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Interactive Data Introduces Options Volatility Service
New offering will combine pricing and reference data with analytics to help clients assess risks associated with U.S. market volatility.
By
Penny Crosman
April 29, 2009
Interactive Data today announced that its Pricing and Reference Data business introduced the Options Volatility Service, a relational database of end-of-day implied volatilities, options risk parameters and volatility surfaces across the U.S. options market to help clients assess risk.
The Options Volatility Service will deliver daily closing implied volatilities for more than 6,000 U.S. companies with listed options during the past 10 years. It also will provide end-of-day pricing, splits and other corporate actions, along with U.S. options analytics information, including risk parameters and sensitivity gauges calculated by Hanweck Associates. Hanweck specializes in trading, risk management and investment systems and strategies for financial institutions.
Traders, quantitative specialists, hedge fund managers, risk officers, as well as software application and risk management vendors, can use this service to assess the risks associated with market volatility. It can help them create consistent risk reports across varied positions, analyze specific positions more thoroughly, evaluate debt versus equity positions, conduct research (including back-testing trading strategies) and price their variable annuities.
"Many investors are currently seeking to capitalize on the current market volatility by buying and selling options based on expected market fluctuation," said Robin Simpson, managing director of Reference Data for Interactive Data. "With the launch of the Options Volatility Service, we will be able to provide timely and critical information to help clients assess risk exposure and make informed decisions."
The Options Volatility Service will support a range of database environments such as Microsoft SQL Server, Oracle and MySQL. Clients will also be able to access the database with their own research tools and connect to proprietary applications. The service is designed to support access to millions of data points for implied volatilities and risk measures. It is expected to be available before the end of the second quarter of 2009.
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