Transcript Presentation Title here. use soft Returns to avoid graphic

OPTIONS ANALYTICS
Tom Watson
Product Manager
Global Market Data
October 10, 2012
OPTIONS ANALYTICS
Options Analytics is a low-latency, ready-to-use data feed
providing calculated analytical content for options and equity
markets.
Δ
The content includes:
 Implied Volatility
 Option Greeks
 Underlying Market Data
υ
Greeks
Γ
Ρ
Θ
2
MODEL & FEED
Options Analytics uses GPU-based hardware to run a binomial
tree pricing model.
Currently, Options Analytics supports the U.S. Equity Options
market. Additional asset classes and geographies will be added
according to customer demand.
 Feed Format: NYSE Euronext’s proprietary real-time data format (XDP)
 Bandwidth: 300 mbps approx
 Calculation Latency: 10-20 milliseconds approx (from receiving the underlying
instrument tick to the data being published)
 Available Now
3
INPUTS & OUTPUTS
The inputs include…
The outputs include…
 Consolidated Equity and
Options Prices
 Implied Equity Volatility
 Dividend Assumptions from
market leading vendors… plus
more
 Borrow Rates implied from
options markets for customfit of every instrument,
including hard-to-borrow
options
 Bid / Ask / Mid
 Interpolated Volatility Surfaces
 Option Greeks
 Delta, Gamma, Vega, Theta, Rho
 Underlying Market Data
 Consolidated Equity Prices
 Consolidated Options Prices
 Coverage for Adjusted Options
 Non-standard Deliverable baskets
May 14, 2012
Confidential
4
INPUTS & OUTPUTS (CONT.)
Interpolated Volatility Surfaces
The feed also contains data that allows users to interpolate volatility data
between the given expiries, and delta and price increments.
Constant Maturity
Listed Expiries
Delta Relative
Example:
1 month / 25 Delta
Example:
March / 50 Delta
Price Relative
(moneyness)
Example:
3 month / 90% of at the
money
Example:
December / 110% of at the
money
5
VALUE PROPOSITION
As a ready-to-use feed, Options Analytics significantly reduces costs
associated with establishing and maintaining an in-house solution.
 Data Acquisition: underlying data, dividends, interest rates
 Infrastructure: CPUs or GPUs
 Expertise: Quants, Developers, Support
With Options Analytics, clients benefit from a wealth of calculated
analytical content while enjoying the economics of a hosted and
managed service.
6
OPTIONS ANALYTICS: USE CASES
Clients requiring the application of analytical tools to trade options and
equities, as well as to assess appropriate trade and portfolio risk, will benefit
from Options Analytics.
 Automated market making
 Scanning and screening
 High-frequency & algo trading
 Display-based options trading
 Volatility statistical arbitrage
 Pre-trade risk checks incl. 15c3-5
7
Further
Information
Tom Watson
[email protected]
312.442.7174
www.nyxdata.com