Σ28 Implied Volatility Source

Concept of delivery

There are two ways how the data is brought to our clients.  Through our API service as well as through our advanced Front-End application IVexplorer©

 1. API

This service gives our clients access to our Historical Implied Volatility Database through our XML API's. The XML format allows easy integration to most third party applications. We support API requests for both Implied Volatility data of actual expiries and strikes, as well as uniform expiries and strikes. Clients download and process our historical Implied Volatilities into their own business platform for back-testing and proprietary coding for trading.

 

2. IVexplorer©

Our desktop application allows our clients to analyze today's implied volatility data. An intelligent skin around the database has been developed for time series analysis of the volatility surface. Irregularities on the volatility surface can be scanned for both skew and term structure. Our users are able to filter, sort and interpret the data based on various statistical regression methods. SIGMA28 is committed to innovation. We closely work together with leading universities for academic financial research in the field of Autoregressive Integrated Moving Average (ARIMA) models and empirical calibration of the volatility surface.

Advanced analysis

On top of the standard functionality, the application offers extensive scripting. Our clients use this to design more complex proprietary analysis and views. Factors to consider like hetero- and homoscedastic behavior and testing for normality are brought into the analysis as well.

Screening the markets for opportunities

Our filter functionality enables our clients to run the analysis over a user selected list of names. It is a starting point to screen the market and it will guide you towards underlying names that show potential opportunity and need to be looked at in more detail. Sort the results and show relative cheap or expensive implied volatilities. On its' own term structure, relative to a reference ticker or relative to realized volatility.