Derivative Data and Analytics
We make in-depth strategy and risk analysis accessible at a reasonable cost.
SQX provides derived analytics for U.S. and international exchange-listed options on equities, exchange-traded funds (ETFs), equity indexes, and futures. Our coverage includes:
- Standard Greeks: Delta, Gamma, Vega, Theta, Rho
- Implied volatilities
- Interpolated volatility surface
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In partnership with Exchange Data International (EDI), we provide
corporate actions data, plus
the following:
Derivative Pricing
- Interest Rate Swaps
- Exotic Options
- Currency Options
- Equity Derivitives
- Swaptions
- CDs
- Swaps
- Forwards
- OTC Equity Options and Warrants
- Structured Products
- Caps and Floors
Historical volatility
- Time series periods from 10 days up to 180 days
- Close-to-close historical volatilities time series
- Open-high-low-close historical volatilities time series
Reference Data
- Open, high, low, close, volume, and open interest
- NBBO bid/ask quotes
- End-of-day pricing
- Other reference data
