Canari computes live AI generated Option Indicators delivered in a simple, ready to use format.
Options traders usually rely on screen prices to calibrate their volatility surface and accept it as the present "market value".
Then they form an opinion on this value based on implied vs realized volatility considerations.
This approach is suboptimal on two counts :
First, it disregards a huge amount of available data such as trade activity, similar stock behaviour, earning release schedule, etc.
Also, it is based on simple implicit assumptions of volatility mean reversion pattern or term structure smoothness.
These assumptions make sense, but they need to be put in a wider context through rigorous quantitative analysis thanks to machine learning.
This is a complex process including data clean up, stationarization and artificial intelligence processing.
Canari does all the heavy lifting for you and computes live AI generated indicators delivered in a simple, ready to use format.
Canari EUREX Options Trade Reports
This dataset delivers daily summary of all Eurex Options Trades, on and off book, including multi-leg strategies breakdown.
- maturity date
- Forward price
- underlying spot price
- bid/offer spread (in bps of spot) of the 6th tightest option spread for the maturity
- ATF Implied vol for Strike = Forward
- Smile_std : (Max(10, TTM)/252 )^0.5 * smile where TTM is the time to maturity in business days and smile is the vol spread for 1% of strike around the forward
- impl_div : Implied net dividend based on calibrated Forward price expressed in percent of the spot price
Canari EURO Intraday Volatility Greeks Quotes
Historical intraday implied volatility with quotes, greeks, forward, spread, for European stocks.
Fitting: Spline fitting of bid and offer separately
Model: Black And Scholes, unique volatility input (no local volatility). A price adjustment is computed for American calls in presence of a dividend in order to account for exercise optionality. This price adjustment is indicated in the “complete” files.
Dividends: The IV is calibrated using the dividends ex ante (the ones actually paid in fine). Uniform fiscal ratio of 93% applied to gross dividend. Forward level implied over all strikes of each maturity.
Rates: Risk free rate: ECB official rate curve Box rate: Implied based on Eurostoxx50.
Three products are available in total...
Option Prices and Greeks
Complete view of options’ implied volatility to understand price dynamics
Intraday (5 minutes sampled) historical bid ask and calibrated Fair Value for all active options on Eurex
Two different product packages available: File-based historical data starting April 2019 and live (delayed) data via API
Coverage of around 240 underlyings including indices and single stocks
Underlyings include indices like Euro Stoxx 50, DAX, SMI, sector indices, and European stocks from Eurozone countries, Switzerland, UK or Scandinavia
Use cases: Book valuation, structured products pricing, machine learning input to generate predictive signals
Option Trades and Imbalances
All trades on options and dividend futures including multileg strategies along with valuation information to find the aggressor
All trades with precise timestamp on all active options on Eurex
Includes underlying price at the time of trade, aggressor side and price compared to fair value
Provides a reference spot price and precise fair value of the option
Product is available as end of day recap files available after market close
Data universe includes all Eurex options and dividend futures
Use cases: Portfolio valuation, trend detection, signal construction based on trade activity
Option Forecasting Indicators
Product provides AI generated forecast indicators on implied and realised volatility
Dispersion indicators (DSP, DSPSMI) give prediction regarding relative value of volatility (index vs components)
Underlyings in Europe indices include DAX, SMI, sector indices, and European stocks from Eurozone countries, Switzerland, UK or Scandinavia
Underlyings in the US include single stocks and sector ETFs
Use cases: Options portfolio assessment, building of systematic option strategies, optimising of vega hedging