Quantitative researchers often face a significant hurdle: obtaining high-quality, standardized Greeks across the vast universe of options. The traditional approaches typically involve:

• Internal calculations: Relying on proprietary models to calculate Greeks from raw option prices, which can introduce inconsistencies and model risk.
• Interpolation and estimation: Filling in data gaps across strikes and expiries can potentially mask true market behavior or introducing noise.
• Limited coverage: Scarcity of comprehensive Greeks across diverse asset classes can force researchers to focus on a narrow scope or source data from multiple disparate vendors.

These limitations can compromise the integrity of research findings, reduce the effectiveness of trading strategies and ultimately, limit competitive advantage.

Our Greeks and Implied Volatility product directly addresses these pain points by providing:

• A comprehensive Greeks suite: Access precise Delta, Gamma, Theta, Vega and Rho calculated across all strikes with two-sided markets and expiries. This eliminates the need for internal derivations, ensuring consistency and accuracy.
• Global multi-asset class coverage: Explore research opportunities across Agriculture, Metals, Energy, Interest Rates, Equities, FX and Crypto. This broad scope allows for cross-asset analysis and the identification of inter-market relationships previously inaccessible.
• Intra-day and historical data: Utilize 5-minute snapshots for granular intra-day analysis, along with end-of-day and extensive historical data for rigorous backtesting, model validation and long-term trend analysis. This depth of data supports sophisticated research methodologies.

With this superior dataset, quantitative researchers can unlock unprecedented capabilities:

• Feed high-performance sensitivities into models: Integrate highly accurate, exchange-derived option sensitivities directly into your proprietary quantitative models. This foundational improvement enhances the reliability of your pricing, risk and strategy models, leading to more robust outcomes.
• Analyze market dynamics with granularity: Gain a deeper understanding of how option sensitivities evolve across different market conditions, asset classes and time horizons. Identify subtle shifts in implied volatility surfaces, skew and term structures that can signal emerging opportunities or risks.
• Identify and exploit edge: With precise strike-level Greeks, researchers can more accurately identify dislocations, arbitrage opportunities and inefficiencies in the market. This granular view allows for the development of highly targeted volatility trading strategies and improved alpha generation.
• Improve risk modeling and hedging precision: Enhance your sensitivity models and scenario planning by leveraging accurate Greeks. This leads to more precise risk assessments, better understanding of portfolio exposures and the ability to implement more effective hedging strategies.
• Rigorously backtest and validate strategies: Leverage the extensive historical data to backtest implied volatility strategies with unparalleled detail. This rigorous validation process helps confirm the robustness and profitability of your quantitative strategies before deployment.

For quantitative researchers, the integrity of your models and the reliability of your insights are paramount. The Greeks and Implied Volatility product is built on our robust, exchange-traded option data, providing the foundational quality and consistency your research demands. We offer unmatched data integrity, directly sourced from the world's leading derivatives marketplace across seven global asset classes, ensuring your backtests are rigorous and your model calibrations are precise. Access this comprehensive, standardized dataset effortlessly via our REST API for real-time integration or through historical CSV files on DataMine to fuel your cutting-edge analysis.