Market Data

Implied Volatility & Greeks

The Implied Volatility and Greeks Feed delivers a streaming data feed of real-time, low-latency implied volatilities and risk parameters for the entire universe of US equity, index and ETF options disseminated by the Options Price Reporting Authority (OPRA). The Implied Volatility and Greeks Feed is the ideal solution for traders, brokers, risk managers and ISVs who need high-quality, low-latency options analytics as a cost-effective exchange data feed.

Large Market-Data Message Rates

Today, the OPRA and US Level 1 equity markets generate 4 million quotes and trades per second, a rate that is projected to double within a year. By delivering computationally intensive options analytics as a data feed, the Implied Volatility and Greeks Feed eases the load on subscribers’ market data systems and greatly reduces the cost of computing infrastructure.

Options Analytics as a Service

The Implied Volatility and Greeks Feed provides options analytics as a service through a fully managed data feed solution. The Implied Volatility and Greeks Feed allows subscribers to focus on their trading and risk management, confident that the complex market data and computational challenges are in capable hands. As a leading US options exchange – and the first all electronic options exchange in the US – ISE Holdings brings years of experience processing and managing the large amounts of market data and ultra-high message rates in today’s options markets.

The Implied Volatility and Greeks Feed is powered by Hanweck's high-performance, low-latency Volera™ engine. 

Details/Sample Data

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

ISE IMPLIED VOLATILITY AND GREEKS FEED SAMPLE

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/Connectivity
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.

IV & Greeks FeedBandwidth Requirement (to each Data Center)
Option Quote IV & Greeks 200 Mbps
Option Trades IV & Greeks 5 Mbps
Interpolated IV Surfaces 100 Mbps
Interest Rate Curve 5 Mbps
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.

CompanyContactPhone
BT Radianz Sales - Walt Terbrusch
Support
(212) 205-1995
(877) 228-1497

 

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.

 

How to Order
ISE Implied Volatility and Greeks Feed Subscription

Please contact Hanweck's sales team.

Webinar Archive
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.

 

FAQs
Can you please describe the content this feed provides?

 

We offer a real-time, low latency data feed of implied volatilities and Greeks data. This includes the implied volatility calculated on the bid, ask and mid price as well as the delta, gamma, theta, rho, and vega calculated on the mid price.

Optional content that subscribers can request, which is fee liable and may require pre-approval, includes:

  • OPRA: bid, bid size, bid time stamp, ask, ask size, ask time stamp
  • Underlying exchange: bid, bid exchange, ask and ask exchange
Does this feed support all OPRA options or is it just those traded on the International Securities Exchange?

Yes this feed supports all options that are delivered over the OPRA feed. Certain real-time exchange content may require additional fees.

Who are the typical subscribers for this data?

This institutional quality data is ideal for traders, brokers, market makers, risk managers and independent software vendors that need a cost effective source of high quality derived data.

Is it really possible to calculate low-latency derived data with the OPRA messages rates exceeding 4 million messages per second?

Yes it is possible to calculate low latency derived option data using the Volera Engine, which is a hardware-accelerated platform developed by our partner that can recalculate implied volatilities and Greeks on an a full option chain in just milliseconds.

I am confused by the various models and input variables that can be used to calculate implied volatility and Greeks. What makes you confident you are doing it correctly?

There are complexities with generating this type of derived data and we have a quantitative team headed up by a PhD and former Chief Equities Derivatives Strategist at JP Morgan that support this offering. We provide full transparency to our calculations, and the team uses a binomial tree model that handles American-style and European-style options. The input variables include real-time option and underlying prices, as well as a real-time interest rate curve, discrete dividends from top tier providers and hard to borrow rates implied from the options market. We are happy to arrange a quantitative discussion. Please send your request to marketdata@ise.com.

I already receive this data from my executing broker/vendor so why should I consider another source?

As an exchange, we are producing institutional-quality data, and we are a broker/vendor neutral source, which removes customers’ concerns about conflicts of interest when making trading decisions based on derived data.

Is there a programmer’s guide available for this feed?

Please complete an NDA and submit your request for the programmer’s guide to marketdata@ise.com.

Does this feed update dynamically when a new option series is added intraday?

Yes. Once OPRA adds a new series during the day, ISE Implied Volatility and Greeks Feed automatically starts updating all derived real-time values. In addition, any other intraday changes can be manually adjusted and activated upon completion of the adjustment. 

Do you recalculate the derived values (implied volatility and greeks) for every change in the option or underlying?

 

First of all, a change in the size for the option or underlying does not trigger a recalculation of the derived data.

We use the OPRA NBBO price as the trigger for the recalculations of the derived data and for any change in the options price, BID or OFFER, we recalculate the derived data.

Our recalculations for the underlying prices is based on the mid-price change of the underlying and we recalculate the derived data when the mid-point price changes by more than $.02 for underling prices under $100. For underlying prices over $100, we recalculate the derived data every time the mid-price changes by more than 2 basis points. For example it would take a $.10 change in the mid-price of a stock trading at $500 to trigger a recalculation of the derived data.

In addition, we verify there has been a price update at least once every 5 minutes for all securities.

Contact Us

For more information about, Implied Volatility & Greeks please contact Hanweck's sales team.