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An Explosive Combo: Zero-Day Options and Retail Traders
The options market has been witnessing a surge of activity from retail traders looking for ways to profit from short-term price movements and volatility. One of the most popular strategies among these traders is to trade options that expire within a day, also known as...
Retail Volume and the 0-DTE Options Trading Frenzy
The recent increased interest in retail option flow since the meme stock spikes during COVID has now extended to the trading of option contracts set to expire at the end of the current trading day (known as 0-DTE options). These 0-DTE options could have a subsequent...
New Article on Valuing Options from NewMark Risk
NewMark Risk has recently released an article on valuing options. In the article, NewMark provides practical differences in pricing options and their impact. The article examines two signals, Put-Call Volume Ratio and IV Spread, using data from both SpiderRock and...
SpiderRock’s latest version of the Chart Tool adds a comprehensive analytics dashboard & new datasets
In July, SpiderRock Gateway released a new visualization tool designed to assist users in researching relative option values. With the tool, users can visualize a multitude of series, including up to 10 years of implied and realized volatilities, skew, high/low,...
Part 3: Market Sentiment and Contrarian Indicators Impacting Earnings Events
Following up our previous blog post and focusing on earnings events, we discuss other metrics and ways in which SpiderRock Gateway's database of historical options data, such as stockclosemarks and optionclosemarks (and their intraday counterparts), allows market...
Exploring Earnings Events with SpiderRock Gateway Data Sets Part 2: Implied Moves and Straddle Portfolios
We follow up our previous blog post focusing on earnings events and discuss other metrics and ways in which SpiderRock Gateway database of historical options data such as stockclosemarks and optionclosemarks (and their intraday counterparts) allow one to extract...
SpiderRock selects Eventus for trade surveillance solution
Eventus, a leading global provider of multi-asset class trade surveillance and market risk solutions, announced today that SpiderRock Technology Services, a high-performance algorithmic execution and risk management technology provider to institutional trading...
Exploring Earnings Events with SpiderRock Gateway Data Sets: Financial Sector Week July 11/22
The global environment is changing due to a confluence of factors underpinned by the COVID-19 pandemic and its different variants, supply-chain dislocations, the Russian war on Ukraine, and the start of monetary tightening policy due to the onset of inflation....
Combining Historical Volatility Data and the latest Visualization Technology into a new powerful offering for SpiderRock Gateway
SpiderRock Gateway has released a new visualization tool designed to assist users in researching relative option values (click here to read the press release). The Chart Tool combines SpiderRock's ten years of US stock, index, ETF, and ADR data with its proprietary...
Consider the Approach: Quant Modeling and Retail Flows in Equity Options Markets
It’s well-documented that equity and options markets underwent drastic participatory change over the past few years, though retail traders’ presence has declined since its peak GME frenzy — see that oft-cited anecdotal proxy, a chart of Robinhood’s stock...
Paying Attention to Historical Option Volatility Data During Earnings Season
The options markets and implied volatility can be rich sources of insight into market signals. Comparing historical data with current market signals can provide additional insights to help traders and investors understand market expectations as earnings events...
GameStop Options Trading Snapshots: A Tale of Three Market Environments
Let’s take a walk down meme-ory lane. It is the end of January 2020 in Chicago, a month that averaged a relatively mild 34-degrees and not much snow (7.8 inches total). Meanwhile, 77,026 GameStop options were traded. The stock exhibited volatility by the standards of...
Options Data Dump: 24-Hour VIX and SPX Trading Arrives
In June, Cboe made it official: the exchange group confirmed global trading hours (GTH) for VIX and SPX options, which would make the products tradable nearly 24 hours a day, 5 days a week. And now, it’s live. (Note: All following times are in Eastern.) Those first...
The Quagmire of Historical Options Closing Price
At SpiderRock, we often get questions about historical stock options closing prices. Knowing the methodology used to capture your closing prices is fundamentally part of the data analysis being performed. Unlike the underlying stocks, there is no official close for...
The Benefits of Transacted Options Prices in Quantitative Research
As equity derivatives markets have grown in terms of volumes, products offered, number of exchanges, and technological sophistication, so too has the literature surrounding options pricing models and the challenges posed by quantifying that all-important variable:...
Historical Options Data Drives Factor Discovery
Consider the ocean of elements that comprise U.S. equity derivatives markets — 16 options exchanges, thousands of optionable securities, tens of millions in average daily volume, billions of daily messages, and a growing constituency of active, self-directed options...
Real time options data: Quality analytics are key
When it comes to option analytics, simply having an eye on the numbers is not enough. To ensure data consistency, real time options data and analytics should be integrated with the same data source and produced holistically. Combining historical datasets with real...
Options Market Data: Evaluating Raw and Normalized Feeds
How do you evaluate Raw and Normalized Options Market Data? Raw options market data feeds should generally include basic equity prices and underlying fundamental data direct from an exchange or the Options Price Reporting Authority (OPRA) prices. You can read more...
How to Tame and Profit from Risk with Options
Besides regular market-making activities, options instruments can be used to tame and profit from risk in a variety of ways: Generate alternative alpha Yield enhancement Defensive overlay: protective puts Tail hedging Event speculation The SpiderRock Option Close...
How SOC 2 Compliance Simplifies Due Diligence for Investors
When institutional investors entrust data to a trading platform, they must be confident it is securely and privately stored and available when needed. Due diligence demands scrutiny of third-party infrastructure and software to ensure it conforms to security, privacy,...
What is Portfolio Margining?
Portfolio margining is a margining strategy used to determine how much risk a broker can take on when lending to an investor. The margin is the collateral an investor must deposit to cover the risk of buying or borrowing financial instruments with cash borrowed from...
Quantitative Investing Explained: 6 Common Quantitative Strategies
It is estimated that roughly 90% of trading on U.S. public markets uses algorithmic quantitative trading strategies, a number likely to grow as investors leverage technology and modeling techniques to exploit the smallest market inefficiencies. But what is a...
Quantitative Investing Explained: What is Quantitative Investing?
Quantitative analysts and the strategies they develop are often called alpha generators. Alpha is an investment’s ability to beat the market, exploiting market inefficiencies and thereby generating excess returns relative to a benchmark index. For as long as markets...
Categorizing Retail and Institutional Option Order Flow and Position Accumulation Sentiment
The various types of option orders are valuable in assessing and identifying opportunity during the current market environment. Some features of interest pertinent to options trading, as well as underlying equities are: • Identification of option market participant...
Enhancing Equity Strategies with Option Trading Signals Using SpiderRock Skew Datasets
Option skew data points - specifically option implied volatility as a function of a strike for a fixed expiration - are a rich and an exploitable source of opportunity to take advantage of the flow of information between the equity (underlying) and options...
BlackRock Makes Minority Investment in SpiderRock Advisors
We are extremely excited and proud this morning to announce that BlackRock, Inc (through a subsidiary) has made a minority investment into our affiliate - SpiderRock Advisors. The investment shows confidence of a major industry leader in the SpiderRock Advisors...
How Is Machine Learning Used in Trading?
Although the term “machine learning” was coined at IBM in the late 1950s, and the methods and models that underpin machine learning applications were developed in the following decades, only since the turn of the century has it exerted significant influence outside of...
What is Algorithmic Trading?
Algorithmic trading is becoming ever more prevalent in the current market environment. Algorithmic traders use historical or live market data to discover repeatable trends and take advantage of them. Firms are now relying on machines to make seemingly instantaneous...
OPRA Explained: What is the Options Price Reporting Authority?
Accurate real-time data is essential to the proper functioning of the options market, but it would be enormously challenging for individual organizations to collect and process options market data. Exchanges involved in options trading generate orders of magnitude...
What is a Market Data Feed?
A market data feed provides price and other information so market participants can decide whether to buy or sell securities and commodities. Raw market data feeds are generated by exchanges such as the New York Stock Exchange and organizations such as the Options...
Insights from Put Underwriting Strategies
Systematic options trading can be used by equity investment organizations either as additional sources of alpha and yield enhancement or as efficient protection strategies. Put options can be used in two large classes of strategies: stock replacement (put...
New SpiderRock Real-Time Market Data And Options Analytics Content
SpiderRock provides low latency multicast feeds for real-time market data needs. These feeds provide real-time price data for a variety of US markets including equities, options, and futures. SpiderRock’s real-time market data feeds are provided through an API and are...
SpiderRock partners with CloudQuant to provide Historical Derivatives Data Access via API
CHICAGO, May 27, 2021 — SpiderRock Gateway Technologies and CloudQuant (CQ) prove that access to large, complex, point-in-time historical data doesn’t have to be difficult. SpiderRock launched the Liberator API service which allows clients to skip the complex data...
A Brief Overview of Correlation Trades
Over the last few years, the popularity of correlation and relative value trading has remained strong and profitable for many traders. This trend is likely to continue as the world emerges from a pandemic, economies open, and companies emerge from the crisis in...
Watch the Crowd: Using SpiderRock Data to Filter for Risk and Opportunities
Options Volume and Open Interest The trading environment has been changing rapidly due to many factors among which are social media influence and involvement of retail traders in the options market. As the January 2021 events demonstrated (extreme movements in names...
OPRA Migration to new Pillar SIP Platform
OPRA Migration to new Pillar SIP Platform On July 26th, 2021, OPRA will migrate to the new Pillar SIP platform. Firms currently processing the OPRA raw multicast data feed will need to develop, test, and certify the Pillar changes. Let SpiderRock help. One strategy...
Historical Data Now Available via Liberator API
Our new Liberator API allows you to select data points by ticker or groups and by date and time ranges for direct use within your own applications. Our API comes with starter codes and notebooks for different languages as well as a Microsoft Excel plug-in. Using the...
New SpiderRock Historical Data Content
We've recently added content to our site to describe our product offerings in the historical data and analytics space. SpiderRock has a suite of historical data products in multiple asset classes and the ability to deliver data via flat files and Restful API. ...
SpiderRock chosen as 2020 Benzinga Listmaker of the year for “Best New Product”
SpiderRock and QuantHouse have been chosen as 2020 Benzinga Listmakers in the category of "Best New Product". Our product has been selected as an innovative solution that takes a lead on previously unresolved issues and addresses tomorrow's problems. QuantHouse and...
What is the total cost of owning your data process?
Obtaining, managing, and supporting an options data infrastructure is incredibly complex and costly. Understanding and managing these costs can be quite complicated as well. Many trading organizations that take the in-house approach do not execute well on all fronts....
Does your options data partner offer great service?
When it comes to service from your data partner, what should you expect? Onboarding, integration, and production support are all vital to your success. A partner’s onboarding services should include a working pre-production environment, migration support, accurate...
SpiderRock nominated for “Best New Product” at 2020 Benzinga Global Fintech Awards
SpiderRock is pleased to announce that we, in partnership with QuantHouse, have been nominated for "Best New Product" at the 2020 Benzinga Global Fintech Awards. Our nomination is for SpiderRock's proprietary data and analytics feed that is now available at 20...
Building a new options trading model?
What are the building blocks for a successful options trading model? Many investors who are getting started with options begin by analyzing historical data and end-of-day prices. Historical data is important for updating options trading models while access to deep,...
What makes a great options market data provider?
A great options market data provider is not solely defined by the strength of its product and service offering, but also by the experience of its staff. A qualified market data provider should have a team of experts with trading, technology, and quantitative modeling...
5 Fundamental Questions To Consider In Evaluating Your Options Data Partner
Options Data Needs & Considerations Options data is hard. Making decisions on investment priorities that involve options is based on a bedrock of solid analytics driven by market data and powerful, low-latency algorithms. Good options market data product can make...
QuantHouse and SpiderRock
We're proud to announce that our partnership with QuantHouse has won the WatersTechnology.com "Best Alliance or Partnership" category in the 2020 Sell-Side Technology Awards. Thank you, WatersTechnology! Click here to check out the winners in all...
Digital Week – Exploring Options Data & Analytics
SpiderRock's Data Team is excited to present at AI & Data Science in Trading Digital Week! Join Craig Iseli and Kasia Kobylarz on Monday, 6/22 as they outline a few key questions that data customers should be asking themselves before they look to acquire and...
Eagle Alpha’s Virtual Data Conference
We are excited to attend Eagle Alpha's Virtual Data Conference on May 19-22. This year's conference will be the biggest yet, with an invigorating agenda incorporating timely topics such as #alternativedata uses in global #Covid19 recovery. View the full agenda and...
Fear and Subdued Exuberance Regimes in March-Apr’20
We used CBOE end-of-data from January to beginning of April 2020, classified in two subsets based on SPX returns greater than 20 bps or lower than -20 bps and selected the corresponding returns in three macro factors, VIX, TYVIX and OVX…
Europe EQD 2020
SpiderRock is excited to sponsor Europe EQD in Barcelona! We look forward to meeting everyone at the conference next week. Stop by the SpiderRock booth to meet our team and explore how you…
Virtual Discovery Day 2020
We’re excited to participate in BattleFin Ensemble & Discovery Day Events‘ Virtual #DiscoveryDay this Thursday, April 16.
Join SpiderRock COO Craig Iseli, Beni Gradwohl
Volatility and COVID-19 Update
The #volatility of the stock market as the result of the #covid19 outbreak continues to subside. Trading costs in SPY ETF options appear to have recovered to near pre-outbreak levels. This recovery might indicate…
Equity Option Market Starting To Settle
As the equity option market started to settle down last week, market trading costs for SPY options came down even as volume dropped and #volatility stayed high.
The chart below shows SpiderRock’s view of the per contract trade cost for SPY in the three front months…
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