Many volatility strategies rely on estimating or interpolating missing data across strikes and expiries. With our Greeks and Implied Volatility data, you get:

• Calculated Greeks: Delta, Gamma, Vega, Theta and Rho
• Mid-market implied volatilities: At every strike and expiry
• Coverage across 7 global asset classes: Equity Indices, Energy, Metals, Crypto, Interest Rates, FX and Agriculture

This means no more stitching together incomplete surfaces or relying on internal approximations. You’re working with a clean, consistent dataset that reflects the true structure of the market.

Strike-level data lets you zero in on volatility opportunities others may miss:

• Skew trading: Spot divergences between puts and calls with identical deltas, indicating potential mispricing or directional bias.
• Vertical spreads: Analyze how Gamma and implied volatility shift strike to strike, enabling precise construction of bullish or bearish volatility bets.
• Calendar spreads: Compare implied volatilities across maturities at precise Deltas, revealing opportunities arising from term structure shifts.

With two-sided Greeks and implied vols, you can see not only the market consensus – but also how market makers are pricing risk around the bid and ask, offering further insights into potential arbitrage opportunities.

Beyond identifying dislocations, the granularity of strike-level Greeks empowers you to build and manage complex volatility strategies with greater precision.

• Optimized hedging: Improve the accuracy of your Delta, Gamma and Vega hedging, reducing slippage and ensuring your exposure remains within target ranges.
• Custom strategy construction: Design sophisticated option strategies tailored to specific market views, confident in the accuracy of the underlying sensitivity data.
• Risk mitigation: Conduct more thorough stress testing and scenario analysis on your portfolio by understanding the granular impact of various market movements on your positions. This allows for proactive adjustments and better capital allocation.
• Enhanced market making: For market makers, this granular data can significantly enhance pricing engines and quote calibration, allowing for more competitive and accurate bids and offers.

Our Greeks and Implied Volatility product provides both intra-day and historical data, offering invaluable capabilities for rigorous analysis and strategy optimization:

• Robust backtesting: Utilize 5-minute snapshots, end-of-day and extensive historical data to backtest your implied volatility strategies across various market cycles and conditions. Validate your hypotheses and refine your trading rules with confidence.
• Real-time monitoring: Gain continuous insight into market dynamics with intra-day snapshots. This allows for real-time monitoring of your positions' sensitivities and the overall volatility landscape, enabling swift adjustments to your strategies as conditions evolve.
• Model calibration: Feed historical and real-time option sensitivities into your quantitative models to analyze market dynamics and identify persistent edges. Calibrate your pricing and risk models with highly accurate, exchange-derived data.

For volatility traders, an edge often comes down to the quality and immediacy of your market intelligence. Our Greeks and Implied Volatility data product is derived directly from our robust, exchange-traded option data, guaranteeing unparalleled accuracy and a true reflection of market consensus across the deepest and most liquid global markets. This direct access to verified, high-performance sensitivities, seamlessly integrated via our REST API or historical CSV files on DataMine, means you're always working with the clearest picture available to identify dislocations and structure more precise volatility plays.