (gamma of gamma): Sensitivity of options Gamma with respect to underlying price
- Lambda: Relative change in options price over relative change in underlying price
Implied Volatility and Interpolated Volatility Surfaces:
- Listed surfaces by contract: expiry, strike, and put/call
- Closing mid 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)
- Expiries and Constant Maturity Surfaces from 1 week up to 2 year
Historical Volatility:
- 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
Implied Dividend Yield & Implied Borrow Rate:
- For each options expiry, the implied dividend yields and implied borrow rates are derived so as to satisfy put- call parity for European-Style options or maintain consistent implied volatility surfaces for American-Style options.
- Time-series of constant maturity implied dividend and borrow curves are available for maturities spanning 30, 90, 180, 360 days or longer into the future.
- Term structure of implied forward prices calculated using the implied dividend yields and borrow rates are available.
We generate our Options Analytics using the industry standard Partial Differential Equations (PDE) Model for European and American Options. The term structure of interest rates is calculated from US Treasury bond prices. Also, future dividends and stock-borrow rates (together known as “cost of carry”) are implied from put and call options prices.
In addition to end-of-day pricing and options analytics, DIH also provides the relevant options contract & underlying reference data, including:
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Note: Options contract history (including underlying security, deliverable units, strike multipliers) are retained when a corporate action results in an options contract adjustment. A unique identifier is assigned to each security and remains unchanged through contract adjustments and corporate actions such as stock splits and ticker/name changes.
History: As far back as November 2016. <<download coverage details>>
Updates: Options analytics are available for download the next day by 8am (GMT).
Delivery: Files are delivered as delimited text files via ftp download.
Pricing: Data costs depends on several inputs, including:
- For which companies do you want data (the complete data set, or a specific list of companies)
- How much history do you want
- Do you want updates going forward
- Is the data for internal use only, or do you wish to redistribute any of the data
Contact us for more information.
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