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. Hanweck Options Analytics is powered by the proprietary Volera® engine, a high-performance, hardware-accelerated system capable of performing millions of option valuations per second. Volera's proprietary calculation process ensures that the latest available prices are used for each computation, while Volera's supercomputing hardware can tackle the most demanding of market conditions. Volera scales easily to meet ever-increasing message rates.

This cutting-edge technology is already available throughout the entire suite of Cboe Data Vantage.

Industry-Standard Models

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.

Real-Time

The Volera® Engine'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.

Volatility Surfaces

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.

Customizable Instances

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.

Case Studies

The information in this webpage is provided for general education and information purposes only. No statement(s) within this webpage should be construed as a recommendation to buy or sell a security or futures contract, as applicable or to provide investment advice. Supporting documentation for any claims, comparisons, statistics or other technical data in this webpage is available by contacting Cboe Global Markets at www.cboe.com/Contact.

Options involve risk and are not suitable for all investors. Prior to buying or selling an option, a person must receive a copy of “Characteristics and Risks of Standardized Options.” Copies are available from your broker or from The Options Clearing Corporation at 125 South Franklin Street, Suite 1200, Chicago, IL 60606 or at www.theocc.com.