Product Brochure (.pdf)
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The Derivix pricing screens are simple, powerful, flexible, and intuitive. The real-time analytics are fast and proven accurate.
The Derivix Volatility Time option pricing model, developed by Derivix’s team of quantitative experts, provides a more realistic and accurate handling of time decay than the traditional option pricing models. The Volatility Time pricing engine updates time-to-expiration continuously throughout the trading day, and recomputes theoretical and risk values multiple times a second, leveraging our low-latency market data integration. In addition, this advanced pricing model incorporates numerous state of the art optimizations, on both the most recent publications in academia, as well as years of our own numerical tuning and performance tweaks.
Improvements in the accuracy of implied volatilities, theoretical prices, and greeks are easily observed and can be quite significant, especially during expiration week. Users typically see improvements of a full vol point or more, as far out as two months to expiration, with first- and even second-degree risk parameters staying rock solid right down through expiration day.
Features
- Pricing of equity and index options in real-time including real-time implied volatilities, theoretical and greeks.
- Sub-second response times to call up new option chains and switch between customizable layouts.
- Real-time lightning-fast support for the Derivix Volatility Time pricing model, as well as customizable Black-Scholes and Binomial models.
- Pricing of simulated scenarios in real-time, side-by-side with real and implied market values.
- Fully integrated position monitoring, facilitating powerful real-time single-symbol risk management and evaluation of unlimited "what if" scenarios.
- Flexible and customizable layouts for visualization of multiple values across various expirations at once.
Real Time. Real Options. Real Edge.
Please contact us today to request a demonstration.
