How do you evaluate Raw and Normalized Option Feeds?
Raw data feeds should generally include basic equity prices and underlying fundamental data direct from an exchange or the Options Price Reporting Authority (OPRA) prices. A normalized feed is more manageable through a reduced bandwidth profile. For organizations that trade options, a stronger normalized feed would include:
- Implied volatility for the National Best Bid and Offer (NBBO)
- Theoretical surface prices and volatilities
- Dividends, rates and synchronized underlying price data to support calculations
This information builds a backbone for surface modeling accuracy, which is vital for live trading, risk management and modeling.
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