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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...

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...

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...

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...

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:...

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...

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...

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...

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,...

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...

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 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...

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...

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...

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...

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...

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...

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...

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...

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...

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...