CloudQuant unleashes the power of SpiderRock’s historical intraday options vol surface with its Liberator Data Fabric.
Who are SpiderRock?
SpiderRock is a respected brand in calculating implied volatility, greeks, other risk metrics, and fitting volatility surfaces. Their historical data is derived from their live data & analytics ensuring a high level of accuracy and consistency.
Their historical data is derived from the live data and analytics which powers the SpiderRock trading system and ensures a high level of accuracy and consistency.
Three distinct Options data sets are available from CloudQuant…
Options Trade Print Set
Option Print Set records contain every option print along with quote, surface, and SR probability details at print time. SpiderRock Alpha probabilities for each print are archived with the print. These records also contain 1 Minute and 10 Minute forward mark details to include trade performance.
Options Live Surface Term – IntraDay
A set of Datapoints produced every 10 mins for each symbol.
Options Live Surface Term – End of Day
A single set of datapoints at the end of the day for each symbol.
For more information, see the SpiderRock cards in our Data Catalog.
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