Implied Volatilities and Greeks
Real-time analytics outputs of the highest quality and integrity.
Cboe Hanweck produces real-time implied volatilities and Greeks — Delta, Gamma, Theta, Vega & Rho — on the global listed options markets. This cutting-edge technology is already available throughout the entire suite of Cboe Data and Access Solutions.
- 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.
- Cboe Hanweck's hardware-accelerated calculation engine computes implied volatility data in real-time including OPRA.
- Implied borrow calculation is done in real-time, using a proprietary digital signal filtering process.
In addition to analytics on individual contracts, Cboe 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.
If you need a customized volatility model or prefer to tailor data and model inputs, Cboe Hanweck can configure a unique, dedicated instance for your business needs.
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