Pricing and Reference Data business of Interactive Data Corporation introduces the Options Volatility Service, a new offering that delivers 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 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, LLC. 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 utilize this service to assess the risks associated with market volatility. The service can help them to 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.
The Options Volatility Service will support a wide 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.
“Many investors are currently seeking to capitalize on the current market volatility by buying and selling options based on expected market fluctuation,” says Robin Simpson, managing director of Reference Data, 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. This new offering will help to further expand Interactive Data’s services to meet the needs of middle and front office clients by assisting them with managing the underlying data that powers their risk management applications.”
“The extreme volatility in financial markets these days redoubles the need for thorough quantitative analysis and risk management of options portfolios,” says Gerald Hanweck, Jr., PhD, founder and principal partner, Hanweck Associates. “Interactive Data’s depth of coverage and high-quality data, coupled with our industry experience and quantitative expertise, can help risk management professionals measure and control the effects of market volatility on their options positions.”
L.D.