Market Data

Tabb Forum Interview: Implied Volatility and Greeks Data Feed from ISE

Watch Greg Crawford of the Tabb Group as he interviews Jeffrey Soule, Head of Market Data at ISE and Mike Masiello, Head of North America Sales at BT Radianz about the new ISE Implied Volatility and Greeks Feed.

The Implied Volatility and Greeks Feed is a real-time streaming, multicast data feed delivering tick-level options analytics:

Real-time, low-latency implied volatilities and Greeks feed covering all OPRA equities, indexes and ETF options (not just ISE data)
Industry standard options pricing methodologies:

Binomial-tree model to handle both American- and European-style exercise
Discrete dividend forecasts from top-tier providers
Real-time interest rates and intraday time decay
Proprietary hard-to-borrow rates implied from the options market
Industry standard data feed format for ease of integration with trading and risk management applications, ticker plants and managed-solutions providers
Available from leading managed-solution and network providers, or direct from ISE via cross connect
Powered by Hanweck Associates’ award-winning Volera™ hardware-accelerated options analytics engine

Download the sample here.

The attached spread sheet has multiple tabs with the following samples of data:

Quote data sample: This feed provides implied volatilities for all OPRA quotes calculated at the bid, ask and mid-point prices, and Greeks calculated on the mid-point prices. The OPRA bid, bid size, bid time, ask, ask size, ask time and exchange identifier are highlighted in orange and are fee liable. The underlying bid, ask and mid-point price are highlighted in blue and are fee liable.

Trade data sample: This feed provides implied volatilities for all OPRA trades calculated on the trade price. The OPRA trade price, trade time, trade size and exchange identifier are highlighted in orange and are fee liable. The underlying bid, ask and mid-price and quote time are highlighted in blue and are fee liable.

Yield curve sample: This feed shows the current interest rate time horizon and interest rate used for the most recent calculations of derived data.

Bandwidth

Data feeds are multicast in an A-feed / B-feed format, similar to OPRA, and we recommend redundant connections. Each feed has a separate set of IP addresses, which are in the appendix of the IV & Greeks Programmer’s Guide, which is available upon request to marketdata@ise.com. We also provide separate redundant test environments for development and testing.

Connectivity

There are multiple ways to access this data feed as follows:

Managed Service Providers

There are managed service providers and vendors that can provide you with connectivity.

Co-location

Connecting to the IV & Greeks Feed at the primary and back-up data center is another option for accessing this feed. If you are already located in one of these data centers, you can order a cross connect directly from Equinix (primary-Secaucus/back-up-350 E. Cermak). A choice of 1GB or 10GB cross connects are available and we recommend redundant connections.

Metro-Ethernet Providers

There are also a number of metro-Ethernet providers that can provide point-to-point connections to our data centers including Sidera, Nexgen, Verizon and AboveNet.

ISE Implied Volatility and Greeks Feed Subscription Fees

All fees are subject to a filing with the SEC. Subscribers can chose from one the following four subscription levels based for their use of the Implied Volatility and Greeks Feed (definitions are below fees):

Option 1:
Per Business Unit¹ – Professional Subscribers² – Internal Distribution Only – Variable Number of Controlled Devices³

•  Fixed Monthly Fee - $5,000 (includes first 50 controlled devices)
• Variable Month Feed - $50 per controlled device in excess of the first 50 devices

Option 2:
Managed Data Access Distributors (MDAD)⁴ - Professional Subscribers² – External Distribution – Variable Number of Controlled Devices³ 

• Fixed Monthly Fee - $1,500
• Variable Month Feed - $50 per controlled device 

Option 3:
Managed Data Access Distributors (MDAD)⁴ – Non-Professional Subscribers² – External Distribution – Variable Number of Controlled Devices³

• Fixed Monthly Fee - $1,500
• Variable Month Feed - $1 per controlled device 

Option 4:
Managed Data Access Recipient (MDAR)⁵ – Professional Subscribers² – External Distribution via Application Programming Interface (API) Access – Per Application

Definitions
¹Business Unit represents a separate and distinct business group at a Subscriber firm that has access to the Implied Volatility and Greeks Feed i.e. market making, risk management, electronic trading.
²A Subscriber is any firm that receives the Implied Volatility and Greeks Feed directly from ISE or indirectly through a redistributor and then distributes it either internally or externally. A redistributor includes market data vendors and connectivity providers such as extranets and private network providers.
³A Controlled Device is any display or device that a Subscriber or Managed Data Access Distributor of the Implied Volatility and Greeks Feed permits to access the information in the Implied Volatility and Greeks Feed.
⁴Managed Data Access Distributor is a subscriber of the Implied Volatility and Greeks Feed that permits access to the information in the feed through a Controlled Device or as a data feed solution, including an Application Programming Interface (API) or similar automated delivery solutions with only limited entitlement controls (e.g., usernames and/or passwords) to a recipient of the information.
⁵Managed Data Access Recipient is a subscriber to the Managed Data Access Service for the purpose of accessing the Implied Volatility and Greeks Feed offered by a Managed Data Access Distributor.
⁶Managed Data Access Service is any retransmission data product containing the Implied Volatility and Greeks Feed offered by a Managed Data Access Distributor.

How to Order: Subscriber Agreement and Order Form

Subscribers will need to complete a Subscriber Agreement and Order Form to access the Implied Volatility and Greeks Feed. To subscribe, simply:

Download both the Subscriber Agreement and Order Form (Acrobat Standard v6.0 or higher users can type directly into the forms)
Complete and sign both forms
Email the signed forms to ISE or fax the signed forms to (212)509-3955

How to Change Number of Reported Devices: Exhibit A (Monthly)

Subscribers can adjust the number of controlled devices on a monthly basis by simply completing and returning the Implied Volatility and Greeks Feed Exhibit A:

1. Download the Exhibit A (Acrobat Standard v6.0 or higher users can type directly into the form)
2. Complete and sign the form
3. Email the signed form to ISE or fax the signed forms to (212)509-3955

Please contact Jeff Soule at (212) 897-8160 with any questions.

ISE Implied Volatility and Greeks Feed - Stemming the Tide of Growing Market Data Message Rates

Today, the OPRA and US level 1 equity markets generate peak rates of 4 million quotes and trades per second, a rate that is projected to double within a year. Traders, brokers, risk managers and Independent Software Vendors (ISVs) need high-quality, low-latency options analytics to stay competitive - without incurring the costs associated with collecting, storing and analyzing the growing market data available.

Jeff Soule, Head of ISE Market Data, and Dr. Gerald Hanweck, Jr., CEO of Hanweck Associates, share insights into this award-winning technology that financial industry participants are successfully using to significantly enhance the speed and efficiency of these complex numerical calculations.