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.
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.