Canadian Implied Volatility and Greeks Feed

The Canadian Implied Volatility and Greeks Feed provides real-time options analytics information as a low latency market data feed. The service includes implied volatilities and greeks data for all Canadian-listed equity options. The feed offers a cost-effective, reliable and high performance approach to meeting needs such as evaluating potential trading opportunities and assessing portfolio risk.

Canadian Implied Volatility & Greeks Feed Features

  • Low latency implied volatilities and risk parameter for all Canadian-listed equity options
  • Industry standard data feed format for fast integration with trading and risk management applications, ticker plants and managed-solutions
  • Real-time analytics accelerated by GPU-based parallel architecture

Business benefits

  • Feed-based approach enables businesses to focus resources on core interests and avoid excessive expenditure on data, development and computing infrastructure resources
  • High-performance solution for trade and risk analysis, with real-time implied volatilities and greeks (delta, gamma, vega, theta and rho)
  • Other uses include analytic validations and quality assurance, based upon industry benchmark computations

How it works

A change in an underlying's mid-market price beyond a pre-configured threshold triggers a recalculation of the derived data for thatoption chain. A change in the bid or ask of any option will trigger a recalculation of the derived data for that option. Derived data is also calculated for each Montreal Exchange trade. Using a modified Cox-Ross-Rubenstein (CRR) binomial tree model, the feed accommodates both American and European style options, and incorporates full interest rate curves and discrete dividends.

The Canadian Implied Volatility and Greeks Feed is provided through a collaboration between TMX Datalinx and Hanweck Associates. Hanweck Associates is an industry leader in producing low-latency analytics utilizing GPU based solutions and has created the award winning Volera™ engine.

How do you access the feed?

The Canadian Implied Volatilies and Greeks Feed is available globally through the TMX Atrium network, Hanweck Associates' VoleraFEED and through TMX Datalinx Channel Partners.

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