Volatility Analysis

IVExplorer© allows our clients to analyze the current day’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.

IVexplorer© : volatility analysis on your desktop

IVexplorer© is the bridge between volatility data and those in the real world who want to understand the signal behind the noise. The idea behind IVexplorer© is brilliantly simple: log in, start crunching volatility data and spot opportunities.

Ready to go. Off-the-shelf solution

Simply connect to SIGMA28’s implied volatility data server though the application and see what the implied volatility looks like. Of course, all based on today’s volatility data. IVexplorer© then scans, sorts and visualizes abnormalities on the volatility surface. The ideal tool for market makers, flow – and volatility traders.

Brilliantly flexible: scripting

The goal is to produce your own data analysis, using the technology you have, quicker with more accuracy. This is why SIGMA28 offers a unique functionality we’ve named scripting. Anyone can do it, really. When your brilliant blue-print ideas require more complex code, SIGMA28 can help. Free of charge.  We have assisted our clients with complex issues in the field of Autoregressive Integrated Moving Average (ARIMA) models, empirical calibration of hedge deltas and much more. So, don’t rely on someone else to tell you what you need to know: analyse volatility in your own way. In your own time.